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Estimating managers' utility-maximizing demand for agency goods

Hughes, Joseph P. (contributor); … - 2003 - [Elektronische Ressource]

An empirical model of managers' demand for agency goods is derived and estimated using the Almost Ideal Demand System … of Deaton and Muellbauer (AER 1980). As in Jensen and Meckling (JFE 1976), we derive managers' demand for agency goods by … maximizing a managerial utility function where managers allocate the potential value of their firm's assets to the consumption of …

Persistent link: https://www.econbiz.de/10001889146

Managerial incentives and the efficiency of capital structure in US commercial banking

Hughes, Joseph P.; Lang, William W.; Moon, Chuon-geol; … - 2003 - [Elektronische Ressource]. - Rev.

We extend the literature on the effects of managerial entrenchment to consider how safety-net subsidies and financial distress costs interact with managerial incentives to influence capital structure in U.S. commercial banking. Using cross-sectional data on publicly traded, highest-level U.S....

Persistent link: https://www.econbiz.de/10001889399

Managerial incentives and the efficiency of capital structure

Hughes, Joseph P. (contributor) - 2001 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001566302

Predictive density evaluation

Corradi, Valentina (contributor); … - 2004 - [Elektronische Ressource]

This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10002432791

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

Persistent link: https://www.econbiz.de/10001848652

The block bootstrap for parameter estimation error in recursive estimation schemes, with applications to predictive evaluation

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848668

A test for comparing multiple misspecified conditional distributions

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848671

Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with "out-of-sample Granger causalityʺ. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10001848736

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

in the theory of the bootstrap, Kolmogorov type testing, and other work on the evaluation of DSGEs, aimed at comparing …

Persistent link: https://www.econbiz.de/10001848913

Bootstrap specification test for diffusion processes

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a...

Persistent link: https://www.econbiz.de/10001848918