Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 325 for “"Econometrics"”.
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Essays in econometrics
This dissertation consists of three chapters with a focus on the identification and estimation of causal effects. We consider various empirical strategies that are commonly used in the field of social sciences in general, and in the field of economics in particular. The first chapter considers …
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Essays in Econometrics
The thesis comprises four papers in theoretical econometrics: two papers on the subject of robust estimation and inference in moment condition models, one on semiparametric estimation in the presence of missing data, and one on survival analysis with competing risks data. The first chapter …
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Essays in econometrics
… of non- and semi-parametric methods in econometrics. It consists of three chapters. The first chapter advocates the use of unsupervised statistical learning (clustering) techniques to group observations from a series of repeated cross-sections to create a pseudo-panel of group averages. …
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Essays in Econometrics
… on the development and analysis of methods in econometrics. In the first two chapters I consider the use of jackknife bias correction techniques to deal with the incidental parameters bias that arises from including fixed effect parameters in nonlinear models. The final chapter deals with the …
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Essay in econometrics
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1996.
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Essays in Computational Econometrics
This thesis consists of three chapters, each in the form of a self-contained essay. In contemporary econometric research, computational limitations are often binding. This can be true in theoretical work, where restrictive assumptions are imposed to maintain computational tractability, or in …
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ESSAYS IN FINANCIAL ECONOMETRICS
… dissertation presents two essays in financial econometrics. These chapters show how to adapt and use econometric techniques to study various questions in financial economics. The first chapter: ``Revealed Preference for Green Stocks: An Asset Demand Approach'' combines a traditional portfolio …
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Essays in Financial Econometrics
<p>This dissertation consists of three essays. In the first essay, I analyze the performance of five different classes of integrated variance estimators when applied to various stocks of differing market capitalization in an attempt to discover the circumstances under which one estimator should be …
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Essays on Financial Econometrics
… my research results on two topics of nancial econometrics.</p><p>The rst topic is jump regression where the observation selection procedure can be</p><p>viewed as the analogy of dimension reduction for the classical big "P" problem in</p><p>statistics to the big "N" problem in nancial …
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Three Essays in Econometrics
In this thesis, I contribute to the literature on multiple comparisons and specification testing for multivariate models, through the lens of model selection procedures in asset pricing. In the first chapter, I provide a model selection procedure for multivariate models, generalizing the model …
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Essays in Financial Econometrics
… the 3 papers I wrote on the topic of financial econometrics. They include 2 papers on covariance matrix estimation and GMM estimation in panel data models, as well as one paper on ETF mispricing and authorized participants' inventory. In the first 2 papers, I proposed two new methods and applied …
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Essays on applied econometrics
… consists of three independent essays on applied econometrics. The first chapter extends the model averaging estimator (Hansen, 2007) to the time series scenario. To this end, I propose a Mallows model averaging autocorrelation corrected (MAC) estimator, in which the tapered estimator (McMurry and …
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Three Essays in Econometrics
Nonparametric estimators for average and quantile treatment effects are constructed using fractile graphical analysis under the identifying assumption that selection to treatment is based on observable characteristics. The proposed method has two-steps: first, the propensity score is estimated, and …
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Essays in Nonparametric Econometrics
… and application of nonparametric methods in Econometrics. All three chapters are linked by the use of Quantile Regression ideas and techniques. The first chapter uses stochastic approximation techniques to develop an algorithm for recursive estimation of a general linear quantile regression …
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Essays in applied econometrics
This dissertation is divided into three chapters. In the first chapter, I study the effects of texting and handheld cell phone bans on the traffic crash fatalities in the United States. In the second chapter, I analyze the impact of the Sarbanes-Oxley Act on the Value-at-Risk of the companies with …
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Three essays in econometrics
This dissertation consists of three essays. In the first essay, entitled “Robust Spectral Analysis,” I introduce quantile spectral densities that summarize the cyclical behavior of time series across their whole distribution by analyzing periodicities in quantile crossings. This approach can …
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Three essays in econometrics
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2025-05-01
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Three essays in econometrics
This thesis consists of three essays. The first essay investigates the issue of local misspecification in instrumental variable models. We show that conventional tests often fail to give accurate inferences when the exogeneity conditions of some instruments are mildly violated. The sizes of those …
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Essays in applied econometrics
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1991.
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Three essays on econometrics
… of three chapters that cover separate topics in econometrics. The first chapter demonstrate a negative result on the asymptotic sizes of subset Anderson- Rubin tests with weakly identified nuisance parameters and general covariance structure. The result of Guggenberger et al (2012) in case of …
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