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
University of Chicago - Booth School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago Booth School of Business
There are 3 versions of this paper
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
Downloads
5,336
Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism
Journal of Accounting Research, Forthcoming, Chicago Booth Research Paper No. 13-65
Number of pages: 37
Posted: 02 Aug 2013
Downloads
508
Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism
Journal of Accounting Research, Vol. 51, No. 5, 2013
Posted: 28 Nov 2013
Downloads
5,336
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
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
There are 2 versions of this paper
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
Downloads
2,823
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
NBER Working Paper No. w20117
Number of pages: 56
Posted: 14 May 2014
Downloads
28
Downloads
2,823
3.
Bayesian Statistics and Marketing
Number of pages: 57
Posted: 17 Sep 2002
Working Paper Series
Ohio State University (OSU) - Department of Marketing and Logistics and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads
2,251
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
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
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
Downloads
1,607
Improving the Numerical Performance of Blp Static and Dynamic Discrete Choice Random Coefficients Demand Estimation
NBER Working Paper No. w14991
Number of pages: 52
Posted: 26 May 2009
Last Revised: 12 Jun 2009
Downloads
48
Downloads
1,607
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
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads
1,568
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
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
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
Downloads
1,204
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
Last Revised: 05 Oct 2001
Downloads
74
Downloads
1,204
7.
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
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
1,017
8.
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
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads
1,004
9.
The Impact of Jumps in Volatility and Returns
Number of pages: 47
Posted: 01 Jan 2001
Working Paper Series
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
The Impact of Jumps in Volatility and Returns
Journal of Finance, Vol. 58, pp. 1269-1300, June 2003
Posted: 31 Aug 2003
Downloads
982
10.
Plausibly Exogenous
Number of pages: 48
Posted: 18 May 2007
Last Revised: 04 Aug 2008
Working Paper Series
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
744
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
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
729
12.
Volumetric Conjoint Analysis
Number of pages: 29
Posted: 02 Jun 2004
Working Paper Series
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
681
13.
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
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
655
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
University of Chicago - Booth School of Business
Downloads
598
15.
Particle Filtering and Parameter Learning
Number of pages: 39
Posted: 02 May 2007
Working Paper Series
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Downloads
598
16.
The Reduced Form: A Simple Approach to Inference with Weak Instruments
Number of pages: 36
Posted: 17 Oct 2006
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
541
17.
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
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
509
18.
Asset Pricing with Omitted Factors
Chicago Booth Research Paper No. 16-21
Number of pages: 94
Posted: 08 Nov 2016
Last Revised: 31 May 2018
Working Paper Series
Yale School of Management and University of Chicago - Booth School of Business
There are 2 versions of this paper
Asset Pricing with Omitted Factors
Chicago Booth Research Paper No. 16-21
Number of pages: 94
Posted: 08 Nov 2016
Last Revised: 31 May 2018
Downloads
446
Inference on Risk Premia in the Presence of Omitted Factors
NBER Working Paper No. w23527
Number of pages: 76
Posted: 19 Jun 2017
Downloads
13
Downloads
446
19.
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
University of Chicago - Booth School of Business, University of Chicago GSB and University of Chicago - Booth School of Business
Downloads
431
20.
A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem
Number of pages: 68
Posted: 19 Jul 2006
Working Paper Series
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
381
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
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
310
22.
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
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
307
23.
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
Harvard University and University of Chicago - Booth School of Business
Downloads
299
24.
Structural Modeling and Policy Simulation: A Comment
Number of pages: 16
Posted: 14 Sep 2004
Working Paper Series
Tilburg University, CentER, University of California, Los Angeles (UCLA) - Anderson School of Management and London Business School
Downloads
280
25.
Category Pricing with State Dependent Utility
Number of pages: 42
Posted: 14 Jan 2006
Working Paper Series
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 INSEAD
Downloads
246
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
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads
226
27.
Trickle-Down Consumption
Chicago Booth Research Paper No. 13-37
Number of pages: 51
Posted: 23 Mar 2013
Working Paper Series
University of Chicago - Booth School of Business and University of California, Berkeley - Haas School of Business
There are 3 versions of this paper
Trickle-Down Consumption
Chicago Booth Research Paper No. 13-37
Number of pages: 51
Posted: 23 Mar 2013
Downloads
218
Downloads
14
Downloads
218
28.
Primary-Market Auctions for Event Tickets: Eliminating the Rents of 'Bob the Broker'?
Chicago Booth Research Paper No. 13-36
Number of pages: 58
Posted: 23 Mar 2013
Last Revised: 05 Sep 2017
Working Paper Series
University of Chicago and University of Chicago - Booth School of Business
Downloads
202
29.
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
University of California at San Diego and University of Notre Dame - Department of Economics
There are 3 versions of this paper
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
Downloads
182
Effects of Index-Fund Investing on Commodity Futures Prices
NBER Working Paper No. w19892
Number of pages: 43
Posted: 11 Feb 2014
Downloads
15
Effects of Index‐Fund Investing on Commodity Futures Prices
International Economic Review, Vol. 56, Issue 1, pp. 187-205, 2015
Number of pages: 19
Posted: 24 Jan 2015
Downloads
182
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
University of California at San Diego and University of Notre Dame - Department of Economics
There are 2 versions of this paper
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
Downloads
165
Identification and Estimation of Gaussian Affine Term Structure Models
NBER Working Paper No. w17772
Number of pages: 69
Posted: 21 Jan 2012
Downloads
12
Downloads
165
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
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
158
32.
Spot Variance Regressions
Chicago Booth Research Paper No. 13-07
Number of pages: 35
Posted: 12 Feb 2013
Working Paper Series
Duke University and University of Chicago - Booth School of Business
Downloads
157
33.
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
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
147
34.
Bias Reduction for Bayesian and Frequentist Estimators
Number of pages: 45
Posted: 06 Nov 2006
Working Paper Series
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
131
35.
Strategy-Proofness in the Large
Chicago Booth Research Paper No. 13-35
Number of pages: 72
Posted: 23 Mar 2013
Last Revised: 26 Aug 2017
Working Paper Series
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
There are 2 versions of this paper
Strategy-Proofness in the Large
Chicago Booth Research Paper No. 13-35
Number of pages: 72
Posted: 23 Mar 2013
Last Revised: 26 Aug 2017
Downloads
126
Strategy-Proofness in the Large
NBER Working Paper No. w23771
Number of pages: 72
Posted: 11 Sep 2017
Downloads
126
36.
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
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads
121
37.
Omitted Product Attributes in Discrete Choice Models
NBER Working Paper No. w9452
Number of pages: 28
Posted: 16 Jan 2003
Last Revised: 22 Jan 2003
Working Paper Series
University of Minnesota - Duluth and affiliation not provided to SSRN
Downloads
101
38.
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
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads
86
39.
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
Al-Neelain University - Department of Economics
Downloads
78
40.
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
Last Revised: 05 Oct 2001
Working Paper Series
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
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
Downloads
1,204
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
Last Revised: 05 Oct 2001
Downloads
74
Downloads
74
41.
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
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Downloads
72
42.
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
Last Revised: 09 Aug 2005
Working Paper Series
University of Chicago - Booth School of Business and National Bureau of Economic Research (NBER)
Downloads
72
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
University of California at San Diego and University of Notre Dame - Department of Economics
There are 2 versions of this paper
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
Downloads
54
Testable Implications of Affine Term Structure Models
NBER Working Paper No. w16931
Number of pages: 45
Posted: 11 Apr 2011
Downloads
13
Downloads
54
44.
Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife
Chicago Booth Research Paper No. 17-05
Number of pages: 31
Posted: 28 Mar 2017
Last Revised: 18 Apr 2018
Working Paper Series
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads
45
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
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
Texas A&M University - Department of Statistics and Stern School of Business, New York University
There are 2 versions of this paper
The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series
NYU Working Paper No. 2451/28230
Number of pages: 15
Posted: 08 Sep 2009
Downloads
26
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
Downloads
4
Downloads
4
47.
A Spatial Analysis of Sectoral Complementarity
Journal of Political Economy, Vol. 111, April 2003
Posted: 05 May 2003
Accepted Paper Series
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
Deceased, University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School
There are 2 versions of this paper
Bayesian Inference and Portfolio Efficiency
NBER Working Paper No. t0134
Number of pages: 47
Posted: 29 Dec 2006
Last Revised: 18 May 2008
Downloads
46
Bayesian Inference and Portfolio Efficiency
REVIEW OF FINANCIAL STUDIES, Volume 8 Issue 1
Posted: 26 Oct 1999
49.
Inference with Dependent Data Using Cluster Covariance Estimators
Posted: 14 Nov 2010
Working Paper Series
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
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
The Impact of Jumps in Volatility and Returns
Journal of Finance, Vol. 58, pp. 1269-1300, June 2003
Posted: 31 Aug 2003
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