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Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010306236

Can econometric analysis make (agricultural) economics a hard science? Critical remarks and implications for economic methodology

Petrick, Martin - 2004

) claims to follow and expresses some serious doubt that econometrics in particular can make economics a hard science …

Persistent link: https://www.econbiz.de/10010322736

Econometric causality

Heckman, James Joseph - 2008

This paper presents the econometric approach to causal modeling. It is motivated by policy problems. New causal parameters are defined and identified to address specific policy problems. Economists embrace a scientific approach to causality and model the preferences and choices of agents to...

Persistent link: https://www.econbiz.de/10010274247

An applied econometricians' view of empirical corporate governance studies

Börsch-Supan, Axel; Köke, Jens - 2000

The economic analysis of corporate governance is en vogue. In addition to a host of theoretical papers, an increasing number of empirical studies analyze how ownership structure, capital structure, the structure of the board and the market for corporate control influence firm performance. This...

Persistent link: https://www.econbiz.de/10010297680

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

Persistent link: https://www.econbiz.de/10010332467

The regional dimension of knowledge transfers: a behavioral approach

Broekel, Tom; Binder, Martin - 2006

Innovations are inherently connected to knowledge transfers. The need of face-to-face contacts to transfer tacit knowledge is commonly argued to cause a regional dimension of innovative activities. The paper presents an alternative explanation based on a model of boundedly rational actors who...

Persistent link: https://www.econbiz.de/10010266701

Adverse geography and differences in welfare in Peru

Escobal, Javier; Torero, Máximo - 2003

In Peru, a country with an astonishing variety of different ecological areas, with 84 different climate zones and landscapes, with rainforests, high mountain ranges and dry deserts, the geographical context may not be all that matters, but it could be very significant in explaining regional...

Persistent link: https://www.econbiz.de/10010279131

Identifying revealed comparative advantages in an EU regional context

Cordes, Alexander; Gehrke, Birgit; Römisch, Roman; … - 2015

[Introduction ...] Overall, this report is structured as follows: the next chapter (2) briefly outlines the relevance of regional trade indicators for determining the competitiveness of a region. In chapter 3, the methodology for the calculation of regional trade performance indicators is...

Persistent link: https://www.econbiz.de/10011528089

On the advantages of disaggregated data: Insights from forecasting the US economy in a data-rich environment

Perevalov, Nikita; Maier, Philipp - 2010

The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved...

Persistent link: https://www.econbiz.de/10010279898

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