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Econometric Modeling: Theoretical Issues in Microeconometrics eJournal

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Viewing: 1 - 50 of 485 papers

1.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 10,695
2.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,934
3.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 4,451
4.

Generalized Synthetic Control Method: Causal Inference with Interactive Fixed Effects Models

Political Analysis, Forthcoming, MIT Political Science Department Research Paper No. 2015-1
Number of pages: 33 Posted: 25 Mar 2015 Last Revised: 27 Aug 2016
Accepted Paper Series
Stanford University
Downloads 2,987
5.

Difference-in-Differences with Multiple Time Periods

Number of pages: 45 Posted: 24 Mar 2018 Last Revised: 18 Aug 2020
Working Paper Series
University of Mississippi - Department of Economics and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 2,786
6.

Market Microstructure in the Age of Machine Learning

Number of pages: 48 Posted: 11 Jun 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,583
7.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

A version of this paper was published in Risk, Nov. 2015
Number of pages: 28 Posted: 10 Jul 2013 Last Revised: 10 Sep 2018
Accepted Paper Series
Danske Bank - Danske Markets, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 1,321
8.

The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow

Number of pages: 49 Posted: 08 Jan 2013 Last Revised: 14 Sep 2013
Working Paper Series
AllianceBernstein LP and AllianceBernstein LP
Downloads 1,245
9.

Volatility Smile as Relativistic Effect

Physica A 475 (2017) 59-76
Number of pages: 32 Posted: 24 Aug 2016 Last Revised: 03 Mar 2017
Accepted Paper Series
Quantigic Solutions LLC
Downloads 1,217
10.

Tractable and Consistent Random Graph Models

Number of pages: 61 Posted: 25 Oct 2012 Last Revised: 25 Jun 2014
Working Paper Series
Stanford University - Department of Economics and Stanford University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,206
11.

Media Makes Momentum

Review of Financial Studies, Forthcoming
Number of pages: 83 Posted: 16 Mar 2012 Last Revised: 01 Apr 2015
Accepted Paper Series
Goethe University Frankfurt - Department of Finance, University of Duisburg-Essen, Campus Essen and Technische Universität München (TUM) - TUM School of Management
Downloads 1,154
12.

Pricing and Matching with Forward-Looking Buyers and Sellers

Rotman School of Management Working Paper No. 2859864
Number of pages: 58 Posted: 27 Oct 2016 Last Revised: 25 Jul 2018
Working Paper Series
University of Cincinnati - Lindner College of Business and University of Toronto - Rotman School of Management
Downloads 1,036
13.

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Econometrica, Forthcoming
Number of pages: 51 Posted: 17 Mar 2012 Last Revised: 24 Feb 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne and Boston College - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 965
14.

Governance: Exploring Four Approaches and Their Relevance to Research

RESEARCH FOR SUSTAINABLE DEVELOPMENT: FOUNDATIONS, EXPERIENCES, AND PERSPECTIVES, pp. 165-183, U. Wiesmann, H. Hurni, ed., Geographica Bernensia, 2011
Number of pages: 19 Posted: 09 Mar 2012
Accepted Paper Series
Graduate Institute of International and Development Studies (IHEID)
Downloads 952
15.

Two-Way Fixed Effects Estimators with Heterogeneous Treatment Effects

Number of pages: 35 Posted: 24 Mar 2018 Last Revised: 01 Nov 2019
Working Paper Series
University of California, Santa Barbara (UCSB) - Department of Economics and Center for Research in Economics and Statistics (CREST)

Multiple version iconThere are 2 versions of this paper

Downloads 952
16.

Visual Analysis of Nonlinear Dynamical Systems: Chaos, Fractals, Self-Similarity and the Limits of Prediction

Systems, 4(4), 37, 2016, DOI: 10.3390/systems4040037
Number of pages: 18 Posted: 23 Aug 2016 Last Revised: 16 Nov 2016
Accepted Paper Series
University of Southern California - Sol Price School of Public Policy
Downloads 931
17.

Dynamic Networks and Asset Pricing

AFA 2013 San Diego Meetings Paper
Number of pages: 33 Posted: 19 Mar 2012 Last Revised: 23 Dec 2012
Working Paper Series
Imperial College Business School and IE Business School
Downloads 781
18.

Regression Discontinuity Design with Many Thresholds

Number of pages: 41 Posted: 10 Jan 2016 Last Revised: 19 Sep 2019
Working Paper Series
University of Notre Dame - Department of Economics
Downloads 743
19.

How Consumers’ Willingness to Pay is Measured in Practice: An Empirical Analysis of Common Approaches' Relevance

Number of pages: 7 Posted: 21 Mar 2012
Working Paper Series
University Witten/Herdecke and affiliation not provided to SSRN
Downloads 650
20.

Scope for Renegotiation in Private Debt Contracts

Chicago Booth Research Paper No. 15-15
Number of pages: 64 Posted: 02 Mar 2012 Last Revised: 01 Nov 2016
Working Paper Series
University of Chicago Booth School of Business
Downloads 602
21.

Hidden Interactions in Financial Markets

Proceedings of the National Academy of Sciences (PNAS) of the United States of America, Volume 116, Issue 22, p. 10646-10651, May 2019, DOI: 10.1073/pnas.1819449116
Number of pages: 33 Posted: 28 Jan 2018 Last Revised: 03 Aug 2020
Accepted Paper Series
Monash University - Department of Econometrics and Business Statistics, Monash University - Department of Econometrics & Business Statistics, Boston University - Center for Polymer Studies and California Institute of Technology
Downloads 556
22.

The Effect of Financial Reporting Quality on Corporate Dividend Policy

Review of Accounting Studies, Forthcoming
Number of pages: 54 Posted: 14 Oct 2016
Accepted Paper Series
University of Illinois at Urbana-Champaign, University of Georgia - Terry College of Business and University of Texas at Austin
Downloads 554
23.

Measuring Emotion: Self-Reports vs. Physiological Indicators

Number of pages: 29 Posted: 18 Apr 2015
Working Paper Series
Reed College, Franklin & Marshall College and Franklin & Marshall College
Downloads 542
24.

Relationship between Import-Exports and Economic Growth: The Kosova Case Study

Revista Shkencore Regjionale (REFORMA), Vol. 3, p. 262-269, Feb. 2015
Number of pages: 9 Posted: 27 Dec 2016
Working Paper Series
University of Prizren
Downloads 534
25.

Causal Inference Using Mediation Analysis or Instrumental Variables - Full Mediation in the Absence of Conditional Independence

Marketing ZFP – Journal of Research and Management, 40(2): 41-57, 2018
Number of pages: 24 Posted: 06 Mar 2018 Last Revised: 02 Apr 2020
Accepted Paper Series
Goethe University Frankfurt - Department of Marketing, Tilburg University - Tilburg University School of Economics and Management, University of Tübingen and Goethe University Frankfurt
Downloads 511
26.

Corruption and Referee Bias in Football: The Case of Calciopoli

Number of pages: 37 Posted: 13 Feb 2012
Working Paper Series
Imperial College Business School, University of London, University of Essex and University of Messina - Institute of Economics and Finance
Downloads 503
27.

Factors Influencing International Students’ Choice Towards Universities in Malaysia

African Journal of Business and Management, Vol. 5, No. 26, pp.10615-10620, 2011
Number of pages: 6 Posted: 29 Feb 2012
Accepted Paper Series
International Islamic University of Malaysia (IIUM) and International Islamic University of Malaysia (IIUM) - Faculty of Economic and Management Sciences
Downloads 503
28.

Profit Leak? Pre-Release File Sharing and the Music Industry

Number of pages: 32 Posted: 14 May 2012 Last Revised: 03 Apr 2013
Working Paper Series
North Carolina State University
Downloads 495
29.

Cannibalization or Synergy? Consumers’ Channel Selection in Online-Offline Multichannel Systems

Journal of Retailing and Consumer Services, Vol. 19, No. 2, pp. 186-194, 2012
Number of pages: 34 Posted: 04 Mar 2012
Accepted Paper Series
University of Duisburg-Essen, University of Hohenheim and University of Duisburg-Essen - Department of Economics and Business Administration
Downloads 472
30.

A Non-Linear Dynamic Model of the Variance Risk Premium

Journal of Econometrics, Forthcoming
Number of pages: 35 Posted: 29 Apr 2012 Last Revised: 03 Dec 2014
Accepted Paper Series
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking

Multiple version iconThere are 2 versions of this paper

Downloads 467
31.

Fairness Ideals in Distribution Channels

Journal of Marketing Research, Forthcoming
Number of pages: 71 Posted: 14 Mar 2012 Last Revised: 30 Dec 2016
Accepted Paper Series
University of Minnesota - Twin Cities and University of Wisconsin - Madison - Department of Marketing
Downloads 467
32.

Methodological Mistakes and Econometric Consequences

International Econometric Review, Vol 4. Issue 2, p. 99-122, September 2012
Number of pages: 24 Posted: 03 Sep 2012
Accepted Paper Series
Quaid-i-Azam University - Pakistan Institute of Development Economics (PIDE)
Downloads 467
33.

An Asymmetric Distribution with Zero Skewness

Number of pages: 3 Posted: 29 Nov 2014
Working Paper Series
University of Southern California
Downloads 457
34.

Quantile Spacings: A Simple Method for the Joint Estimation of Multiple Quantiles Without Crossing

Number of pages: 64 Posted: 20 Feb 2013 Last Revised: 20 Jul 2016
Working Paper Series
MIT Sloan School of Management and University of Oregon
Downloads 454
35.

Crises: Equilibrium Shifts and Large Shocks

MIT Department of Economics Working Paper No. 16-13
Number of pages: 40 Posted: 16 Dec 2016 Last Revised: 16 Feb 2019
Working Paper Series
MIT and Massachusetts Institute of Technology (MIT) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 432
36.

What’s a Movie Worth? Determining the Monetary Value of Motion Pictures’ TV Rights

Number of pages: 51 Posted: 08 Feb 2020
Working Paper Series
University of Muenster, Texas Christian University and Unity Media Group
Downloads 407
37.

Factors Affecting Consumers’ Attitude Towards Online Purchasing Among Degree Holders in Singapore

International Conference on Economics, Business and Marketing Management (EBMM 2011), Shanghai, China, pp. 118-122, March 11-13, 2011
Number of pages: 5 Posted: 22 Feb 2012 Last Revised: 27 Feb 2012
Accepted Paper Series
Padova University, University of California, Berkeley - Coleman Fung Institute for Engineering Leadership, affiliation not provided to SSRN, Multimedia University (MMU) and affiliation not provided to SSRN
Downloads 403
38.

Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments

Quantitative Economics, July 2017, Volume 8, Issue 2, pp. 651-683
Number of pages: 50 Posted: 28 Mar 2015 Last Revised: 31 Aug 2017
Accepted Paper Series
University of Virginia and University of California, San Diego (UCSD) - Department of Economics
Downloads 401
39.

Price Manipulation by Intermediaries

İmişiker, S., Özcan, R. and Taş, B.K.O., 2015. Price manipulation by intermediaries. Emerging Markets Finance and Trade, 51(4), pp.788-797.
Number of pages: 23 Posted: 26 Feb 2012 Last Revised: 10 Jan 2019
Accepted Paper Series
TOBB University of Economics and Technology - Department of Economics, Independent and Independent
Downloads 391
40.

A Revision of the Theory of Perfect Competition and of Value

Number of pages: 48 Posted: 25 Nov 2016 Last Revised: 26 May 2020
Working Paper Series
Athens University of Economics and Business
Downloads 378
41.

Causal Inference Methods: Lessons from Applied Microeconomics

Number of pages: 76 Posted: 15 Nov 2018
Working Paper Series
Texas A&M University - George Bush School of Government and Public Service and Texas A&M University - George Bush School of Government and Public Service
Downloads 356
42.

A Polynomial Optimization Approach to Principal-Agent Problems

Econometrica, Forthcoming, Swiss Finance Institute Research Paper No. 12-35
Number of pages: 49 Posted: 03 Dec 2012 Last Revised: 15 Oct 2014
Accepted Paper Series
Lancaster University and IMD Lausanne
Downloads 331
43.

Der Beweis der Kausalität mittels 'Event Study' - Gutachten im Kontext des Kapitalmarktrechts (Proving Causation with an Event Study in Capital Markets Law)

Aktuelle Juristische Praxis, Vol. 24, pp. 251-268, 2015 , U. of St.Gallen Law & Economics Working Paper No. 2016-01
Number of pages: 19 Posted: 20 Dec 2015 Last Revised: 19 Feb 2016
Accepted Paper Series
University of St. Gallen
Downloads 331
44.

Selecting Instrumental Variables: A Graph-Theoretic Approach

Number of pages: 48 Posted: 01 Sep 2013
Working Paper Series
Sasin of Chulalongkorn University and Duke University - Departments of Economics and Philosophy
Downloads 324
45.

The Influence of Fundamental Factors on Chinese Residential Real Estate Prices: A Unique Data Panel Study

Number of pages: 47 Posted: 15 Mar 2012
Working Paper Series
University of Nottingham Ningbo China - Business School, University of London - Department of Financial and Management Studies, SOAS and Nottingham University Business School China
Downloads 324
46.

Natural Experiments in Macroeconomics

Fama-Miller Working Paper
Number of pages: 104 Posted: 25 Mar 2015 Last Revised: 10 Aug 2015
Working Paper Series
Goethe University Frankfurt and Boston University

Multiple version iconThere are 3 versions of this paper

Downloads 312
47.

Beyond Overall Treatment Effects: Leveraging Covariates in Randomized Experiments Guided by Causal Structure

Information Systems Research, Forthcoming
Number of pages: 46 Posted: 26 Feb 2019 Last Revised: 28 Apr 2020
Accepted Paper Series
University of Illinois at Chicago and Institute of Service Science, National Tsing Hua University, Taiwan
Downloads 309
48.

Does Disclosure Improve Efficiency?

Number of pages: 40 Posted: 15 Mar 2012 Last Revised: 12 Sep 2014
Working Paper Series
University of Toronto, Rotman School of Management, National Chengchi University (NCCU) - Department of Finance and Banking, Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Downloads 296
49.

Inference on Estimators Defined by Mathematical Programming

USC-INET Research Paper No. 17-28
Number of pages: 37 Posted: 27 Sep 2017 Last Revised: 08 Oct 2020
Working Paper Series
University of Southern California - Department of Economics, University of Wisconsin - Madison and California Institute of Technology
Downloads 287
50.

A Bounded Rationality Model of Information Search and Choice in Preference Measurement

Journal of Marketing Research Forthcoming, HEC Paris Research Paper No. MKG-2015-1072, Columbia Business School Research Paper No. 15-12
Number of pages: 49 Posted: 16 Jan 2015 Last Revised: 04 Mar 2015
Accepted Paper Series
HEC Paris - Marketing, Columbia Business School - Marketing and Erasmus University Rotterdam (EUR)
Downloads 284