Testing Exogeneity in Cross-section Regression by Sorting Data PDF Download
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Author: Xavier de Luna
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Xavier de Luna
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Dann Millimet
Publisher: Emerald Group Publishing
ISBN: 0762313803
Category : Business & Economics
Languages : en
Pages : 445
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Book Description
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.
Author: Xavier De Luna
Publisher:
ISBN:
Category : Absenteeism (Labor)
Languages : en
Pages : 46
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Author: Olivier Ledoit
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
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.
Author: Yves Croissant
Publisher: John Wiley & Sons
ISBN: 1118949188
Category : Mathematics
Languages : en
Pages : 328
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Book Description
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.
Author: Anders Forslund
Publisher:
ISBN:
Category : Labor market
Languages : en
Pages : 124
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Author: Stefan Eriksson
Publisher:
ISBN:
Category : Skilled labor
Languages : en
Pages : 44
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Author: Olivier Ledoit
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Edward W. Frees
Publisher: Cambridge University Press
ISBN: 9780521535380
Category : Business & Economics
Languages : en
Pages : 492
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Book Description
An introduction to foundations and applications for quantitatively oriented graduate social-science students and individual researchers.
Author: Christopher F. Baum
Publisher: Stata Press
ISBN: 1597180130
Category : Business & Economics
Languages : en
Pages : 362
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Book Description
Integrating a contemporary approach to econometrics with the powerful computational tools offered by Stata, this introduction illustrates how to apply econometric theories used in modern empirical research using Stata. The author emphasizes the role of method-of-moments estimators, hypothesis testing, and specification analysis and provides practical examples that show how to apply the theories to real data sets. The book first builds familiarity with the basic skills needed to work with econometric data in Stata before delving into the core topics, which range from the multiple linear regression model to instrumental-variables estimation.
