Search Results - subject:"robust standard errors"

A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022 - This draft: November 3, 2022

Persistent link: https://www.econbiz.de/10013502181

A new test for market efficiency and uncovered interest parity

Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - In: Journal of international money and finance 130 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014248790

Variation in standard errors in event-study design : insights from empirical studies and simulations

Li, Yang - In: Applied economics 55 (2023) 5, pp. 518-530

Persistent link: https://www.econbiz.de/10013494437

Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects

Yoon, Jungmo; Galvão Júnior, Antônio Fialho - In: Quantitative Economics 11 (2020) 2, pp. 579-608

This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore,...

Persistent link: https://www.econbiz.de/10012215426

Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects

Yoon, Jungmo; Galvao, Antonio Fialho <Jr.> - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 579-608

Persistent link: https://www.econbiz.de/10012213981

Regression Discontinuity and Heteroskedasticity Robust Standard Errors: Evidence from a Fixed-Bandwidth Approximation

Bartalotti, Otávio - 2018

heteroskedasticity-robust standard errors. This paper develops the "fixed-bandwidth" alternative asymptotic theory for RD designs, which … standard errors in RD settings. Bias mitigation approaches are discussed and a novel, bootstrap higher-order bias correction … to treating RD estimators as locally parametric, validating the common empirical practice of using heteroskedasticity-robust …

Persistent link: https://www.econbiz.de/10011873564

Regression discontinuity and heteroskedasticity robust standard errors : evidence from a fixed-bandwidth approximation

Bartalotti, Otávio - 2018

Persistent link: https://www.econbiz.de/10011869057

The costs of simplicity : why multilevel models may benefit from accounting for cross-cluster differences in the effects of controls

Heisig, Jan Paul; Schaeffer, Merlin; Giesecke, Johannes - 2017

Context effects, where a characteristic of an upper-level unit or cluster (e.g., a country) affects outcomes and relationships at a lower level (e.g., that of the individual), are a primary object of sociological inquiry. In recent years, sociologists have increasingly analyzed such effects...

Persistent link: https://www.econbiz.de/10011900900

The Costs of Simplicity: Why Multilevel Models May Benefit from Accounting for Cross-Cluster Differences in the Effects of Controls

Heisig, Jan Paul; Schaeffer, Merlin; Giesecke, Johannes - In: American Sociological Review 82 (2017) 4, pp. 796-827

Persistent link: https://www.econbiz.de/10011902152

The Equity Premium and Inflation: Evidence from the US

Azar, Samih Antoine - In: Applied Finance and Accounting 1 (2015) 1, pp. 30-36

There is recent and strong evidence that nominal stock returns are independent of inflation. In what amounts to the same thing, when real stock returns are regressed on inflation the resulting estimated coefficient on inflation is negative and unitary. These two propositions are mathematically...

Persistent link: https://www.econbiz.de/10011163358