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Fixed effects instrumental variables estimation in correlated random coefficient panel data models

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I Murtazashvili… - Journal of Econometrics, 2008 - Elsevier
We provide a set of conditions sufficient for consistency of a general class of fixed effects
instrumental variables (FE-IV) estimators in the context of a correlated random coefficient
panel data model, where one ignores the presence of individual-specific slopes. We ...
Cited by 19 - Related articles - All 10 versions

Daytime shelter-seeking behavior in domestic horses

CR Heleski… - Journal of Veterinary Behavior: Clinical …, 2010 - Elsevier
We examined daytime shelter-seeking behavior (SSB) in domestic horses housed outdoors
and studied the relationship of temperature, precipitation, and wind speed with SSB. We
studied 50-60 Arabian horses (depending upon time of year) and 3-5 draft horses. Horses ...
Cited by 2 - Related articles - All 2 versions

[PDF] Local linear GMM estimation of functional coefficient IV models with application to the estimation of rate of return to schooling

[PDF] from american.edu
L Su, I Murtazashvili… - manuscript, Singapore …, 2011 - giving.american.edu
Abstract We consider the local linear GMM estimation of functional coefficient models with a
mix of discrete and continuous data and in the presence of endogenous regressors. We
establish the asymptotic normality of the estimator and propose a nonparametric test for ...
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[BOOK] A control function approach to estimating dynamic probit models with endogenous regressors, with an application to the study of poverty persistence in China

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J Giles… - 2010 - papers.ssrn.com
Abstract: This paper proposes a parametric approach to estimating a dynamic binary
response panel data model that allows for endogenous contemporaneous regressors. This
approach is of particular value for settings in which one wants to estimate the effects of an ...
Cited by 1 - Related articles - Get it from MIT Libraries - Library Search - All 13 versions

The comovement in inventories and in sales: Higher and higher

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AM Herrera, I Murtazashvili… - Economics Letters, 2008 - Elsevier
We re-examine changes in the cross-section correlation pattern of sales and inventories
using Ng's [Ng, S., 2006, Testing cross-section correlation in panel data using spacings,
Journal of Business and Economic Statistics, 24 (1), 12–23]“uniform spacing” method, ...
Cited by 1 - Related articles - All 7 versions

[CITATION] The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors.

Full text - MIT Libraries
I Murtazashvili… - Journal of banking and …, 2012 - dialnet.unirioja.es
Información del artículo The performance of cross-sectional regression
tests of the CAPM with non-zero pricing errors.
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Exogenous Treatment and Endogenous Factors: Vanishing of Omitted Variable Bias on the Interaction Term

[PDF] from iza.org
O Nizalova… - 2012 - papers.ssrn.com
Abstract: Whether interested in the differential impact of a particular factor in various
institutional settings or in the heterogeneous effect of policy or random experiment, the
empirical researcher confronts a problem if the factor of interest is correlated with an ...
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[PDF] Hausman Tests of IV Estimation Assumptions in Correlated Random Coefficient Panel Data Models

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SD Namoro… - 2010 - ewi-ssl.pitt.edu
Abstract We provide a semiparametric Hausman test of the sufficient conditions for
consistency of fixed effects instrumental variables estimators within correlated random
coefficient (CRC) models. Alternative consistent IV estimators are introduced along with ...
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flushleft The performance of cross-sectional regression tests of the CAPM with non-zero pricing errors

I Murtazashvili… - Journal of Banking & Finance, 2011 - Elsevier
We show that in the presence of non-zero pricing errors, the Fama–MacBeth (FM) cross-
sectional regression test is very likely to either reject the Capital Asset Pricing Model (CAPM)
when it (almost) holds or accept the model when it grossly fails. We investigate the case ...
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An alternative measure of intergenerational income monility based on a random coefficient model

I Murtazashvili - Journal of Applied Econometrics, 2011 - Wiley Online Library
We propose an alternative measure of the degree to which income status is transmitted from
one generation to another. Our indicator of intergenerational income mobility is based on a
random coefficient model, which allows for variation in intergenerational mobility across ...
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Panel data models with unobserved effects and endogenous explanatory variables

I Murtazashvili - 2008 - gradworks.umi.com
Abstract: This dissertation consists of three essays that address issues of estimation in panel
data models with unobserved effects and endogenous explanatory variables. The first essay
considers estimation of correlated random coefficient (CRC) panel data models with ...
Cached - All 2 versions

[PDF] A Control Function Approach to Estimating Dynamic Probit Models with Endogenous Regressors

[PDF] from coloradocollege.edu
J Giles… - 2012 - coloradocollege.edu
Abstract This paper proposes a parametric approach to estimating a dynamic binary
response panel data model that allows for endogenous contemporaneous regressors. Such
a model is of particular value for settings in which one wants to estimate the effects of an ...
Related articles - View as HTML - All 3 versions

The role of data limitations, seasonality and frequency in asset pricing models

I Murtazashvili… - Journal of International Financial …, 2012 - Elsevier
Abstract We demonstrate that the estimates of the Capital Asset Pricing Model (CAPM)
parameters significantly differ across samples, which are based on different days of the
week (representing different seasons). Our evidence suggests that the “noise” in the data ...
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A Control Function Approach To Estimating Dynamic Probit Models With Endogenous Regressors, With An Application To The Study Of Poverty Persistence In China

I Murtazashvili… - 2010 - elibrary.worldbank.org
This paper proposes a parametric approach to estimating a dynamic binary response panel
data model that allows for endogenous contemporaneous regressors. This approach is of
particular value for settings in which one wants to estimate the effects of an endogenous ...
Cached

Estimation Errors and Securities Grouping in Mean-Variance Optimization

I Murtazashvili… - 2011 - papers.ssrn.com
Abstract: We ask a question whether aggregating stocks into groups and finding an optimal
portfolio for the groups as the base assets help alleviate the estimation error problem in the
sample-based mean-variance model. Investors may choose to aggregate securities into a ...
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[CITATION] Panel Data Models with Unobserved Effects and Endogenous Explanatory Variables: By Irina Murtazashvili

I Murtazashvili - 2007 - Michigan State University. …
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