SSRN Chicago Booth RPS: Econometrics & Statistics (Topic)

1.

Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism

Chicago Booth Research Paper No. 09-16

Number of pages: 36 Posted: 13 Jul 2007 Last Revised: 19 Feb 2013

Working Paper Series

Ray Ball, S.P. Kothari and Valeri V. Nikolaev

University of Chicago - Accounting, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago Booth School of Business

There are 3 versions of this paper

Downloads 5,180

2.

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Chicago Booth Research Paper No. 13-77

Number of pages: 56 Posted: 08 Sep 2013 Last Revised: 19 May 2015

Working Paper Series

Jing Cynthia Wu and Fan Dora Xia

University of Chicago - Booth School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department

There are 2 versions of this paper

Downloads 2,470

3.

Bayesian Statistics and Marketing

Number of pages: 57 Posted: 17 Sep 2002

Working Paper Series

Greg M. Allenby and Peter E. Rossi

Ohio State University (OSU) - Department of Marketing and Logistics and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 2,137

4.

Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation

Chicago Booth School of Business Research Paper No. 11-41

Number of pages: 34 Posted: 05 Feb 2009 Last Revised: 11 Jul 2016

Working Paper Series

Jean-Pierre Dubé, Jeremy T. Fox and Che-Lin Su

University of Chicago - Booth School of Business, University of Michigan and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 1,592

5.

Corporate Credit Spreads under Parameter Uncertainty

AFA 2009 San Francisco Meetings Paper

Number of pages: 45 Posted: 26 Mar 2008 Last Revised: 30 Nov 2009

Working Paper Series

Arthur G. Korteweg and Nick Polson

University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business

Downloads 1,545

6.

Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data

Yale SOM Working Paper No. MK-12

Number of pages: 64 Posted: 10 Sep 2002

Working Paper Series

Peter E. Rossi, Judith A. Chevalier and Anil K. Kashyap

University of California, Los Angeles (UCLA) - Anderson School of Management, Yale School of Management and University of Chicago, Booth School of Business

There are 2 versions of this paper

Downloads 1,189

7.

Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

Boston College Finance Dept. Working Paper

Number of pages: 31 Posted: 16 Jul 2001

Working Paper Series

Eric Jacquier, Peter E. Rossi and Nick Polson

Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business

Downloads 964

8.

The Impact of Jumps in Volatility and Returns

Number of pages: 47 Posted: 01 Jan 2001

Working Paper Series

Michael S. Johannes, Bjorn Eraker and Nick Polson

Columbia Business School - Finance and Economics, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 905

9.

Do Switching Costs Make Markets Less Competitive?

Kilts Center for Marketing at Chicago Booth – Nielsen Dataset Paper Series 20-002,

Number of pages: 48 Posted: 13 Jun 2006 Last Revised: 28 Aug 2016

Working Paper Series

Jean-Pierre Dubé, Günter J. Hitsch and Peter E. Rossi

University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 902

10.

Plausibly Exogenous

Number of pages: 48 Posted: 18 May 2007 Last Revised: 04 Aug 2008

Working Paper Series

Timothy G. Conley, Christian Hansen and Peter E. Rossi

University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 713

11.

The Role of Retail Competition, Demographics and Account Retail Strategy as Drivers of Promotional Sensitivity

Number of pages: 38 Posted: 28 Nov 2003

Working Paper Series

Peter E. Rossi, Sanjay K. Dhar and Peter Boatwright

University of California, Los Angeles (UCLA) - Anderson School of Management, University of Chicago - Marketing Management and Carnegie Mellon University - David A. Tepper School of Business

Downloads 702

12.

Bayesian Analysis of Random Coefficient Logit Models Using Aggregate Data

Number of pages: 43 Posted: 16 Jun 2007 Last Revised: 09 Sep 2008

Working Paper Series

Renna Jiang, Puneet Manchanda and Peter E. Rossi

University of California, Davis - Graduate School of Management, University of Michigan, Stephen M. Ross School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 634

13.

Volumetric Conjoint Analysis

Number of pages: 29 Posted: 02 Jun 2004

Working Paper Series

Jaehwan Kim, Greg M. Allenby and Peter E. Rossi

Korea University Business School (KUBS), Ohio State University (OSU) - Department of Marketing and Logistics and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 621

14.

Hermite Polynomial Based Expansion of European Option Prices

Chicago Booth Research Paper No. 11-40

Number of pages: 49 Posted: 08 Nov 2010 Last Revised: 20 Dec 2013

Working Paper Series

Dacheng Xiu

University of Chicago - Booth School of Business

Downloads 590

15.

Particle Filtering and Parameter Learning

Number of pages: 39 Posted: 02 May 2007

Working Paper Series

Michael S. Johannes and Nick Polson

Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

Downloads 579

16.

Finite Sample Inference for Quantile Regression Models

MIT Department of Economics Working Paper No. 06-03

Number of pages: 39 Posted: 03 Feb 2006

Working Paper Series

Victor Chernozhukov, Christian Hansen and Michael Jansson

Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics

Downloads 496

17.

The Reduced Form: A Simple Approach to Inference with Weak Instruments

Number of pages: 36 Posted: 17 Oct 2006

Working Paper Series

Victor Chernozhukov and Christian Hansen

Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

Downloads 487

18.

Can One Predict Next Year's Winning Percentage using OLS Regression on Baseball Statistics?

Number of pages: 22 Posted: 11 Dec 2006

Working Paper Series

David Abuaf, Tony Y. Chen and Alexander Trifunac

University of Chicago - Booth School of Business, University of Chicago GSB and University of Chicago - Booth School of Business

Downloads 424

19.

A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem

Number of pages: 68 Posted: 19 Jul 2006

Working Paper Series

Timothy G. Conley, Christian Hansen, Robert E. McCulloch and Peter E. Rossi

University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

Downloads 367

20.

Inference for Distributional Effects using Instrumental Quantile Regression

MIT Department of Economics Working Paper No. 02-20

Number of pages: 38 Posted: 24 May 2002

Working Paper Series

Victor Chernozhukov and Christian Hansen

Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

Downloads 298

21.

Instrumental Variable Quantile Regression

MIT Department of Economics Working Paper No. 06-19

Number of pages: 31 Posted: 19 Jun 2006

Working Paper Series

Victor Chernozhukov and Christian Hansen

Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics

Downloads 292

22.

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Chicago Booth Research Paper No. 12-14

Number of pages: 53 Posted: 26 Apr 2012 Last Revised: 05 Dec 2016

Working Paper Series

Neil Shephard and Dacheng Xiu

Harvard University and University of Chicago - Booth School of Business

Downloads 284

23.

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21

Number of pages: 53 Posted: 08 Nov 2016 Last Revised: 20 May 2017

Working Paper Series

Stefano Giglio and Dacheng Xiu

Yale School of Management and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 279

24.

Structural Modeling and Policy Simulation: A Comment

Number of pages: 16 Posted: 14 Sep 2004

Working Paper Series

Bart J. Bronnenberg, Peter E. Rossi and Naufel J. Vilcassim

Tilburg University, CentER, University of California, Los Angeles (UCLA) - Anderson School of Management and London Business School

Downloads 271

25.

Category Pricing with State Dependent Utility

Number of pages: 42 Posted: 14 Jan 2006

Working Paper Series

Jean-Pierre Dubé, Günter J. Hitsch, Peter E. Rossi and Maria Ana Vitorino

University of Chicago - Booth School of Business, University of Chicago - Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Minnesota - Carlson School of Management

Downloads 230

26.

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

Chicago Booth Research Paper No. 13-72

Number of pages: 61 Posted: 15 Aug 2013 Last Revised: 09 Apr 2017

Working Paper Series

Drew D. Creal and Jing Cynthia Wu

University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business

Downloads 222

27.

Trickle-Down Consumption

Chicago Booth Research Paper No. 13-37

Number of pages: 51 Posted: 23 Mar 2013

Working Paper Series

Marianne Bertrand and Adair Morse

University of Chicago - Booth School of Business and University of California, Berkeley - Haas School of Business

There are 3 versions of this paper

Downloads 201

28.

Effects of Index-Fund Investing on Commodity Futures Prices

Chicago Booth Research Paper No. 13-73

Number of pages: 43 Posted: 06 Sep 2013 Last Revised: 22 Jul 2014

Working Paper Series

James D. Hamilton and Jing Cynthia Wu

University of California at San Diego and University of Chicago - Booth School of Business

There are 3 versions of this paper

Downloads 177

29.

Spot Variance Regressions

Chicago Booth Research Paper No. 13-07

Number of pages: 35 Posted: 12 Feb 2013

Working Paper Series

Jia Li and Dacheng Xiu

Duke University and University of Chicago - Booth School of Business

Downloads 149

30.

Identification and Estimation of Gaussian Affine Term Structure Models

Journal of Econometrics, Vol. 168 , No. 2, 2012, Chicago Booth Research Paper No. 13-71

Number of pages: 69 Posted: 10 Aug 2011 Last Revised: 25 Sep 2013

Accepted Paper Series

James D. Hamilton and Jing Cynthia Wu

University of California at San Diego and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 147

31.

Admissible Invariant Similar Tests for Instrumental Variables Regression

MIT Department of Economics Working Paper No. 07-09

Number of pages: 21 Posted: 03 Apr 2007

Working Paper Series

Victor Chernozhukov, Christian Hansen and Michael Jansson

Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics

Downloads 144

32.

Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?

Journal of Real Estate Finance and Economics, Vol. 40, No. 4, 2010

Number of pages: 28 Posted: 26 Feb 2010 Last Revised: 26 Dec 2012

Accepted Paper Series

K.W. Chau, Siu Kei Wong, Chung Yim Edward Yiu, K. S. Maurice Tse and Frederik Pretorius

The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics, University of Hong Kong, Chinese University of Hong Kong - Department of Geography and Resource Management, The University of Hong Kong - School of Economics and Finance and The University of Hong Kong - Department of Real Estate and Construction

Downloads 137

33.

Primary-Market Auctions for Event Tickets: Eliminating the Rents of 'Bob the Broker'

Chicago Booth Research Paper No. 13-36

Number of pages: 53 Posted: 23 Mar 2013 Last Revised: 17 Mar 2015

Working Paper Series

Aditya Bhave and Eric B. Budish

University of Chicago and University of Chicago - Booth School of Business

Downloads 129

34.

Strategy-Proofness in the Large

Chicago Booth Research Paper No. 13-35

Number of pages: 88 Posted: 23 Mar 2013

Working Paper Series

Eduardo M. Azevedo and Eric B. Budish

University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business

Downloads 119

35.

A Penalty Function Approach to Bias Reduction in Non-linear Panel Models with Fixed Effects

Number of pages: 27 Posted: 29 Jul 2005

Working Paper Series

Alan Bester and Christian Hansen

University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics

Downloads 117

36.

Bias Reduction for Bayesian and Frequentist Estimators

Number of pages: 45 Posted: 06 Nov 2006

Working Paper Series

Alan Bester and Christian Hansen

University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics

Downloads 117

37.

Omitted Product Attributes in Discrete Choice Models

NBER Working Paper No. w9452

Number of pages: 28 Posted: 16 Jan 2003

Working Paper Series

Amil Petrin and Kenneth E. Train

University of Minnesota - Duluth and affiliation not provided to SSRN

Downloads 100

38.

Empirical Data Analysis of HIV/AIDS in Sudan with Reference to Khartoum State

Econometrics, Data Collection and Data Estimation Methodology Journal, Vol. 4, Issue 45, June 27, 2011

Number of pages: 19 Posted: 20 Jun 2011 Last Revised: 02 Jul 2011

Accepted Paper Series

Issam A.W. Mohamed

Al-Neelain University - Department of Economics

Downloads 75

39.

Comment on 'Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset'

American Economic Review, Forthcoming, Chicago Booth Research Paper No. 13-74

Number of pages: 21 Posted: 06 Sep 2013 Last Revised: 27 Sep 2013

Accepted Paper Series

Michael D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu

Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Chicago - Booth School of Business

Downloads 73

40.

A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions

Cowles Foundation Discussion Paper No. 1522

Number of pages: 50 Posted: 18 Jul 2005

Working Paper Series

Federico M. Bandi and Peter C. B. Phillips

Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation

Downloads 71

41.

Inference with "Difference in Differences" with a Small Number of Policy Changes

NBER Working Paper No. t0312

Number of pages: 51 Posted: 09 Aug 2005

Working Paper Series

Timothy G. Conley and Christopher Taber

University of Chicago - Booth School of Business and National Bureau of Economic Research (NBER)

Downloads 71

42.

Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data

NBER Working Paper No. w7981

Number of pages: 65 Posted: 21 Oct 2000

Working Paper Series

Judith A. Chevalier, Anil K. Kashyap and Peter E. Rossi

Yale School of Management, University of Chicago, Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

There are 2 versions of this paper

Downloads 68

43.

Testable Implications of Affine Term Structure Models

Journal of Econometrics, Forthcoming, Chicago Booth Research Paper No. 13-69

Number of pages: 34 Posted: 12 May 2011 Last Revised: 25 Sep 2013

Accepted Paper Series

James D. Hamilton and Jing Cynthia Wu

University of California at San Diego and University of Chicago - Booth School of Business

There are 2 versions of this paper

Downloads 48

44.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jacknife

Chicago Booth Research Paper No. 17-05

Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 05 Apr 2017

Working Paper Series

Jia Li, Yunxiao Liu and Dacheng Xiu

Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business

Downloads 28

45.

Bayesian Model Uncertainty in Smooth Transition Autoregressions

Journal of Time Series Analysis, Vol. 27, No. 1, pp. 99-117, January 2006

Number of pages: 19 Posted: 21 Feb 2006

Accepted Paper Series

Hedibert F. Lopes and Esther Salazar

University of Chicago - Booth School of Business and Duke University

Downloads 9

46.

The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series

Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 618-630, November 2009

Number of pages: 13 Posted: 20 Oct 2009

Accepted Paper Series

Willa W. Chen and Rohit Deo

Texas A&M University - Department of Statistics and Stern School of Business, New York University

There are 2 versions of this paper

Downloads 4

47.

A Spatial Analysis of Sectoral Complementarity

Journal of Political Economy, Vol. 111, April 2003

Posted: 05 May 2003

Accepted Paper Series

Timothy G. Conley and Bill Dupor

University of Chicago - Booth School of Business and Federal Reserve Banks - Federal Reserve Bank of St. Louis

48.

Bayesian Inference and Portfolio Efficiency

REVIEW OF FINANCIAL STUDIES, Volume 8 Issue 1

Posted: 26 Oct 1999

Accepted Paper Series

Shmuel Kandel (deceased), Robert E. McCulloch and Robert F. Stambaugh

Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

There are 2 versions of this paper

49.

Inference with Dependent Data Using Cluster Covariance Estimators

Posted: 14 Nov 2010

Working Paper Series

Alan Bester, Timothy G. Conley and Christian Hansen

University of Chicago Graduate School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics

50.

The Impact of Jumps in Volatility and Returns

Journal of Finance, Vol. 58, pp. 1269-1300, June 2003

Posted: 31 Aug 2003

Accepted Paper Series

Bjorn Eraker, Michael S. Johannes and Nick Polson

University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business

There are 2 versions of this paper

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