Journal ArticleEconomic Research Initiatives at Duke (ERID) Working Paper · June 14, 2011
We present a new approach to the estimation of dynamic models using panel data, not on individuals, but aggregated to some level such as the school, county or state. This approach embeds the reduced form implications of dynamic optimization for exiting a c ...
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Journal ArticleThe American economic review · January 2000
For 20 years following 1949, average total fertility per woman in China hovered just above six children. The year 1970 marked the beginning of persistent fertility declines. By 1980, the rate had dropped to 2.75, and since 1992 it has remained under 2. Whi ...
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Journal ArticleReview of Quantitative Finance and Accounting · January 1, 1991
The rapidly increasing volume of both published and unpublished work on the arbitrage pricing theory (APT) of Ross (1976) has given rise to a number of misunderstandings at the interface of theoretical and econometric work. In this article we extend the th ...
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Journal ArticleJournal of Business and Economic Statistics · January 1, 1988
By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justifica ...
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Journal ArticleEconomics Letters · January 1, 1985
Non-linear SUR and ITSUR techniques are proposed for the estimation of the APT and the CAPM when the factors are observed. These techniques estimate all of the parameters of the model simultaneously and directly impose the model's non-linear parameter rest ...
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Journal ArticleJournal of Econometrics · January 1, 1977
This paper presents a measure of goodness of fit for Zellner's seemingly unrelated regressions. The measure is a monotonic transform of the appropriate (asymptotic) F-statistic, is bounded on [0, 1] and is maximized by Zellner's estimation technique. Glahn ...
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Journal ArticleJournal of Econometrics · January 1, 1977
This paper extend, in an asymptotic sense, the strong and the weaker mean square error criteria and corresponding tests to linear models with non-spherical disturbances where the error covariance matrix is unknown but a consistent estimator for it is avail ...
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