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 ...
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 ...
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 ...
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 ...
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, ...
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.
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Panel Data Models with Unobserved Effects and Endogenous Explanatory Variables: By Irina Murtazashvili
I Murtazashvili - 2007 - Michigan State University. …
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