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ECONIS (ZBW)
779
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779
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1
Identification with Imperfect Instruments
Nevo, Aviv
-
2008
instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the
correlation
between the … instrument and the error term has the same sign as the
correlation
between the endogenous regressor and the error term, and (ii …
Persistent link: https://www.econbiz.de/10012464213
Saved in:
2
Comovement
Barberis, Nicholas
-
2002
A number of studies have identifed patterns of positive
correlation
of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012469819
Saved in:
3
Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M.
-
2015
information-based model demonstrates that the
correlation
of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the
correlation
between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10012457188
Saved in:
4
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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5
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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6
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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7
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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8
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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9
Low-Frequency Robust
Cointegration
Testing
Müller, Ulrich
-
2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10012463358
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10
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
-
National Bureau of Economic Research
-
2021
variables may be fractionally integrated and the predictive relation may feature
cointegration
, we provide sup-Wald break tests …
Persistent link: https://www.econbiz.de/10012496124
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