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Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price

Taylor, Alan M. - 2000

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

Tables of Sample Size For the F-Test in One Way Analysis of Variance Designs

Hill, Richard W. - 1975

Persistent link: https://www.econbiz.de/10012479048

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample : More Data, Additional Currencies, and FX Implications

Hodrick, Robert J. - 2018

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

Non-Randomly Sampled Networks : Biases and Corrections

Hsieh, Chih-Sheng - 2018

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

Information Costs and Sequential Information Sampling

Hébert, Benjamin - 2018

We propose a new approach to modeling the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions. These cost functions have two properties that we view as desirable: they summarize the results of a sequential evidence accumulation problem, and...

Persistent link: https://www.econbiz.de/10012480967

Inflation and the Distribution of Price Changes

Bryan, Michael F. - 1996

its higher order moments, and in particular, its third moment the skewness of the price change distribution. Evidence on correlations between inflation and its moments goesback over thirty years, and was first used to reject the independence of relative price changes and inflation that is...

Persistent link: https://www.econbiz.de/10012473040

The Effect of Age at School Entry on Educational Attainment : An Application of Instrumental Variables with Moments from Two Samples

Angrist, Joshua D. - 1990

This paper tests the hypothesis that compulsory school attendance laws, which typically require school attendance until a specified birthday, induce a relationship between the years of schooling and age at school entry. Variation in school start age created by children's date of birth provides a...

Persistent link: https://www.econbiz.de/10012475476

Data-Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W. - 1989

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...

Persistent link: https://www.econbiz.de/10012476047

An Econometric Analysis of Nonsynchronous Trading

Lo, Andrew W. - 1989

We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to …

Persistent link: https://www.econbiz.de/10012476088

Rational Inattention and Sequential Information Sampling

Hébert, Benjamin - 2017

introduce a continuous-time model of sequential information sampling, and show that, in a broad class of cases, the choice … alternative rational inattention theory better conform with evidence from perceptual discrimination experiments …

Persistent link: https://www.econbiz.de/10012453924

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