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Linear Probability Models of the Demand for Attributes with an Empirical Application to Estimating the Preferences of Legislators
Heckman, James J. - 1996
This paper formulates and estimates a rigorously-justified linear probability model of binary choices over alternatives characterized by unobserved attributes. The model is applied to estimate preferences of congressmen as expressed in their votes on bills. The effective dimension of the...
Persistent link: https://www.econbiz.de/10012473048
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Ait-Sahalia, Yacine - 1995
theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …
Persistent link: https://www.econbiz.de/10012473518
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Estimation of a Stochastic Model of Reproduction : An Econometric Approach
Heckman, James J. - 1974
In the past few years, there has been substantial progress in the application of the economic theory of household …
Persistent link: https://www.econbiz.de/10012479092
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Maximum Likelihood Estimation of Stochastic Volatility Models
Ait-Sahalia, Yacine - 2004
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models …
Persistent link: https://www.econbiz.de/10012468114
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Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
Creal, Drew D. - 2014
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …
Persistent link: https://www.econbiz.de/10012458545
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Individual Subjective Survival Curves
Gan, Li - 2003
Testing life-cycle models and other economic models of saving and consumption at micro level requires knowledge of individuals' subjective believes of their mortality risk. Previous studies have shown that individual responses on subjective survival probabilities are generally consistent with...
Persistent link: https://www.econbiz.de/10012469223
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New Directions for Stochastic Open Economy Models
Obstfeld, Maurice - 1999
The paper develops a simple stochastic new open economy macroeconomic model based on sticky nominal wages. Explicit solution of the wage-setting problem under uncertainty allows one to analyze the effects of the monetary regime on welfare, expected output, and the expected terms of trade....
Persistent link: https://www.econbiz.de/10012471471
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Exchange Rate Dynamics Under Stochastic Regime Shifts : A Unified Approach
Froot, Kenneth A. - 1989
Techniques of regulated Brownian motion are used to analyze the behavior of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange-rate dynamics in alternative cases where the authorities promise (i) to confine a floating rate...
Persistent link: https://www.econbiz.de/10012476221
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Estimating Dynamic Equilibrium Models with Stochastic Volatility
Fernandez-Villaverde, Jesus - 2012
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...
Persistent link: https://www.econbiz.de/10012460260
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Firm-Level Investment in France and the United States : An Exploration of What We Have Learned in Twenty Years
Mairesse, Jacques - 1999
changes in modelling strategy and econometric methodology, over the past twenty years, on estimation of firm-level investment … correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus … significant improvement in the specification, estimation and interpretation of firm investment equations; we also fin some real …
Persistent link: https://www.econbiz.de/10012471345