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Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698

A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables

Keane, Michael P. - 2009

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed quot;initial conditions problem,quot; as well...

Persistent link: https://www.econbiz.de/10012764470

Estimating the Returns to Firm-Sponsored On-the-Job and Classroom Training

Dostie, Benoit - 2010

In this paper, we estimate returns to classroom and on-the-job firm-sponsored training in terms of value-added per worker using longitudinal linked employee-employer Canadian data from 1999 to 2006. We estimate a standard production function controlling for endogenous training decisions because...

Persistent link: https://www.econbiz.de/10013136722

International Trade and its Effects on Economic Growth in China

Sun, Peng - 2010

International trade, as a major factor of openness, has made an increasingly significant contribution to economic growth. Chinese international trade has experienced rapid expansion together with its dramatic economic growth which has made the country to target the world as its market. This...

Persistent link: https://www.econbiz.de/10013138732

The Importance of Skill Measurement for Growth Accounting

Nilsen, Øivind Anti - 2010

In a growth accounting context one usually constructs a quality adjusted index of labor services by aggregating over predefined groups of workers, using the groups' relative wage bills as weights. In this article we suggest a method based on decomposing individual predicted wages into a...

Persistent link: https://www.econbiz.de/10013141726

Firm-Sponsored Classroom Training : Is it Worth it for Older Workers?

Dostie, Benoit - 2011

We use longitudinal linked employer-employee data and find that the probability of participating in firm-sponsored classroom training diminishes rapidly for workers aged 45 years and older. Although the standard human capital investment model predicts such a decline, we also consider the...

Persistent link: https://www.econbiz.de/10013118051

Estimation of Productivity in Korean Electric Power Plants : A Semiparametric Smooth Coefficient Model

Heshmati, Almas - 2013

This paper analyzes the impact of load factor, facility and generator types on the productivity of Korean electric power plants. In order to capture important differences in the effect of load policy on power output, we use a semiparametric smooth coefficient (SPSC) model that allows us to model...

Persistent link: https://www.econbiz.de/10013084669

Production Risk, Energy Use Efficiency and Productivity of Korean Industries

Khayyat, Nabaz T. - 2014

. Efficiency in the use of energy is a way to reduce dependency and emissions. This study provides empirical results of the …

Persistent link: https://www.econbiz.de/10013055565

A Comparison of Panel Data Models in Estimating Technical Efficiency

Rashidghalam, Masoomeh - 2016

technical efficiency in production. Second, it applies various stochastic frontier panel data models to estimate the technical … efficiency of Iran's cotton production and to provide empirical evidence on the sources of technical inefficiency of cotton … result in reducing technical efficiency. The mean technical efficiency of the models is around 80 percent. Variations in the …

Persistent link: https://www.econbiz.de/10012996535

The Return to the Firm Investment in Human Capital

Almeida, Rita; Carneiro, Pedro Manuel - 2006

In this paper we estimate the rate of return to firm investments in human capital in the form of formal job training. We use a panel of large firms with unusually detailed information on the duration of training, the direct costs of training, and several firm characteristics such as their...

Persistent link: https://www.econbiz.de/10014059821