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Identification through Heteroskedasticity : Measuring "Contagion
Rigobon, Roberto - 2000
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012471283
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Dummy Endogenous Variables in a Simultaneous Equation System
Heckman, James J. - 1977
This paper considers the formulation and estimation of simultaneous equation models with both discrete and continuous endogenous variables. The statistical model proposed here is sufficiently rich to encompass the classical simultaneous equation model for continuous endogenous variables and more...
Persistent link: https://www.econbiz.de/10012478952
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Investigating the Dynamic Effects of Counterfeits with a Random Changepoint Simultaneous Equation Model
Qian, Yi - 2011
Using a unique panel dataset and a new model, this article investigates the dynamic effects of counterfeit sales on authentic-product price dynamics. We propose a Bayesian random-changepoint simultaneous equation model that simultaneously takes into account three important features in empirical...
Persistent link: https://www.econbiz.de/10012461965
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Recursive Competitive Equilibrium
Mehra, Rajnish - 2006
In this article we define a Recursive Competitive Equilibrium, provide an example and review the related literature. The article is an entry prepared for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan: New York)
Persistent link: https://www.econbiz.de/10012466231
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The Equity Premium and Structural Breaks
Pastor, Lubos - 2000
A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the...
Persistent link: https://www.econbiz.de/10012470972
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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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A Heuristic Method for Extracting Smooth Trends from Economic Time Series
Rotemberg, Julio J. - 1999
(the trend') and a stationary component (the cycle'). The aim is to make the trends as smooth as possible while also … MSE of the proposed trends is much lower. Similarly, except in quite special cases, the MSE of the proposed trend is … growth of trend GDP in the U.S. started well before 1973 …
Persistent link: https://www.econbiz.de/10012471343
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The Band Pass Filter
Christiano, Lawrence J. - 1999
underlying the raw data have a unit root, or are stationary about a trend. We identify one approximation which, though it is only …
Persistent link: https://www.econbiz.de/10012471533
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Hostility in Takeovers : In the Eyes of the Beholder?
Schwert, G. William - 1999
This paper examines whether hostile takeovers can be distinguished from friendly takeovers, empirically, based on accounting and stock performance data. Much has been made of this distinction in both the popular and the academic literature, where gains from hostile takeovers are typically...
Persistent link: https://www.econbiz.de/10012471711
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The Concentration of Job Destruction
Hall, Robert E. - 1999
A time series is concentrated if the expectation of its current value is a negative function of a moving average of past values up to all but the most recent past. Job destruction has the property of concentration in a model of heterogeneous jobs because an adverse shock destroys jobs in plants...
Persistent link: https://www.econbiz.de/10012471775