Download or read book The Bias of the RSR Estimator and the Accuracy of Some Alternatives written by William N. Goetzmann and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the implications of cross-sectional heteroskedasticity in repeat sales regression (RSR). RSR estimators are essentially geometric averages of individual asset returns because of the logarithmic transformation of price relatives. We show that the cross sectional variance of asset returns affects the magnitude of bias in the average return estimate for that period, while reducing the bias for the surrounding periods. It is not easy to use an approximation method to correct the bias problem. We suggest a maximum-likelihood alternative to the RSR that directly estimates index returns that are analogous to the RSR estimators but are arithmetic averages of individual returns. Simulations show that these estimators are robust to time-varying cross-sectional variance and may be more accurate than RSR and some alternative methods of RSR.
Download or read book Simple and Bias corrected Matching Estimators for Average Treatment Effects written by Alberto Abadie and published by . This book was released on 2002 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matching estimators for average treatment effects are widely used in evaluation research despite the fact that their large sample properties have not been established in many cases. In this article, we develop a new framework to analyze the properties of matching estimators and establish a number of new results. First, we show that matching estimators include a conditional bias term which may not vanish at a rate faster than root-N when more than one continuous variable is used for matching. As a result, matching estimators may not be root-N-consistent. Second, we show that even after removing the conditional bias, matching estimators with a fixed number of matches do not reach the semiparametric efficiency bound for average treatment effects, although the efficiency loss may be small. Third, we propose a bias-correction that removes the conditional bias asymptotically, making matching estimators root-N-consistent. Fourth, we provide a new estimator for the conditional variance that does not require consistent nonparametric estimation of unknown functions. We apply the bias-corrected matching estimators to the study of the effects of a labor market program previously analyzed by Lalonde (1986). We also carry out a small simulation study based on Lalonde's example where a simple implementation of the biascorrected matching estimator performs well compared to both simple matching estimators and to regression estimators in terms of bias and root-mean-squared-error. Software for implementing the proposed estimators in STATA and Matlab is available from the authors on the web.
Download or read book The Worth of Art written by Arturo Cifuentes and published by Columbia University Press. This book was released on 2023-09-05 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Silver Medal Winner, 2024 Axiom Business Book Award, Personal Finance / Retirement Planning / Investing The market for art can be as eye-catching as artworks themselves. Works by artists from da Vinci and Rembrandt to Picasso and Modigliani have sold for hundreds of millions of dollars. The world’s ultrawealthy increasingly treat art as part of their portfolios. Since artworks are often valuable assets, how should financial professionals analyze them? Arturo Cifuentes and Ventura Charlin provide an expert guide to the methods, risks, and rewards of investing in art. They detail how to apply the financial and statistical tools and techniques used to evaluate more traditional investments such as stocks, bonds, and real estate to art markets. The Worth of Art: Financial Tools for the Art Markets shows readers how to use empirical evidence to answer questions such as: How do the returns on Basquiat compare to the S&P 500? Are Monet’s portraits as valuable as his landscapes? Do red paintings fetch higher prices than blue ones, and does the color palette matter equally to the sales of abstract Rothkos and figurative Hockneys? How much should be loaned to a borrower who is pledging one of Joan Mitchell’s late abstract paintings as collateral? Would the risk-return profile of a conventional portfolio benefit from exposure to Warhol? Rigorous and readable, this book also demonstrates how quantitative analysis can deepen aesthetic appreciation of art.
Download or read book Art of the Deal written by Noah Horowitz and published by Princeton University Press. This book was released on 2014-08-31 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Art today is defined by its relationship to money as never before. Prices of living artists' works have been driven to unprecedented heights, conventional boundaries within the art world have collapsed, and artists now think ever more strategically about how to advance their careers. Artists no longer simply make art, but package, sell, and brand it. Noah Horowitz exposes the inner workings of the contemporary art market, explaining how this unique economy came to be, how it works, and where it's headed. He takes a unique look at the globalization of the art world and the changing face of the business, offering the clearest analysis yet of how investors speculate in the market and how emerging art forms such as video and installation have been drawn into the commercial sphere. By carefully examining these developments against the backdrop of the deflation of the contemporary art bubble in 2008, "Art of the Deal" is a must-read book that demystifies collecting and investing in today's art market.
Download or read book Handbook on Residential Property Price Indices written by OECD and published by OECD Publishing. This book was released on 2013-04-22 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook provides, for the first time, comprehensive guidelines for the compilation of Residential Property Price Indexes and explains in depth the methods and best practices used to calculate an RPPI.
Download or read book Identification and Estimation of Discrete Games of Complete Information written by Patrick L. Bajari and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute all of the Nash equilibria to a game, we propose simulation-based estimators for static, discrete games. With appropriate exclusion restrictions about how covariates enter into payoffs and influence equilibrium selection, the model is identified with only weak parametric assumptions. Monte Carlo evidence demonstrates that the estimator can perform well in moderately-sized samples. As an application, we study the strategic decision of firms in spatially-separated markets to establish a presence on the Internet.
Download or read book Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics written by Patrick Bajari and published by . This book was released on 2001 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the identification and estimation of preferences in hedonic discrete choice models of demand for differentiated products. In the hedonic discrete choice model, products are represented as a finite dimensional bundle of characteristics, and consumers maximize utility subject to a budget constraint. Our hedonic model also incorporates product characteristics that are observed by consumers but not by the economist. We demonstrate that, unlike the case where all product characteristics are observed, it is not in general possible to uniquely recover consumer preferences from data on a consumer's choices. However, we provide several sets of assumptions under which preferences can be recovered uniquely, that we think may be satisfied in many applications. Our identification and estimation strategy is a two stage approach in the spirit of Rosen (1974). In the first stage, we show under some weak conditions that price data can be used to nonparametrically recover the unobserved product characteristics and the hedonic pricing function. In the second stage, we show under some weak conditions that if the product space is continuous and the functional form of utility is known, then there exists an inversion between a consumer's choices and her preference parameters. If the product space is discrete, we propose a Gibbs sampling algorithm to simulate the population distribution of consumers' taste coefficients.
Download or read book Estimating Hedonic Models written by Helen Tauchen and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider the conditions under which instrumental variables methods are required in estimating a hedonic price function and its accompanying demand and supply relations. We assume simple functional forms that permit an explicit solution for the equilibrium hedonic price function. The principles are the same for models in which no analytic solution exists, but having the solutions makes the issues far more transparent. The need for instrumental variables estimation is directly analogous for the classical demand and supply model with undifferentiated products and for the hedonic model with differentiated products. In estimating individual demand and supply functions, instrumental variables estimation is required if the consumer and firm unobservables, which give rise to the error terms in the demand and supply functions, are correlated across consumers/firms within a community. In estimating inverse demand/supply functions, which are referred to as bid/offer functions in the hedonic model, instrumental variables estimation is required even if the unobservables are not correlated across agents within a community. If the unobservables are not correlated across agents within a community, then community binaries or the means of observable consumer and firm characteristics can be used as instruments. If the unobservables are correlated then only the latter can be used. The error term in the hedonic price function is often assumed to be uncorrelated with the chosen attributes. This assumption may be reasonable if consumers have quasilinear preferences. If not, then the error term in the price function may affect the utility-maximizing amounts of the attributes. The feasible instruments again depend upon whether the error term is correlated for agents within a community. If not, then community binaries or observed individual characteristics may be used as instruments. If so, then the community binaries are correlated with the error terms and cannot serve as instruments.
Download or read book Identification and Inference in Nonlinear Difference in differences Models written by Susan Athey and published by . This book was released on 2002 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops an alternative approach to the widely used Difference-In-Difference (DID) method for evaluating the effects of policy changes. In contrast to the standard approach, we introduce a nonlinear model that permits changes over time in the effect of unobservables (e.g., there may be a time trend in the level of wages as well as the returns to skill in the labor market). Further, our assumptions are independent of the scaling of the outcome. Our approach provides an estimate of the entire counterfactual distribution of outcomes that would have been experienced by the treatment group in the absence of the treatment, and likewise for the untreated group in the presence of the treatment. Thus, it enables the evaluation of policy interventions according to criteria such as a mean-variance tradeoff. We provide conditions under which the model is nonparametrically identified and propose an estimator. We consider extensions to allow for covariates and discrete dependent variables. We also analyze inference, showing that our estimator is root-N consistent and asymptotically normal. Finally, we consider an application.
Download or read book Liquidity and Pricing Biases in the Real Estate Market written by Zhenguo Lin and published by . This book was released on 2004 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Weak Instruments in Linear IV Regression written by James H. Stock and published by . This book was released on 2002 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the maximum Wald test size distortion, when there are multiple endogenous regressors. We tabulate critical values that enable using the first-stage F-statistic (or, when there are multiple endogenous regressors, the Cragg-Donald (1993) statistic) to test whether given instruments are weak. A technical contribution is to justify sequential asymptotic approximations for IV statistics with many weak instruments.
Download or read book The Use of Predictive Regressions at Alternative Horizons in Finance and Economics written by Nelson Chung Mark and published by . This book was released on 2004 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: When a k period future return is regressed on a current variable such as the log dividend yield, the marginal significance level of the t-test that the return is unpredictable typically increases over some range of future return horizons, k. Local asymptotic power analysis shows that the power of the long-horizon predictive regression test dominates that of the short-horizon test over a nontrivial region of the admissible parameter space. In practice, small sample OLS bias, which differs under the null and the alternative, can distort the size and reduce the power gains of long-horizon tests. To overcome these problems, we suggest a moving block recursive Jackknife estimator of the predictive regression slope coefficient and test statistics that is appropriate under both the null and the alternative. The methods are applied to testing whether future stock returns are predictable. Consistent evidence in favor of return predictability shows up at the 5 year horizon.
Download or read book Bootstrap and Higher order Expansion Validity when Instruments May be Weak written by Marcelo J. Moreira and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well-known that size-adjustments based on Edgeworth expansions for the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. This paper shows, however, that the lack of Edgeworth expansions and bootstrap validity are not tied to the weak instrument framework, but instead depends on which test statistic is examined. In particular, Edgeworth expansions are valid for the score and conditional likelihood ratio approaches, even when the instruments are uncorrelated with the endogenous explanatory variable. Furthermore, there is a belief that the bootstrap method fails when instruments are weak, since it replaces parameters with inconsistent estimators. Contrary to this notion, we provide a theoretical proof that guarantees the validity of the bootstrap for the score test, as well as the validity of the conditional bootstrap for many conditional tests. Monte Carlo simulations show that the bootstrap actually decreases size distortions in both cases.
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2001 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cointegration Vector Estimation by Panel DOLS and Long range Money Demand written by Nelson Chung Mark and published by . This book was released on 2002 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation written by Daniel A. Ackerberg and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Method of Simulated Moments (MSM) estimators introduced by McFadden (1989)and Pakes and Pollard (1989) are of great use to applied economists. They are relatively easy to use even for estimating very complicated economic models. One simply needs to generate simulated data according to the model and choose parameters that make moments of this simulated data as close as possible to moments of the true data. This paper uses importance sampling techniques to address a significant computational caveat regarding these MSM estimators - that often one's economic model is hard to solve. Examples include complicated equilibrium models and dynamic programming problems. We show that importance sampling can reduce he number of times a particular model needs to be solved in an estimation procedure, significantly decreasing computational burden.
Download or read book The American Economic Review written by and published by . This book was released on 2002 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes papers and proceedings of the annual meeting of the American Economic Association. Covers all areas of economic research.
