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Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124

Testing CAPM with a large number of assets

Pesaran, Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … correlation is found between a twelve-month moving average p-values of the test and the returns of long/short equity strategies …

Persistent link: https://www.econbiz.de/10010282392

A New Approach to Estimate the Wage Returns to Work-Related Training

Leuven, Edwin; Oosterbeek, Hessel - 2002

This paper proposes a new approach to identify the wage effects of training. The idea is to narrow down the comparison group by only taking into consideration the workers who wanted to participate in training but did not do so because of some random event. The point estimate of the return to...

Persistent link: https://www.econbiz.de/10010262707

Identification and estimation of causal mechanisms and net effects of a treatment under unconfoundedness

Flores, Carlos A.; Flores-Lagunes, Alfonso - 2009

An important goal when analyzing the causal effect of a treatment on an outcome is to understand the mechanisms through which the treatment causally works. We define a causal mechanism effect of a treatment and the causal effect net of that mechanism using the potential outcomes framework. These...

Persistent link: https://www.econbiz.de/10010269294

Quantile treatment effects in the regression discontinuity design: Process results and gini coefficient

Frölich, Markus; Melly, Blaise - 2010

This paper shows nonparametric identification of quantile treatment effects (QTE) in the regression discontinuity design. The distributional impacts of social programs such as welfare, education, training programs and unemployment insurance are of large interest to economists. QTE are an...

Persistent link: https://www.econbiz.de/10010269846

Spatial decentralization and program evaluation: Theory and an example from Indonesia

Pitt, Mark M.; Menon, Nidhiya - 2010

This paper proposes a novel instrumental variable method for program evaluation that only requires a single cross-section of data on the spatial intensity of programs and outcomes. The instruments are derived from a simple theoretical model of government decision-making in which governments are...

Persistent link: https://www.econbiz.de/10010274559

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10010276268

To see is to believe: Common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10010289899

The Enrollment Effect of Secondary School Fees in Post-War Germany

Riphahn, Regina T. - 2004

This study utilizes the heterogeneity of the fee abolition for West German secondary schools to identify its effect on enrollment and to obtain an estimate of the price elasticity of demand for education. The analysis is based on administrative school enrollment statistics as well as on...

Persistent link: https://www.econbiz.de/10010262043

Do Mandatory Pensions Decrease Household Savings? Evidence for the Netherlands

Euwals, Rob - 2000

The Dutch mandatory pension system consists of two parts: a public pay-as-you-go part that provides a minimum income to all Dutch inhabitants over age 64; and an occupation-specific capital-funded part that provides supplementary retirement income. The goal of this paper is to test for the effect...

Persistent link: https://www.econbiz.de/10010262338