Showing 1 - 10 of 8,878
This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in...
Persistent link: https://www.econbiz.de/10013070225
average beer elasticities for heterogeneity, dependence, and publication selection bias. A sample of 191 estimates is obtained … estimates per study, author-restricted samples, and author-specific variables. Publication bias is addressed using a funnel … graph, trim-and-fill, and Egger's intercept model. Heterogeneity and selection bias are examined jointly in meta …
Persistent link: https://www.econbiz.de/10013088581
In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...
Persistent link: https://www.econbiz.de/10012935615
This paper examines the effect of systematic self-report bias, the non-random deviation between the self-reported and … true values of the same measure. This bias may be constant or variable, and can mislead empirical analyses based on … measured data in the cross-section. A school nutrition policy changed the bias differentially in the treatment and control …
Persistent link: https://www.econbiz.de/10014184565
We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to our approach is the use of sequential Monte Carlo methods to evaluate the likelihood of a generic epidemiological model. Once we have the likelihood, we specify priors and rely...
Persistent link: https://www.econbiz.de/10012494833
This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...
Persistent link: https://www.econbiz.de/10014024944
This paper uses the control function to develop a framework for testing for selection bias. The idea behind our … magnitude of potential selection bias. Averaging this correction term with respect to appropriate weights yields the degree of … selection bias for alternative treatment effects of interest. One advantage of our framework is that it motivates when is …
Persistent link: https://www.econbiz.de/10010407986
Persistent link: https://www.econbiz.de/10012610528
Persistent link: https://www.econbiz.de/10012303853