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In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the conceptually distinct econometric problems that arise from truncated samples and from models with limited dependent variables. The problem of sample selection bias is fit within...
Persistent link: https://www.econbiz.de/10012478957
Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...
Persistent link: https://www.econbiz.de/10012464236
This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage estimates of entry and continuation...
Persistent link: https://www.econbiz.de/10012468187
optimal sampling frequency at which to estimate the parameters of a discretely sampled continuous-time model can be finite … that sampling as often as possible is optimal. But, more surprisingly, we also demonstrate that this is true even if one …
Persistent link: https://www.econbiz.de/10012469087
We develop a sequential Monte Carlo (SMC) algorithm for estimating Bayesian dynamic stochastic general equilibrium (DSGE) models, wherein a particle approximation to the posterior is built iteratively through tempering the likelihood. Using three examples consisting of an artificial state-space...
Persistent link: https://www.econbiz.de/10012459510
, (2) to achieve consistent estimates by correcting for endogenous sampling, and (3) to identify average partial effects in …
Persistent link: https://www.econbiz.de/10012459802
testing for PPP or LOOP, model specification and data sampling should not proceed without consideration of the actual …
Persistent link: https://www.econbiz.de/10012471192
Persistent link: https://www.econbiz.de/10012479048
We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's...
Persistent link: https://www.econbiz.de/10012480743
first characterize the biases in both network statistics and estimates of network effects under non-random sampling …-classical measurement-error problems when applied as regressors. Apart from the sampling rate and the elicitation procedure, these biases … applied to network data collected via both designed and non-designed sampling procedures, does not require one to assume any …
Persistent link: https://www.econbiz.de/10012480921