Now showing items 1-10 of 61
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
The Discontents of Islamic Economic Morality
(American Economic Review, 1996-05-01)
Local property and state income taxes: The role of interjurisdictional competition and collusion
(Journal of Political Economy, 1997-04-01)
This paper addresses two long-standing positive questions in public finance: (i) Why is the property tax, despite widespread popular complaints against its fairness, the almost exclusive tax instrument used by local governments, ...
Nonparametric estimation of structural models for high-frequency currency market data
(Journal of Econometrics, 1995-01-01)
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can ...
Hansen-jagarsnathan bounds as classical tests of asset-pricing models
(Journal of Business and Economic Statistics, 1994-01-01)
In this article, tests of the implications of consumption-based asset-pricing models are developed. Four of these tests are based on variance bounds for intertemporal marginal rates of substitution introduced by Hansen and ...
The market value of family values
(Cato Journal, 1997-12-01)
Common Persistence in Conditional Variances
The objective function of simulation estimators near the boundary of the unstable region of the parameter space
(Review of Economics and Statistics, 1998)
The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter ...
ALLAIS, STABILITY, AND LIAPUNOV THEORY
(HISTORY OF POLITICAL ECONOMY, 1991)
The relative efficiency of method of moments estimators
(Journal of Econometrics, 1999-09-01)
The asymptotic relative efficiency of efficient method of moments when implemented with a seminonparametric auxiliary model is compared to that of conventional method of moments when implemented with polynomial moment functions. ...