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The debate over whether the expected present value of dividends adequately describes stock prices hinges in part on whether dividends are trend-stationary or integrated processes: it does not if dividends are trend-stationary; it does if they are integrated. This paper argues that classical...
Persistent link: https://www.econbiz.de/10005757244
Persistent link: https://www.econbiz.de/10005761568
This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by Markov chain Monte Carlo methods, and coincident and leading indicators are computed by using...
Persistent link: https://www.econbiz.de/10005230315
Is the risk-aversion parameter in the intertemporal consumption capital asset pricing model "small" as stated by Hansen and Singleton or is its reciprocal--the intertemporal elasticity of substitution--small, as stated by Hall? We attribute the disparate estimates of this fundamental parameter...
Persistent link: https://www.econbiz.de/10005238317
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We describe how to recursively simulate choice probabilities in the multiperiod multinomial probit model using the GHK algorithm. We also provide GAUSS code to implement the method.
Persistent link: https://www.econbiz.de/10015242016
This research compares several approaches to inference in the multinomial probit model, based on Monte-Carlo results for a seven choice model. The experiment compares the simulated maximum likelihood estimator using the GHK recursive probability simulator, the method of simulated moments...
Persistent link: https://www.econbiz.de/10005498496
We describe how to recursively simulate choice probabilities in the multiperiod multinomial probit model using the GHK algorithm. We also provide GAUSS code to implement the method.
Persistent link: https://www.econbiz.de/10011113345
Persistent link: https://www.econbiz.de/10006409519
This study examines stock price reactions, for both U.S. and Canadian softwood-lumber producers, to a series of events culminating in the 1986 Memorandum of Understanding under which Canada agreed to impose a 15 percent export tariff on lumber shipped to the United States. The authors' results...
Persistent link: https://www.econbiz.de/10005770395