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Chicago Booth RPS: Econometrics & Statistics (Topic)

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

Multiple version iconThere are 3 versions of this paper

Downloads 5,191
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 Chicago - Booth School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,498
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 2,143
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

Multiple version iconThere 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
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,546
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

Multiple version iconThere 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
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 965
8.

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

Multiple version iconThere are 2 versions of this paper

Downloads 916
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
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 914
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 714
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 705
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
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 635
13.

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 625
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 591
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 581
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
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 497
17.

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 492
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
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
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
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 304
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 295
22.

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

Multiple version iconThere are 2 versions of this paper

Downloads 286
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 285
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 271
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 University of Minnesota - Carlson School of Management
Downloads 231
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 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
University of Chicago - Booth School of Business and University of California, Berkeley - Haas School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 203
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
University of California at San Diego and University of Chicago - Booth School of Business

Multiple version iconThere 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
Duke University and University of Chicago - Booth School of Business
Downloads 152
30.

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 148
31.

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 Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 147
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
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 138
33.

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 138
34.

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

Multiple version iconThere are 2 versions of this paper

Downloads 121
35.

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 119
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 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
University of Minnesota - Duluth and affiliation not provided to SSRN
Downloads 100
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 Chicago - Booth School of Business
Downloads 77
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 75
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
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
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
Yale School of Management, University of Chicago, Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management

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

Multiple version iconThere 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
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 31
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

Multiple version iconThere 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
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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper