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Cross-sectional identification of private information

Bongaerts, Dion; Rösch, Dominik; Dijk, Mathijs van - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015616368

A projection-based approach for interactive fixed effects panel data models

Keilbar, Georg; Rodríguez Poo, Juan Manuel; Soberón, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554939

Bayesian Fama-MacBeth regressions

Bryzgalova, Svetlana; Huang, Jiantao; Julliard, Christian - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072383

Semiparametric cointegrating rank selection for curved cross section Time Series

Phillips, Peter C. B. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015417440

Why do investors like short-leg securities? : evidence from a textual analysis of buy recommendations

Chen, Hailiang; Hwang, Byoung-Hyoun; Peng, Zhuozhen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614314

Engle-Granger representation in spatial and spatio-temporal models

Bhattacharjee, Arnab; Ditzen, Jan; Holly, Sean - 2024

The literature on panel models has made considerable progress in the last few decades, integrating non-stationary data both in the time and spatial domain. However, there remains a gap in the literature that simultaneously models non-stationarity and cointegration in both the time and spatial...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015062152

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Engle-granger representation in spatial and spatio-temporal models

Bhattacharjee, Arnab; Ditzen, Jan; Holly, Sean - 2024

Book / Working Paper

Inequality in the early years in LAC : a comparative study of size, persistence, and policies

Attanasio, Orazio P.; López Bóo, Florencia; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014469031

Machine learning based panel data models

Yang, Bingduo; Long, Wei; Cai, Zongwu - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014521034

Inflation distorts relative prices : theory and evidence

Adam, Klaus; Alexandrov, Andrey; Weber, Henning - 2024

We empirically identify the effect of inflation on relative price distortions, using a novel identification approach derived from sticky price theories with time or state-dependent adjustment frictions. Our approach can be directly applied to micro price data, does not rely on estimating the gap...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014560156

GMM weighting matrices in cross-sectional asset pricing tests

Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015557230

Econometrics in theory and practice : analysis of cross section, time series and panel data with STATA 18 and R

Das, Panchanan - 2026 - Second edition

Chapter 1: Introduction to Econometrics and Statistical Software -- Chapter 2: Linear Regression Model: Properties and Estimation -- Chapter 3: Linear Regression Model: Goodness of Fit and Testing of Hypothesis -- Chapter 4: Linear Regression Model: Relaxing the Classical Assumptions -- Chapter...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668481

Railways, development, and literacy in India

Chaudhary, Latika; Fenske, James - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014438166

Is there smart money? : how information in the commodity futures market is priced into the cross section of stock returns with delay

Ho, Steven Wei; Lauwers, Alexandre R. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014465417

Investor sentiment, cross-sectional stock returns, and short-sales : evidence from Korea

Lee, Hyo-jeong - 2023

Purpose: This study investigates the return co-movements associated with investor sentiment shifts in the cross-sections under a setting where market-wide sentiment interacts with short-sale impediments. Design/methodology/approach: This study estimates the return sensitivity to market sentiment...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014304634

Bootstrap inference under cross-sectional dependence

Conley, Timothy G.; Gonçalves, Sílvia; Kim, Min Seong; … - 2023

In this paper, we introduce a method of generating bootstrap samples with unknown patterns of cross-sectional/spatial dependence, which we call the spatial dependent wild bootstrap. This method is a spatial counterpart to the wild dependent bootstrap of Shao (2010) and generates data by...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014308576

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Bootstrap inference under cross sectional dependence

Conley, Timothy G.; Gonçalves, Sílvia; Kim, Min Seong; … - 2022

Book / Working Paper

Do municipal mergers internalise spatial spillover effects? : empirical evidence from Japanese municipalities

Saito, Hitoshi; Hirota, Haruaki; Yunoue, Hideo; Miyaki, Miki - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014253529

House prices and rents

Fama, Eugene F.; French, Kenneth Ronald - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371024

A cross-sectional asset pricing test of model validity

Kolari, James W.; Huang, Jianhua Z.; Liu, Wei; Liao, Huiling - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015473158

Factor models for conditional asset pricing

Zaffaroni, Paolo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015454009

Unpriced Risks : Rethinking Cross-Sectional Asset Pricing

Chernov, Mikhail; Dahlquist, Magnus; Lochstoer, Lars A. - 2025

Characteristic-based factors embed large unpriced components that depress Sharpe ratios and deviate from the mean-variance efficient (MVE) frontier. We discuss how to decompose tradable factor returns into priced (MVE) and unpriced components, showing that hedging unpriced variation realigns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438234

Continuous-time Fama-MacBeth regressions

Aït-Sahalia, Yacine; Jacod, Jean; Xiu, Dacheng - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614289

Validating cross-sectional dependence assumptions in a factor model

Chen, Longyu; Huang, Haitao; Jiang, Lei; Peng, Liang; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672187

Efficient modeling of cross-sectional stock returns via Reduced Rank (Seemingly Unrelated) Regression

Pezzo, Luca; Velu, Raja; Zhou, Zhaoque; Wang, Lei - 2022

We improve on the Instrumented Principal Component Analysis (IPCA) model developed in Kelly, Pruitt and Su (2019) by providing more efficient Generalized Least Square (GLS) estimators with a closed-form limiting distribution allowing for a more consistent (mis)pricing inference. The IPCA model...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013291474

Luck versus skill in the cross section of mutual fund returns : reexamining the evidence

Harvey, Campbell R.; Liu, Yan - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013279790

Causal Inference with Time-Series Cross-Sectional Data : A Reflection

Xu, Yiqing - 2022

This chapter surveys new development in causal inference using time-series cross-sectional (TSCS) data. I start by clarifying two identification regimes for TSCS analysis: one under the strict exogeneity assumption and one under the sequential ignorability assumption. I then review three most...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013309021

Machbarkeitsstudie für eine Untersuchung der sozialen Lage von Selbstständigen

Bonin, Holger; Krause-Pilatus, Annabelle; Rinne, Ulf - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013457424

The incidental parameters problem in testing for remaining cross-section correlation

Juodis, Artūras; Reese, Simon - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013539484

Nonparametric approaches to empirical welfare analysis

Bhattacharya, Debopam - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015074421

Agriculture and agricultural value chains : cross-sectional analysis - main report

Raetzell, Lennart; Häberlein, Lena; Fabricci, Irene; … - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015207194

Adaptive testing for alphas in high-dimensional factor pricing models

Xia, Qiang; Zhang, Xianyang - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015053435

Estimating long run effects and the exponent of cross-sectional dependence : an update to xtdcce2

Ditzen, Jan - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013179176

Identification and estimation of hedonic models

Ekeland, Ivar; Heckman, James J.; Nesheim, Lars - 2003

This paper considers the identification and estimation of hedonic models. We establish that in an additive version of the hedonic model, technology and preferences are generically identified up to affine transformations from data on demand and supply in a single hedonic market. For a very...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011509453

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Identification and Estimation of Hedonic Models

Ekeland, Ivar; Heckman, James J.; Nesheim, Lars - 2021

Book / Working Paper

Identification and Estimation of Hedonic Models

Ekeland, Ivar; Heckman, James J.; Nesheim, Lars - 2021

Book / Working Paper

Identification and Estimation of Hedonic Models

Ekeland, Ivar; Heckman, James J.; Nesheim, Lars - 2009

Book / Working Paper

Identification and Estimation of Hedonic Models

Ekeland, Ivar - 2003

Book / Working Paper

Optimal Cross-Sectional Regression

Liao, Zhipeng - 2021

Errors-in-variables (EIV) biases plague asset pricing tests. We offer a new perspective on ad-dressing the EIV issue: instead of viewing EIV biases as estimation errors that potentiallycontaminate next-stage risk premium estimates, we consider them to be return innovationsthat follow a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013249532

Dynamic Discrete Choice and Dynamic Treatment Effects

Heckman, James J.; Navarro, Salvador - 2021

This paper considers semiparametric identification of structural dynamic discrete choice models and models for dynamic treatment effects. Time to treatment and counterfactual outcomes associated with treatment times are jointly analyzed. We examine the implicit assumptions of the dynamic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013228059

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Dynamic Discrete Choice and Dynamic Treatment Effects

Heckman, James J.; Navarro, Salvador - 2021

Book / Working Paper

Dynamic Discrete Choice and Dynamic Treatment Effects

Heckman, James J. - 2005

Book / Working Paper

Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2015

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011483451

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Testing weak cross-sectional dependence in large panels

Pesaran, M. Hashem - 2012

Book / Working Paper

Testing Weak Cross-Sectional Dependence in Large Panels

Pesaran, M. Hashem - 2021

Book / Working Paper

Testing Weak Cross-Sectional Dependence in Large Panels

Pesaran, M. Hashem - 2012

Book / Working Paper

GM Estimation of Higher-Order Spatial Autoregressive Processes in Cross-Section Models with Heteroskedastic Disturbances

Badinger, Harald; Egger, Peter - 2021

This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013316494

Testing factor models in the cross-section

Hollstein, Fabian; Prokopczuk, Marcel - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013538943

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Testing Factor Models in the Cross-Section

Hollstein, Fabian; Prokopczuk, Marcel - 2021

Book / Working Paper

The real effects of monetary shocks : evidence from micro pricing moments

Hong, Gee Hee; Klepacz, Matthew; Pasten, Ernesto; … - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014464877

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The real effects of monetary shocks : evidence from micro pricing moments

Hong, Gee Hee; Klepacz, Matthew; Pasten, Ernesto; … - 2021

Book / Working Paper

The real effects of monetary shocks : evidence from micro pricing moments

Hong, Gee Hee; Klepacz, Matthew; Pasten, Ernesto; … - 2020

Book / Working Paper

The Real Effects of Monetary Shocks : Evidence from Micro Pricing Moments

Hong, Gee Hee; Klepacz, Matthew; Pasten, Ernesto; … - 2021

Book / Working Paper

The Real Effects of Monetary Shocks : Evidence from Micro Pricing Moments

Hong, Gee Hee - 2020

Book / Working Paper

Simulation and Estimation of Nonaddative Hedonic Models

Heckman, James J.; Matzkin, Rosa L.; Nesheim, Lars - 2021

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013219280

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Simulation and Estimation of Nonaddative Hedonic Models

Heckman, James J. - 2003

Book / Working Paper

Simulation and estimation of hedonic models

Heckman, James J. - 2003

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011509388

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Simulation and Estimation of Hedonic Models

Heckman, James J.; Matzkin, Rosa L.; Nesheim, Lars - 2021

Book / Working Paper

The Augmented Synthetic Control Method

Ben-Michael, Eli; Feller, Avi; Rothstein, Jesse - 2021

The synthetic control method (SCM) is a popular approach for estimating the impact of a treatment on a single unit in panel data settings. The "synthetic control" is a weighted average of control units that balances the treated unit's pre-treatment outcomes and other covariates as closely as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012585369

Supplemental Appendix - Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2020

The Supplemental Appendix to "Factors that Fit the Time Series and Cross-Section of Stock Returns" provides additional tables and figures supporting the main text. Among others it includes robustness results for the large cross-section of all decile portfolios and the extended cross-section with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012846660

Factors that fit the time series and cross-section of stock returns

Lettau, Martin; Pelger, Markus - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012244735

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Factors That Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2020

Book / Working Paper

Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2018

Book / Working Paper

Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2018

Book / Working Paper

Illiquidity and stock returns II : cross-section and time-series effects

Amihud, Yakov; Noh, Joonki - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012504735

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Illiquidity and Stock Returns II : Cross-Section and Time-Series Effects

Amihud, Yakov - 2020

Book / Working Paper

Anomalies and the Expected Market Return

Dong, Xi - 2020

We provide the first systematic evidence on the link between long-short anomaly portfolio returns—a cornerstone of the cross-sectional literature—and the time-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012838515

A Practical Guide to Counterfactual Estimators for Causal Inference with Time-Series Cross-Sectional Data

Liu, Licheng - 2020

This paper introduces a unified framework of counterfactual estimation for time-series cross-sectional data, which estimates the average treatment effect on the treated by directly imputing treated counterfactuals. Its special cases include several newly developed methods, such as the fixed...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012839402

Linear-Betas in the Cross-Section of Returns

Douglas, Reed - 2020

This paper evaluates a specification for conditional beta models following Fama and French (2019). In this paper, I reject the Fama and French model that assumes characteristics are conditional betas in favor of a linear conditional beta model following Shanken (1990). Model-implied zero-beta...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012843588