نتایج جستجو برای: econometric Model

تعداد نتایج: 2109104  

1997
Douglas G. Steigerwald

We develop a method for measuring the foresight agents have. We first dichotomize an agent’s information at current date t into knowledge up to date t 1 f and expectations after t 1 f. We then form a residual-based test statistic that allows us to compare prediction errors for econometric models based on different values of f. We illustrate the method, examining investment around tax reforms to...

1999
MICHAEL D. INTRILIGATOR M. D. Intriligator John Taylor

2016
Li Jiang Yonghui Zhang

China has experienced rapid urban expansion and agricultural land loss, and the land conversion has accelerated in central provinces since the mid-1990s. The goal of this paper is to examine the relative importance of socioeconomic and policy factors on the urban conversion of agricultural land in Henan Province, China. Using panel econometric models, we examine how socioeconomic and policy fac...

2004
Constantijn W.A. Panis Arnstein Aassve Susan Paddock Arthur van Soest Bonnie Ghosh-Dastidar Brian Williams

While econometric models routinely incorporate unobserved heterogeneity, microsimulations that are based on historical data rarely do so. At issue is that an individual’s history of outcomes contains information about that person’s heterogeneity draw, implying that the individual’s value may not be drawn randomly from the population distribution. Failure to account for heterogeneity may bias be...

2003
Peter C. Reiss Frank A. Wolak

This chapter explains the logic of structural econometric models and compares them to other types of econometric models. We provide a framework researchers can use to develop and evaluate structural econometric models. This framework pays particular attention to describing different sources of unobservables in structural models. We use our framework to evaluate several literatures in industrial...

1999
YONGMIAO HONG

The m-testing approach provides a general and convenient framework in which to view and construct speci cation tests for econometric models. Previous m-testing frameworks only consider test statistics that involve nite dimensional parameter estimators and in nite dimensional parameter estimators a ecting the limit distribution of the m-test statistics. In this paper we propose a new m-testing f...

2001
Robert Dornau

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible to detect causality not only from the US to foreign countries but in some cases vice versa. The obser...

2001
Han Hong Matthew Shum

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an i...

2001
Aman Ullah Virendra K. Srivastava

In analyzing the distributional properties of estimators and other statistics in econometric models, the small disturbance asymptotic theory has assumed a prominent place for several reasons. For instance, the exact finite-sample distribution theory generally provides intricate expressions from which it is hard to draw any neat inference related to the efficiency properties of estimators, confi...

2000
Judea Pearl

There is hardly a concept in econometrics that is more enigmatic and controvertial than that of exogeneity. This report|an edited excerpt from (Pearl 2000)|claims that exogeneity is a rather simple concept, readily de nable in terms of standard econometric models, and that the confusion stems primarily from improper usage of statistical vocabulary in a structural framework.

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