Skip to main navigation Skip to main content
info(at)avldigital.remove-this.de
Deutsch English
Narrow Search
Search narrowed by
Last searches

Results for *

Displaying results 1 to 25 of 36.

  1. Joint estimation of conditional mean and covariance for unbalanced panels
    Author: Filipović, Damir; Schneider, Paul
    Published: [2024]
    Publisher:  Swiss Finance Institute, Geneva

    Access:
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Swiss Finance Institute research paper series ; no 24, 60
    Subjects: nonparametric estimation; conditional mean; conditional covariance matrix; unbalanced panels; panel data econometrics; mean-variance efficient portfolio
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Beta-sorted portfolios
    Author: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Published: [2024]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions which ensure valid estimation and inference allowing for a range of hypotheses of interest in financial applications. We show that the rate of convergence of the estimator changes depending on the value of beta. We demonstrate that valid inference depends critically on the object of interest and discuss shortcomings of the widely-used Fama-MacBeth variance estimator. To address these limitations, we propose a new variance estimator. In an empirical application, we introduce a novel risk factor-a measure of the business credit cycle-and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/306645
    Series: Cemmap working paper ; CWP24, 20
    Subjects: Beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly-varying coefficients; Fama-MacBeth variance estimator
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  3. Accounting for individual-specific heterogeneity in intergenerational income mobility
    Author: Chang, Yoosoon; Durlauf, Steven N.; Hu, Bo; Park, Joon Y.
    Published: [2024]
    Publisher:  BI Norwegian Business School, Centre for Applied Macro - Petroleum economics (CAMP), Oslo

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 321
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11250/3120003
    Series: CAMP working paper series ; no. 2024, 3
    Subjects: intergenerational income mobility; ordered multinomial probability model; nonparametric estimation; heterogeneous treatment effects; reproducing kernel Hilbert space; effects of parental education
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  4. Nonparametric estimation of natural direct and indirect effects based on inverse probability weighting
    Author: Hsu, Yu-Chin; Huber, Martin; Lai, Tsung-Chih
    Published: 2017-05-01
    Publisher:  University of Fribourg, Switzerland, Faculty of Economics and Social Sciences, Fribourg

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 263 (482)
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers SES / Université de Fribourg, Faculté des sciences economiques et sociales ; n. 482 (5.2017)
    Subjects: causal mechanisms; direct effects; indirect effects; causal channels; mediation analysis; causal pathways; series logit estimation; nonparametric estimation; inverse probability weighting; propensity score
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  5. Estimation of volatility functions in jump diffusions using truncated bipower increments
    Author: Kim, Jihyun; Park, Joon Y.; Wang, Bin
    Published: [2020]
    Publisher:  Toulouse School of Economics, [Toulouse]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 330
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 1096 (20)
    Subjects: nonparametric estimation; jump diffusion; asymptotics; diffusive and jump volatility functions; Lévy measure; optimal bandwidth; bipower increment; threshold truncation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  6. Sieve bootstrap inference for time-varying coefficient models
    Author: Friedrich, Marina; Lin, Yicong
    Published: [2021]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
    Inter-library loan:
    No inter-library loan

     

    We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it automatically produces a consistent estimation of nuisance parameters, both at the interior and boundary points. In addition, we develop a bootstrap test for parameter constancy and show that it is asymptotically correctly sized. An extensive simulation study supports our findings. The proposed methods are applied to assess the price development of CO2 certificates in the European Emissions Trading System (EU ETS). We find evidence of time variation in the relationship between allowance prices and their fundamental price drivers.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/248789
    Series: Array ; TI 2021, 107
    Subjects: sieve bootstrap; nonparametric estimation; simultaneous confidence bands; energy economics; emission trading
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  7. Estimating density ratio of marginals to joint
    applications to causal inference
    Author: Matsushita, Yukitoshi; Otsu, Taisuke; Takahata, Keisuke
    Published: [2022]
    Publisher:  LSE, STICERD, London

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Rechte
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Econometrics papers / LSE ; STICERD ; paper number EM619
    Subjects: density ratio; causal inference; nonparametric estimation
    Scope: 1 Online-Ressource (39 Seiten)
  8. Nonparametric estimation of the random coefficients model
    an elastic net approach
    Author: Heiss, Florian; Hetzenecker, Stephan; Osterhaus, Maximilian
    Published: 2019
    Publisher:  Ruhr-Universität Bochum (RUB), Department of Economics, Bochum, Germany

    This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its sparse nature... more

    Access:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 10
    Inter-library loan:
    No inter-library loan

     

    This paper investigates and extends the computationally attractive nonparametric random coefficients estimator of Fox, Kim, Ryan, and Bajari (2011). We show that their estimator is a special case of the nonnegative LASSO, explaining its sparse nature observed in many applications. Recognizing this link, we extend the estimator, transforming it to a special case of the nonnegative elastic net. The extension improves the estimator's recovery of the true support and allows for more accurate estimates of the random coefficients' distribution. Our estimator is a generalization of the original estimator and therefore, is guaranteed to have a model fit at least as good as the original one. A theoretical analysis of both estimators' properties shows that, under conditions, our generalized estimator approximates the true distribution more accurately. Two Monte Carlo experiments and an application to a travel mode data set illustrate the improved performance of the generalized estimator. Dieser Artikel untersucht und erweitert den nichtparametrischen "Random Coefficients"-Schätzer von Fox, Kim, Ryan und Bajari (2011), der sich insbesondere durch seine kurze Rechenzeit auszeichnet. Wir zeigen, dass der Schätzer ein Spezialfall des "nonnegative LASSO"-Schätzers ist. Durch diesen Zusammenhang wird klar, warum die Anzahl der durch den Schätzer ermittelten Heterogenitätstypen in vielen Anwendungen sehr gering ist. Um diese nicht wünschenswerte Eigenschaft zu verbessern, erweitern wir den Schätzer zu einem "Elastic Net"-Schätzer. Die Erweiterung wählt die richtigen Heterogenitätstypen zuverlässiger aus und ermöglicht eine präzisere Schätzung der Verteilung der Heterogenität. Da unser Schätzer eine Verallgemeinerung des ursprünglichen Schätzers ist, ist garantiert, dass eine Modellgüte mindestens so hoch wie für den Originalschätzer erzielt wird. Eine theoretische Analyse der Eigenschaften beider Schätzer zeigt, dass unser verallgemeinerter Schätzer unter bestimmten Bedingungen die wahre Verteilung der Heterogenität besser approximiert. Zwei Monte-Carlo-Studien und eine Anwendung, die die Transportmittelwahl von Pendlern zwischen Toronto und Montreal untersucht, veranschaulichen die höhere Präzision unseres Schätzers.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783867889575
    Other identifier:
    hdl: 10419/204659
    Series: Ruhr economic papers ; #824
    Subjects: Random coefficients; mixed logit; nonparametric estimation; elastic net
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  9. Local asymptotic equivalence of pure states ensembles and quantum Gaussian white noise
    Author: Butucea, Cristina; Guta, Madalin; Nussbaum, Michael
    Published: [2017]
    Publisher:  Centre de recherche en economie et statistique, [Palaiseau]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 647
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Série des documents de travail / Centre de recherche en economie et statistique ; no. 2017, 27
    Subjects: Le Cam distance; local asymptotic equivalence; quantum Gaussian process; quantum Gaussian sequence; quantum states ensemble; nonparametric estimation; quadratic functionals; nonparametric sharp testing rates
    Scope: 1 Online-Ressource (circa 51 Seiten)
  10. Recovering latent variables by matching
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: December 2019
    Publisher:  Centro de estudios monetarios y financieros, Madrid, Spain

    Access:
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 508
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEMFI ; 1914
    Subjects: Latent variables; nonparametric estimation; matching; factor models; optimal transport; income dynamics
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  11. Recovering latent variables by matching
    Author: Arellano, Manuel; Bonhomme, Stéphane
    Published: [2020]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched counterparts in the data is minimized. We show that our nonparametric estimator is consistent, and we document that it performs well in simulated data. We apply this method to study the cyclicality of permanent and transitory income shocks in the Panel Study of Income Dynamics. We find that the dispersion of income shocks is approximately acyclical, whereas the skewness of permanent shocks is procyclical. By comparison, we find that the dispersion and skewness of shocks to hourly wages vary little with the business cycle.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/241877
    Series: Cemmap working paper ; CWP20, 2
    Subjects: Latent variables; nonparametric estimation; matching; factor models; optimaltransport; income dynamics
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  12. Time-varying effects of housing attributes and economic environment on housing price
    Author: Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; Telg, Sean; Sluis, Bernhard van der
    Published: [2023]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
    Inter-library loan:
    No inter-library loan

     

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external environment. We estimate the trend and coefficient curves by local linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch housing market, covering 60 municipalities from 2006 to 2020, the proposed models show the capability to accurately describe the comovements of housing prices. Our results show strong statistical evidence of time variation in the effects of housing attributes and macroeconomic variables on prices throughout the entire sample period, revealing that the unemployment rate plays a crucial role between approximately 2012 and 2017. The extracted latent global trend reveals a significant influence of the economic environment and takes the shape of a leading indicator of the property market index. Moreover, we find that both the housing characteristics and the external environment explain comparably high proportions of the variation in housing prices, which stresses the importance of including both components in empirical analyses.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/273850
    Series: Array ; TI 2023, 039
    Subjects: housing prices; time-varying panels; nonparametric estimation; autoregressive wild bootstrap; simultaneous bands
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  13. Nonparametric estimation of sponsored search auctions and impact of Ad quality on search revenue
    Author: Kim, Dongwoo; Pal, Pallavi
    Published: [2024]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    This paper presents an empirical model of sponsored search auctions where advertisers are ranked by bid and ad quality. Our model is developed under the 'incomplete information' setting with a general quality scoring rule. We establish nonparametric... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    This paper presents an empirical model of sponsored search auctions where advertisers are ranked by bid and ad quality. Our model is developed under the 'incomplete information' setting with a general quality scoring rule. We establish nonparametric identification of the advertiser's valuation and its distribution given observed bids and introduce novel nonparametric estimators. Using Yahoo! search auction data, we estimate value distributions and study the bidding behavior across product categories. We also conduct counterfactual analysis to evaluate the impact of different quality scoring rules on the auctioneer's revenue. Productspecific scoring rules can enhance auctioneer revenue by at most 24.3% at the expense of advertiser profit (-28.3%) and consumer welfare (-30.2%). The revenuemaximizing scoring rule depends on market competitiveness.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/302889
    Series: Cemmap working paper ; CWP24, 16
    Subjects: Online advertising; digital marketing; sponsored search ads; generalized second price auction; incomplete information; nonparametric estimation; score squashing; user targeting
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  14. Inference in a stationary/nonstationary autoregressive time-varying-parameter model
    Author: Andrews, Donald W. K.; Li, Ming
    Published: [2024]
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 29
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Cowles Foundation discussion paper ; no. 2389 (May 2024)
    Subjects: Autoregressive time-varying-parameter model; endogenous initial condition; nonparametric estimation; confidence interval
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  15. Nonlinear budget set regressions for the random utility model
    Author: Blomquist, Nils Sören; Kumar, Anil; Liang, Che-yuan; Newey, Whitney K.
    Published: September 2022
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 686
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2219
    Subjects: Nonlinear budget sets; nonparametric estimation; heterogeneous preferences; taxable income; revealed stochastic preference
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  16. Nonparametric estimation of sponsored search auctions and impacts of ad quality on search revenue
    Author: Kim, Dongwoo; Pal, Pallavi
    Published: [2023]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete information' assumption. The ad value is characterized by a tractable analytical solution given observed auction parameters. Using Yahoo! search auction data, we estimate value distributions and study the bidding behavior across product categories. We find that advertisers shade their bids more when facing less competition. We also conduct counterfactual analysis to evaluate the impact of score squashing (ad quality raised to power θ < 1) on the auctioneer's revenue. Our results show that product-specific score squashing can enhance auctioneer revenue at the expense of advertiser profit and consumer welfare.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284129
    Series: Cemmap working paper ; CWP23, 05
    Subjects: Sponsored search links; generalized second price auction; incomplete information; nonparametric estimation; bid shading; score squashing
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  17. Nonparametric estimation of sponsored search auctions and impacts of AD quality on search revenue
    Author: Kim, Dongwoo; Pal, Pallavi
    Published: March 2023
    Publisher:  CESifo, Munich, Germany

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    This paper presents an empirical model of sponsored search auctions in which advertisers are ranked by bid and ad quality. We introduce a new nonparametric estimator for the advertiser's ad value and its distribution under the 'incomplete information' assumption. The ad value is characterized by a tractable analytical solution given observed auction parameters. Using Yahoo! search auction data, we estimate value distributions and study the bidding behavior across product categories. We find that advertisers shade their bids more when facing less competition. We also conduct counterfactual analysis to evaluate the impact of score squashing (ad quality raised to power θ < 1) on the auctioneer's revenue. Our results show that product-specific score squashing can enhance auctioneer revenue at the expense of advertiser profit and consumer welfare.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/271956
    Series: CESifo working papers ; 10312 (2023)
    Subjects: sponsored search links; generalized second price auction; incomplete information; nonparametric estimation; bid shading; score quashing
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  18. A mollifier approach to the deconvolution of probability densities
    Author: Maréchal, P.; Simar, Léopold; Vanhems, A.
    Published: [2018]
    Publisher:  Toulouse School of Economics, [Toulouse]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Verlag (lizenzpflichtig)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 330
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 18-965
    Subjects: nonparametric estimation; inverse problems; regularization; mollification
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  19. Global Evidence on Profit Shifting Within Firms and Across Time
    Author: Delis, Fotis; Delēs, Manthos D.; Laeven, Luc; Ongena, Steven
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We provide the first global estimates of profit shifting at the subsidiary-year level. Employing nonparametric estimation techniques within a mainstay model of profit shifting, we examine the subsidiary-year responses of earnings to the composite tax... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Inter-library loan:
    No inter-library loan

     

    We provide the first global estimates of profit shifting at the subsidiary-year level. Employing nonparametric estimation techniques within a mainstay model of profit shifting, we examine the subsidiary-year responses of earnings to the composite tax indicator faced by all subsidiaries of a multinational firm. Our panel includes 26,593 subsidiaries across 95 countries for the period 2009 2017. We extensively validate our results against aggregate estimates of previous studies and evidence from specific cases. We find that profit shifting decreased over this period in advanced economies but increased in other parts of the world where taxation policies are less stringent on average, consistent with tax arbitrage strategies. We also examine correlates of profit shifting, identifying that a key determinant is the subsidiaries’ ratio of intangible assets, and this channel is stronger in countries with weaker institutions. Both our new database and correlates open important avenues to analyze the sources and effects of profit shifting

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Swiss Finance Institute Research Paper ; No. 22-94
    Subjects: Profit shifting; multinational enterprises; nonparametric estimation; intangible assets; institutional quality; global sample
    Scope: 1 Online-Ressource (78 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2022 erstellt
  20. Model averaging and double machine learning
    Author: Ahrens, Achim; Hansen, Christian Bailey; Schaffer, Mark E.; Wiemann, Thomas
    Published: January 2024
    Publisher:  IZA - Institute of Labor Economics, Bonn, Germany

    This paper discusses pairing double/debiased machine learning (DDML) with stacking, a model averaging method for combining multiple candidate learners, to estimate structural parameters. We introduce two new stacking approaches for DDML:... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 4
    Inter-library loan:
    No inter-library loan

     

    This paper discusses pairing double/debiased machine learning (DDML) with stacking, a model averaging method for combining multiple candidate learners, to estimate structural parameters. We introduce two new stacking approaches for DDML: short-stacking exploits the cross-fitting step of DDML to substantially reduce the computational burden and pooled stacking enforces common stacking weights over cross-fitting folds. Using calibrated simulation studies and two applications estimating gender gaps in citations and wages, we show that DDML with stacking is more robust to partially unknown functional forms than common alternative approaches based on single pre-selected learners. We provide Stata and R software implementing our proposals.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/282841
    Series: Discussion paper series / IZA ; no. 16714
    Subjects: causal inference; partially linear model; high-dimensional models; super learners; nonparametric estimation
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  21. Accounting for individual-specific heterogeneity in intergenerational income mobility
    Author: Chang, Yoosoon; Durlauf, Steven N.; Hu, Bo; Park, Joon Y.
    Published: February 21, 2024
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VSP 1716
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2024, 18 (February 2024)
    Subjects: uncertainty intergenerational income mobility; ordered multinomial probability model; nonparametric estimation; heterogeneous treatment effects; reproducing kernel Hilbert space; effects of parental education
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  22. Beta-sorted portfolios
    Author: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Published: [2023]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 207
    Inter-library loan:
    No inter-library loan

     

    Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general and can be very conservative in empirically relevant settings. We propose a new variance estimator, which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284028
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1068 (July 2023)
    Subjects: beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly varying coefficients
    Scope: 1 Online-Ressource (circa 103 Seiten), Illustrationen
  23. Beta-sorted portfolios
    Author: Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining
    Published: [2023]
    Publisher:  Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 243
    Inter-library loan:
    No inter-library loan

     

    Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to comparable procedures such as two-pass regressions. We formally investigate the properties of beta-sorted portfolio returns by casting the procedure as a two-step nonparametric estimator with a nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm with precise economic and statistical assumptions on the general data generating process. We provide conditions that ensure consistency and asymptotic normality along with new uniform inference procedures allowing for uncertainty quantification and general hypothesis testing for financial applications. We show that the rate of convergence of the estimator is non-uniform and depends on the beta value of interest. We also show that the widely-used Fama-MacBeth variance estimator is asymptotically valid but is conservative in general, and can be very conservative in empirically-relevant settings. We propose a new variance estimator which is always consistent and provide an empirical implementation which produces valid inference. In our empirical application we introduce a novel risk factor - a measure of the business credit cycle - and show that it is strongly predictive of both the cross-section and time-series behavior of U.S. stock returns.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284142
    Series: Cemmap working paper ; CWP23, 18
    Subjects: Beta pricing models; portfolio sorting; nonparametric estimation; partitioning; kernel regression; smoothly-varying coefficients
    Scope: 1 Online-Ressource (circa 102 Seiten), Illustrationen
  24. PyTimeVar
    a python package for trending time-varying time series models
    Author: Song, Mingxuan; Sluis, Bernhard van der; Lin, Yicong
    Published: [2024]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    Time-varying regression models with trends are commonly used to analyze long-term tendencies and evolving relationships in data. However, statistical inference for parameter paths is challenging, and recent literature has proposed various bootstrap... more

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432
    Inter-library loan:
    No inter-library loan

     

    Time-varying regression models with trends are commonly used to analyze long-term tendencies and evolving relationships in data. However, statistical inference for parameter paths is challenging, and recent literature has proposed various bootstrap methods to address this issue. Despite this, no software package in any language has yet offered the recently developed tools for conducting inference in time-varying regression models. We propose PyTimeVar, a Python package that implements nonparametric estimation along with multiple new bootstrap-assisted inference methods. It provides a range of bootstrap techniques for constructing pointwise confidence intervals and simultaneous bands for parameter curves. Additionally, the package includes four widely used methods for modeling trends and time-varying relationships. This allows users to compare different approaches within a unified environment.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/306743
    Series: Array ; TI 2024, 060
    Subjects: time-varying; bootstrap; nonparametric estimation; boosted Hodrick-Prescott filter; power-law trend; score-driven; state-space
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  25. Return to experience and initial wage level
    do low wage workers catch up?
    Author: Sørensen, Kenneth L.; Vejlin, Rune
    Published: 2012
    Publisher:  Univ. of Aarhus, Dep. of Economics, Aarhus

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper ; 2012,02
    Subjects: Wage growth; initial wage; return to experience; nonparametric estimation
    Scope: Online-Ressource (33 S.)