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Tax Reform and Corporate Investment : A Microeconometric Simulation Study
Salinger, Michael A. - 1981
reforms on the 30 Dow Jones companies. The estimates are all based on extensions of Tobin's "q Theory of Investment" to take … results here provide strong microeconometric support for the q theory of investment. The q theory approach provides a superior …
Persistent link: https://www.econbiz.de/10012478358
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Highly Powered Analysis Plans
Anderson, Michael L.; Magruder, Jeremy R. - National Bureau of Economic Research - 2022
Formal analysis plans limit false discoveries by registering and multiplicity adjusting statistical tests. As each registered test reduces power on other tests, researchers prune hypotheses based on prior knowledge, often by combining related indicators into evenly-weighted indices. We propose...
Persistent link: https://www.econbiz.de/10013172142
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The Econometrics of Ultra-High Frequency Data
Engle, Robert F. - 1996
Ultra-high frequency data are complete transactions data which inherently arrive at random times. Marked point processes provide a theoretical framework for analysis of such data sets. The ACD model developed by Engle and Russell (1995) is then applied to IBM transactions data to develop...
Persistent link: https://www.econbiz.de/10012473012
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An Exploration of Trend-Cycle Decomposition Methodologies in Simulated Data
Hodrick, Robert J. - 2020
This paper uses simulations to explore the properties of the HP filter of Hodrick and Prescott (1997), the BK filter of Baxter and King (1999), and the H filter of Hamilton (2018) that are designed to decompose a univariate time series into trend and cyclical components. Each simulated time...
Persistent link: https://www.econbiz.de/10012479274
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Long-term Memory in Stock Market Prices
Lo, Andrew W. - 1989
Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via … functional central limit theory. This test is applied to daily, weekly, monthly, and annual stock returns indexes over several …
Persistent link: https://www.econbiz.de/10012476064
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Using Employee Level Data in a Firm Level Econometric Study
Mairesse, Jacques - 1999
In this paper, we make the general point that econometric studies of the firm can be effectively and substantially enriched by using information collected from employees, even if only a few of them are surveyed per firm. Though variables measured on the basis of the answers of very few employees...
Persistent link: https://www.econbiz.de/10012471772
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Unemployment Benefits, Labor Market Transitions, and Spurious Flows : A Multinational Logit Model with Errors in Classification
Poterba, James M. - 1993
This paper develops an algorithm for analyzing discrete events, such as labor market transitions, when some of these transitions are spurious because of measurement errors. Our algorithm extends the standard multinomial logit model, although our basic approach could be used with other stochastic...
Persistent link: https://www.econbiz.de/10012474516
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Analysis of the Monetary Transmission Mechanism : Methodological Issues
McCallum, Bennett T. - 1999
This paper argues that, in studying the monetary policy transmission process, more emphasis should be given to the systematic portion of policy behavior and correspondingly less to random shocks basically because shocks account for a very small fraction of policy-instrument variability. Analysis...
Persistent link: https://www.econbiz.de/10012471390
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Does Anticipated Aggregate Demand Policy Matter? Further Econometric results
Mishkin, Frederic S. - 1981
A heated debate has arisen over what Modigliani has dubbed the Macro Rational Expections (MRE) hypothesis. This hypothesis embodies two component hypotheses: 1) rational expectations and 2) short-run neutrality -- i.e., that anticipated changes in aggregate demand will have already been taken...
Persistent link: https://www.econbiz.de/10012478324
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Econometrics For Decision Making : Building Foundations Sketched By Haavelmo And Wald
Manski, Charles F. - 2019
initiated his own seminal development of statistical decision theory. Haavelmo favorably cited Wald, but econometrics …In the early 1940s, Haavelmo proposed a probabilistic structure for econometric modeling, aiming to make econometrics … subsequently did not embrace statistical decision theory. Instead, it focused on study of identification, estimation, and …
Persistent link: https://www.econbiz.de/10012480540