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Estimating the Covariates of Historical Heights
Trussell, James - 1984
Data on human height can provide an index that may measure more accurately changes in the standard of living than the more conventional real wage index. Height data, like those on real wages, are relatively abundant and extend back to the seventeenth century. In a previous paper, we developed...
Persistent link: https://www.econbiz.de/10012477633
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Identification and Estimation of 'Irregular' Correlated Random Coefficient Models
Graham, Bryan S. - 2008
In this paper we study identification and estimation of a correlated random coefficients (CRC) panel data model. The outcome of interest varies linearly with a vector of endogenous regressors. The coefficients on these regressors are heterogenous across units and may covary with them. We...
Persistent link: https://www.econbiz.de/10012464178
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W. - 2003
We extend range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator motivated by a key financial economic consideration, the absence of arbitrage, in addition to statistical considerations. We show that this estimator is highly...
Persistent link: https://www.econbiz.de/10012469034
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How Much Should We Trust Differences-in-Differences Estimates?
Bertrand, Marianne - 2002
almost all these papers ignore the bias in the estimated standard errors that serial correlation introduce4s. This is …
Persistent link: https://www.econbiz.de/10012469874
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Selection on Observed and Unobserved Variables : Assessing the Effectiveness of Catholic Schools
Altonji, Joseph G. - 2000
We develop estimation methods that use the amount of selection on the observables in a model as a guide to the amount of selection on the unobservables. We show that if the observed variables are a random subset of a large number of factors that influence the endogenous variable and the outcome...
Persistent link: https://www.econbiz.de/10012470912
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International Asset Allocation with Time-Varying Correlations
Ang, Andrew - 1999
It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...
Persistent link: https://www.econbiz.de/10012471745
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
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The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
Hodrick, Robert J. - 1985
Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results...
Persistent link: https://www.econbiz.de/10012477330
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International Risk Sharing in the Short Run and in the Long Run
Baxter, Marianne - 2011
International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...
Persistent link: https://www.econbiz.de/10012461868
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On the Correlation Structure of Microstructure Noise : A Financial Economic Approach
Diebold, Francis X. - 2010
volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are …
Persistent link: https://www.econbiz.de/10012462188