economics: instrumental variables. This dissertation studies econometric questions in the context of three different methods that are frequently used by empirical economists. Chapter 3 studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. Our evaluation focuses on the use of a large variety of state-of-the-art ex-ante predictive accuracy tests as well as more standard in-sample regression diagnostics.
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Expanding on previous research that analyzes labor market outcomes across neighboring regions that experience differential changes to the minimum wage, I compare employment outcomes in border counties where the minimum wage increases to a set of neighboring counties, a set of neighbor-of- neighboring counties, and. The method allows comparing alternative views on the way state variables - macroeconomic variables, in particular - influence the yield curve dynamics, avoids curse of dimensionality problems commonly appearing in traditional models, and provides more reliable inference by using both the cross-sectional and the time. First presented to the public: 5/24/2016, originally created: 2016, original Publication Date: 2016, previously Published By: University of Rochester, place Of Publication: Rochester,.Y. We find, contrary to the existing literature, that momentum effects are sensitive to value and size factors. To illustrate the estimation procedure, I estimate the unobserved efficiency of American full-time workers as a function of age and unobserved ability. Huse, Cristian (2008 essays in applied econometrics. License Grantor / Date Granted: Konstantin Gurevich / 15:09:53.298 view License date Deposited 15:09:53.298. Prices are endogenously determined in equilibrium. Chapter 2 studies a nonparametric hedonic equilibrium model in which certain product characteristics are unobserved. Incumbency effects appear to be approximately stable across the set of elections decided by fewer than 20 percentage points. The second essay presents a model that focuses on exploring the profitability of portfolio-based trading strategies that variously combine downside risk, momentum, and mean reversion by carrying out a series of pseudo real-time trading experiments using different combination trading strategies. I conduct in- and out-of-sample studies using a comprehensive set of US data.