Testing Exogeneity in Cross-section Regression by Sorting Data
Title | Testing Exogeneity in Cross-section Regression by Sorting Data PDF eBook |
Author | Xavier de Luna |
Publisher | |
Pages | |
Release | 2000 |
Genre | |
ISBN |
Modelling and Evaluating Treatment Effects in Econometrics
Title | Modelling and Evaluating Treatment Effects in Econometrics PDF eBook |
Author | Dann Millimet |
Publisher | Emerald Group Publishing |
Pages | 445 |
Release | 2008-02-21 |
Genre | Business & Economics |
ISBN | 1849505233 |
The estimation of the effects of treatments endogenous variables representing everything from individual participation in a training program to national participation in a World Bank loan program has occupied much of the theoretical and applied econometric research literatures. This volume presents a collection of papers on this topic.
Testing Exogeneity Under Distributional Misspecification
Title | Testing Exogeneity Under Distributional Misspecification PDF eBook |
Author | Xavier De Luna |
Publisher | |
Pages | 46 |
Release | 2001 |
Genre | Absenteeism (Labor) |
ISBN |
Efficient Sorting
Title | Efficient Sorting PDF eBook |
Author | Olivier Ledoit |
Publisher | |
Pages | 52 |
Release | 2018 |
Genre | |
ISBN |
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock returns. Historically, it has been difficult to estimate the covariance matrix for a large universe of stocks. We demonstrate that using the recent DCC-NL estimator of Engle et al. (2017) substantially enhances the power of tests for cross-sectional anomalies: On average, 'Student' t-statistics more than double.
Panel Data Econometrics with R
Title | Panel Data Econometrics with R PDF eBook |
Author | Yves Croissant |
Publisher | John Wiley & Sons |
Pages | 435 |
Release | 2018-08-10 |
Genre | Mathematics |
ISBN | 1118949188 |
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Active Labour Market Policies and Real-wage Determination
Title | Active Labour Market Policies and Real-wage Determination PDF eBook |
Author | Anders Forslund |
Publisher | |
Pages | 124 |
Release | 2000 |
Genre | Labor market |
ISBN |
Beyond Sorting:a More Powerful Test for Cross-sectional Anomalies
Title | Beyond Sorting:a More Powerful Test for Cross-sectional Anomalies PDF eBook |
Author | Olivier Ledoit |
Publisher | |
Pages | |
Release | 2017 |
Genre | |
ISBN |