Buscar recursos académicos

This book presents the econometric analysis of single-equation and simultaneous-equation models in which the jointly dependent variables can be continuous, categorical, or truncated. Despite the traditional emphasis on c...

The core methods in today's econometric toolkit are linear regression for statistical control, instrumental variables methods for the analysis of natural experiments, and differences-in-differences methods that exploit p...

Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estim...

T. S. Breusch, A. R. Pagan; The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics, The Review of Economic Studies, Volume 47,

Materias / palabras clave: Spatial econometrics; Econometrics; Computer science; Economics

Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of t...

Materias / palabras clave: Estimator; Instrumental variable; Transformation (genetics); Orthogonality; Mathematics; Econometrics; Invariant (physics); Autocorrelation; Additive model; Errors-in-variables models; Applied mathematics; Variable (math...

Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying...

Materias / palabras clave: Term (time); sort; Mathematics; Disturbance (geology); Frontier; Production (economics); Function (biology); Estimation; Econometrics; Applied mathematics; Likelihood function; Random variable

Materias / palabras clave: Conditional variance; Heteroscedasticity; Autoregressive conditional heteroskedasticity; Econometrics; Mathematics; Autoregressive model; Autocorrelation; Generalization; Statistics; Conditional probability distribution;...

Materias / palabras clave: Estimator; Generalized method of moments; Moment (physics); Monte Carlo method; Panel data; Econometrics; Mathematics; Estimation; Applied mathematics; Statistics; Economics; Management

Materias / palabras clave: Unit root; Mathematics; Sample (material); Panel data; Unit root test; Unit (ring theory); Applied mathematics; Statistics; Econometrics; Root (linguistics); Cointegration; Physics

One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditions of risk. Although many useful insights c...

The difference and system generalized method-of-moments estimators, developed by Holtz-Eakin, Newey, and Rosen (1988, Econometrica 56: 1371–1395); Arellano and Bond (1991, Review of Economic Studies 58: 277–297); Are...

Materias / palabras clave: Collinearity; Rule of thumb; Variance inflation factor; Econometrics; Statistics; Variables; Regression analysis; Variance (accounting); Regression; Context (archaeology); Variable (mathematics); Linear regression

Both in science and in practical affairs we reason by combining facts only inconclusively supported by evidence. Building on an abstract understanding of this process of combination, this book constructs a new theory of ...

Relative risk is usually the parameter of interest in epidemiologic and medical studies. In this paper, the author proposes a modified Poisson regression approach (i.e., Poisson regression with a robust error variance) t...

This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum...

A critical element in the evolution of a fundamental body of knowledge in marketing, as well as for improved marketing practice, is the development of better measures of the variables with which ma...

Abstract With explanatory covariates, the standard analysis for competing risks data involves modeling the cause-specific hazard functions via a proportional hazards assumption. Unfortunately, the cause-specific hazard f...

Materias / palabras clave: Economics; Mathematical economics; Econometrics

This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timi...

A Monte Carlo study compared 14 methods to test the statistical significance of the intervening variable effect. An intervening variable (mediator) transmits the effect of an independent variable to a dependent variable....

Summary The use of both linear and generalized linear mixed‐effects models ( LMM s and GLMM s) has become popular not only in social and medical sciences, but also in biological sciences, especially in the field of eco...