发布求助
文献互助 智能选刊 最新文献

Econometrics: Econometric & Statistical Methods - General eJournal最新文献

筛选
英文 中文
Online Appendix for the Trouble with Instruments: The Need for Pre-Treatment Balance in Shock-IV Designs 联机附录与仪器的麻烦:需要预处理平衡的冲击- iv设计
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-04-16 DOI: 10.2139/ssrn.2859113
V. Atanasov, Bernard Black
{"title":"Online Appendix for the Trouble with Instruments: The Need for Pre-Treatment Balance in Shock-IV Designs","authors":"V. Atanasov, Bernard Black","doi":"10.2139/ssrn.2859113","DOIUrl":"https://doi.org/10.2139/ssrn.2859113","url":null,"abstract":"This online appendix contains additional results for Atanasov and Black, 2016, The Trouble with Instruments: Re-Examining Shock-Based IV Designs (AB-2016). Part 1 of the Appendix contains further tests of Duchin, Ran, John Matsusaka, and Oguzhan Ozbas, 2010, When Are Outside Directors Effective? Journal of Financial Economics, 95, 195-214 in response to Duchin, Ran, John Matsusaka, and Oguzhan Ozbas, 2015, Comments on “The Trouble with Instruments: Re-examining Shock-Based IV Designs” by Atanasov and Black, available here:http://ssrn.com/abstract=2697098.Part 2 contains brief discussions of selected shock-based IV papers that are identified in AB-2016 but not re-examined in detail. The underlying article is available here: http://ssrn.com/abstract=2417689.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"33 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91512684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Extent Pursuit for Cross-Sectional Dependence in Large Panels 大型面板横截面依赖性的范围追求
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-04-14 DOI: 10.2139/ssrn.3371722
Jiti Gao, G. Pan, Yanrong Yang, Bo Zhang
{"title":"Extent Pursuit for Cross-Sectional Dependence in Large Panels","authors":"Jiti Gao, G. Pan, Yanrong Yang, Bo Zhang","doi":"10.2139/ssrn.3371722","DOIUrl":"https://doi.org/10.2139/ssrn.3371722","url":null,"abstract":"Accurate estimation for extent of cross-sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross--sectional dependence) together often results in less efficient dimension reduction and worse forecasting. This paper describes cross-sectional dependence among a large number of objects (time series) via a factor model and parametrizes its extent in terms of strength of factor loadings. A new joint estimation method is proposed for the parameter representing such extent and some other parameters involved in the estimation procedure. In particular, a marginal estimator is also proposed as the related other parameters are observed. Asymptotic distributions for the joint estimator and marginal estimator are both established. Various simulation designs illustrate the effectiveness of the proposed estimation method in the finite sample performance. Applications in cross-country macro-variables and stock returns from S&P 500 are studied.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-04-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76662449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Arriving at a Decision: A Semi-Parametric Approach to Institutional Birth Choice in India 达成决策:印度制度生育选择的半参数方法
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-03-24 DOI: 10.2139/ssrn.3122026
P. Bansal, Ricardo A. Daziano, N. Sunder
{"title":"Arriving at a Decision: A Semi-Parametric Approach to Institutional Birth Choice in India","authors":"P. Bansal, Ricardo A. Daziano, N. Sunder","doi":"10.2139/ssrn.3122026","DOIUrl":"https://doi.org/10.2139/ssrn.3122026","url":null,"abstract":"Abstract The Multinomial Logit (MNL) model is popular, but a semi-parametric specification of its link/utility function has seldom been used in empirical applications. This is primarily because of the resource intensive nature of semi-parametric estimation. In this paper we propose and implement a parallel computation algorithm to estimate the semi-parametric kernel MNL model. This algorithm reduces model estimation time by a factor of 2–10, depending on the size of the dataset and the available resources for computation. These computational gains make the estimation of this model feasible for large datasets. Additionally, using a Monte Carlo study we show that the kernel MNL outperforms the traditional linear MNL model in terms of fit and predicted choice probabilities. We demonstrate how kernel-based specification can unearth important heterogeneities in the effect of covariates through an empirical exercise. We use data from a nationally representative household survey (N = 157,804) to analyze the factors associated with institutional births (as opposed to home births) in India. Our revealed-preference results indicate that maternal education, household assets, distance to formal health facility, and birth order play an essential role in determining birth location choice. Although the directions of impact are similar across both the linear and the kernel MNL specifications, there are significant differences in the marginal effects of different factors across the two models. These differences, which arise due to the flexibility afforded by the semi-parametric specification, potentially bring additional nuance to policy discussions.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86097447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Private Bayesian Persuasion 私人贝叶斯说服
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-03-10 DOI: 10.2139/ssrn.2721307
Itai Arieli, Y. Babichenko
{"title":"Private Bayesian Persuasion","authors":"Itai Arieli, Y. Babichenko","doi":"10.2139/ssrn.2721307","DOIUrl":"https://doi.org/10.2139/ssrn.2721307","url":null,"abstract":"We consider a multi-receiver Bayesian persuasion problem where an informed sender tries to persuade a group of receivers to adopt a certain product. The sender is allowed to commit to a signaling policy where she sends a private signal to every receiver. The utility of the sender is a function of the subset of adopters and the realized state. We first consider a setting with a binary state space and no payoff externalities among receivers. We characterize an optimal signaling policy and the maximal revenue to the sender for two different types of utility functions: supermodular, and anonymous submodular. In particular, for supermodular utilities we show that the optimal policy correlates positive recommendation to adopt the product as much as possible. We generalize these results to the case of a nonbinary state space. The result for supermodular utilities is generalized to the case where receivers have payoff externalities. We also provide a necessary and sufficient condition under which public and conditionally independent signaling policies are optimal.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87991962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 111
The Wald Problem and the Relation of Sequential Sampling and Ex-Ante Information Costs 沃尔德问题及顺序抽样与事前信息代价的关系
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-02-18 DOI: 10.2139/ssrn.2991567
S. Morris, P. Strack
{"title":"The Wald Problem and the Relation of Sequential Sampling and Ex-Ante Information Costs","authors":"S. Morris, P. Strack","doi":"10.2139/ssrn.2991567","DOIUrl":"https://doi.org/10.2139/ssrn.2991567","url":null,"abstract":"We consider the two state sequential sampling problem of Wald (1945). We show that any distribution of posteriors can be attained and that the ex-ante cost of attaining any probability distribution over posteriors equals the expected change of the log likelihood ratio. With many states, not all distributions can be attained but we provide a characterization of those that can be attained and show that the characterization of ex-ante cost generalizes naturally to those that can be attained.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77937675","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
A Comparison of Economic Agent-Based Model Calibration Methods 基于经济主体的模型标定方法比较
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-02-15 DOI: 10.2139/ssrn.3335397
D. Platt
{"title":"A Comparison of Economic Agent-Based Model Calibration Methods","authors":"D. Platt","doi":"10.2139/ssrn.3335397","DOIUrl":"https://doi.org/10.2139/ssrn.3335397","url":null,"abstract":"Interest in agent-based models of financial markets and the wider economy has increased consistently over the last few decades, in no small part due to their ability to reproduce a number of empirically-observed stylised facts that are not easily recovered by more traditional modelling approaches. Nevertheless, the agent-based modelling paradigm faces mounting criticism, focused particularly on the rigour of current validation and calibration practices, most of which remain qualitative and stylised fact-driven. While the literature on quantitative and data-driven approaches has seen significant expansion in recent years, most studies have focused on the introduction of new calibration methods that are neither benchmarked against existing alternatives nor rigorously tested in terms of the quality of the estimates they produce. We therefore compare a number of prominent ABM calibration methods, both established and novel, through a series of computational experiments in an attempt to determine the respective strengths and weaknesses of each approach and the overall quality of the resultant parameter estimates. We find that Bayesian estimation, though less popular in the literature, consistently outperforms frequentist, objective function-based approaches and results in reasonable parameter estimates in many contexts. Despite this, we also find that agent-based model calibration techniques require further development in order to definitively calibrate large-scale models. We therefore make suggestions for future research.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75270632","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 59
FA Cup, UK GDP, FTSE Growth and National House Prices 足总杯，英国GDP，富时指数增长和全国房价
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-02-14 DOI: 10.2139/ssrn.3334659
Arvydas Jadevicius
{"title":"FA Cup, UK GDP, FTSE Growth and National House Prices","authors":"Arvydas Jadevicius","doi":"10.2139/ssrn.3334659","DOIUrl":"https://doi.org/10.2139/ssrn.3334659","url":null,"abstract":"The current paper examines national sporting events related market anomaly. It assesses an interrelationship between the Football Association Challenge Cup, known as FA Cup, winning team and annual returns for UK GDP, FTSE All Share index over the 133-year competition period as well as house price inflation starting from 1931. To test the hypothesis, the study employs a combination of non-parametric and regression techniques. The former is Kruskal-Wallis (KW) test. The latter is dummy variable regression. As the results of the study suggest, there is no statistical relationship between FA Cup winners and the annual growth in macro-series. All in all, analysts should simply enjoy ‘o jogo bonito’ (the beautiful game) rather than use it’s outcomes to gauge annual market trends.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"553 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87290159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Alternative Approaches to the Econometrics of Panel Data 面板数据计量经济学的替代方法
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-02-13 DOI: 10.2139/ssrn.3334169
P. Swamy, Peter von zur Muehlen, J. Mehta, I. Chang
{"title":"Alternative Approaches to the Econometrics of Panel Data","authors":"P. Swamy, Peter von zur Muehlen, J. Mehta, I. Chang","doi":"10.2139/ssrn.3334169","DOIUrl":"https://doi.org/10.2139/ssrn.3334169","url":null,"abstract":"Abstract In this chapter we show that all the known estimators of the coefficients of econometric models are inconsistent if their coefficients and error terms are not unique. In their stead, we present models having unique coefficients and error terms, with specific applicability to the analyses of panel data sets. We show that the coefficient on an included nonconstant regressor of a model with unique coefficients and error term is the sum of bias-free and omitted-regressor bias components. This sum, when multiplied by the negative ratio of the measurement error to the observed regressor, provides a measurement-error bias component of the coefficient. This result is important because to measure the direct causal effect of an included nonconstant regressor of a model on its dependent variable, one needs the bias-free component of the coefficient on the regressor. A proof of the uniqueness of the coefficients and error term of a stochastic law is given in Appendix A, and conditions for the consistency of certain estimators of the coefficients of a stochastic law are given in Appendix B.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79359734","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Do the Flexible Employment Arrangements Increase Job Satisfaction and Employee Loyalty? Evidence from Bayesian Networks and Instrumental Variables 弹性工作制能提高工作满意度和员工忠诚度吗?来自贝叶斯网络和工具变量的证据
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-01-31 DOI: 10.2139/ssrn.3411504
Eleftherios Giovanis
{"title":"Do the Flexible Employment Arrangements Increase Job Satisfaction and Employee Loyalty? Evidence from Bayesian Networks and Instrumental Variables","authors":"Eleftherios Giovanis","doi":"10.2139/ssrn.3411504","DOIUrl":"https://doi.org/10.2139/ssrn.3411504","url":null,"abstract":"This study explores the relationship between job satisfaction, employee loyalty and two types of flexible employment arrangements; teleworking and flexible timing. The analysis relies on data derived from the workplace employment relations survey (WERS) in 2004 and 2011. We apply the propensity score matching approach and least squares regressions. Furthermore, we employ the Bayesian networks (BN) and directed acyclic graphs (DAGs) to confirm the causality between employment types explored and the outcomes of interest. Additionally, we propose an instrumental variables (IV) approach based on the BN framework. The results support that a positive causal effect from these employment arrangements on job satisfaction and employee loyalty is present.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90742301","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Two-Stage Estimation of Unobserved Effects Panel Stochastic Frontier Models with Endogenous Regressors 内源性回归随机前沿模型的未观察效应面板两阶段估计
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-01-30 DOI: 10.2139/ssrn.3340300
Levent Kutlu, Kien C. Tran, M. Tsionas
{"title":"Two-Stage Estimation of Unobserved Effects Panel Stochastic Frontier Models with Endogenous Regressors","authors":"Levent Kutlu, Kien C. Tran, M. Tsionas","doi":"10.2139/ssrn.3340300","DOIUrl":"https://doi.org/10.2139/ssrn.3340300","url":null,"abstract":"This paper proposes an alternative estimation procedure for estimating the unobserved effects panel stochastic frontier models with endogenous regressors. Specifically, two-stage estimation method is used, where in the first stage, the frontier parameters are estimated based on GMM procedure, which is robust to the distributional assumptions of the composed error; whilst in the second stage, the remaining parameters are estimated by using MLE technique. Monte Carlo simulations indicate that the proposed estimation approach behaves well in finite samples.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80131845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
首页 上一页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信