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Nonlinear Policy Rules and the Identification and Estimation of Causal Effects in a Generalized Regression Kink Design
Card, David - 2012
We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of … endogenous assignment variable (like previous earnings). We provide new results on identification and estimation for these … treatment-on-the-treated parameter (Florens et al. (2008)) that would be identified in an ideal randomized experiment. We show …
Persistent link: https://www.econbiz.de/10012460096
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Equity Term Structures without Dividend Strips Data
Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023
-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields …
Persistent link: https://www.econbiz.de/10014250137
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Ait-Sahalia, Yacine - 1995
theory for this estimator to gauge its accuracy. The SPD estimator provides an arbitrage-free method of pricing new, more …
Persistent link: https://www.econbiz.de/10012473518
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Estimation of a Stochastic Model of Reproduction : An Econometric Approach
Heckman, James J. - 1974
In the past few years, there has been substantial progress in the application of the economic theory of household …
Persistent link: https://www.econbiz.de/10012479092
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Maximum Likelihood Estimation of Stochastic Volatility Models
Ait-Sahalia, Yacine - 2004
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models …
Persistent link: https://www.econbiz.de/10012468114
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Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
Creal, Drew D. - 2014
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …
Persistent link: https://www.econbiz.de/10012458545
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Assessing DSGE Model Nonlinearities
Aruoba, S. Borağan - 2013
We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...
Persistent link: https://www.econbiz.de/10012458969
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The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10012459679
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Risk Preferences Implied by Synthetic Options
Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023
The historical returns on equity index options are well known to be strikingly negative. That is typically explained either by investors having convex marginal utility over stock returns (e.g. crash/variance aversion) or by intermediaries demanding a premium for hedging risk. This paper examines...
Persistent link: https://www.econbiz.de/10014436964
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Strategic Real Option Exercising and Second-mover Advantage
Dai, Min; Jiang, Zhaoli; Wang, Neng - National Bureau of Economic Research - 2022
Many business opportunities feature second-mover advantages as there are often positive spillovers and externalities from early entrants to followers. We develop a tractable stochastic duopoly entry game with a second-mover advantage. We show that firms engage in a war-of-attrition game with the...
Persistent link: https://www.econbiz.de/10013334369