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25
Multivariate tests of financial models: A new approach
 Journal of Financial Economics
, 1982
"... A variety of fmancial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errorsinthevariables problem which has plagued a number of past studies, the suggested methodology in ..."
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Cited by 114 (2 self)
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A variety of fmancial models are cast as nonlinear parameter restrictions on multivariate regression models, and the framework seems well suited for empirical purposes. Aside from eliminating the errorsinthevariables problem which has plagued a number of past studies, the suggested methodology increases the precision of estimated risk premiums by as much as 76%. In addition, the approach leads naturally to a likelihood ratio test of the parameter restrictions as a test for a financial model. This testing framework has considerable power over past test statistics. With no additional variable beyond fi, the substantive content of the CAPM is rejected for the period 19261975 with a significance level less than 0.001. 1.
Unbiased Determination of Production Technologies
 Journal of Econometrics
, 1982
"... To determine whether an industry exhibits constant returns to scale, whether the production fUnction is homothetic, or whether inputs are separabl ~ a common approach is to specify a cost function, estimate its parameters using data such as prices and quantities of inputs, and then test the parametr ..."
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Cited by 55 (3 self)
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To determine whether an industry exhibits constant returns to scale, whether the production fUnction is homothetic, or whether inputs are separabl ~ a common approach is to specify a cost function, estimate its parameters using data such as prices and quantities of inputs, and then test the parametric restrictions corresponding to constant returns, a homothetic technology, or separability. Statistically, such inferences are valid if the true cost fUnction is a me~er considered, otherwise the inference is biased. of the parametric class That is, the true rejection probability is not necessarily adequately approximated by the nominal size of the statistical test. The use of fixed parameter flexible functional forms such as the Translog, the generalized Leontief, or the BoxCox will
Estimating Evoked Dipole Responses in Unknown Spatially Correlated Noise with EEG/MEG Arrays
, 2000
"... We present maximum likelihood (ML) methods for estimating evoked dipole responses using electroencephalography (EEG) and magnetoencephalography (MEG) arrays, which allow for spatially correlated noise between sensors with unknown covariance. The electric source is modeled as a collection of current ..."
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Cited by 20 (4 self)
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We present maximum likelihood (ML) methods for estimating evoked dipole responses using electroencephalography (EEG) and magnetoencephalography (MEG) arrays, which allow for spatially correlated noise between sensors with unknown covariance. The electric source is modeled as a collection of current dipoles at fixed locations and the head as a spherical conductor. We permit the dipoles' moments to vary with time by modeling them as linear combinations of parametric or nonparametric basis functions. We estimate the dipoles' locations and moments and derive the CramrRao bound for the unknown parameters. We also propose an MLbased method for scanning the brain response data, which can be used to initialize the multidimensional search required to obtain the true dipole location estimates. Numerical simulations demonstrate the performance of the proposed methods. Index TermsCramrRao bound, dipole source, EEG, evoked responses, maximum likelihood parameter estimation, MEG, sensor arr...
The Integration of the Real Estate Market and The Stock Market: Some Preliminary Evidence
 Journal of Real Estate Finance and Economics
, 1990
"... This Article or Chapter is brought to you for free and open access by the School of Hotel Administration Collection at The Scholarly Commons. It has ..."
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Cited by 17 (0 self)
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This Article or Chapter is brought to you for free and open access by the School of Hotel Administration Collection at The Scholarly Commons. It has
Investment in U.S. agriculture
 American Journal of Agricultural Economics
, 1986
"... Resource adjustment problems in U.S. agriculture are motivated against the background of the farm problem. The adjustment cost hypothesis is invoked to specify and estimate consistently a system of dynamic investment demand and output supply equations by utilizing recent advances in dynamic duality ..."
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Cited by 17 (0 self)
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Resource adjustment problems in U.S. agriculture are motivated against the background of the farm problem. The adjustment cost hypothesis is invoked to specify and estimate consistently a system of dynamic investment demand and output supply equations by utilizing recent advances in dynamic duality theory. The investment demand equations assume the form of a multivariate flexible accelerator. Results indicate that labor, capital services, and land exhibited quasifixity while intermediate materials were a variable factor. This can be construed as a form of asset fixity within aggregate U.S. agriculture. The univariate flexible accelerator hypothesis is rejected. Key words: agricultural investment, asset fixity, dynamic duality, flexible accelerator. V.S. agriculture underwent a dramatic transformation in the postwar era, from a moderately large sector to a relatively small sector, as a response to constantly shifting supply and demand conditions. Hypothesizing that agricultural supply grew faster than demand, Schultz concluded that "the equilibrating mechanism is faced with a transfer problem, that is, the task of moving an excess supply of resources out of agriculture " (p. 49). Within Schultz's paradigm, supply shifts resulted from rapid assimilation of new technology, while domestic demand growth reflected increased per capita income. These hypotheses about supply and demand growth for agricultural products were also employed by Cochrane in his "treadmill " explanation of the farm problem. Currently, V.S. agriculture is experiencing some of its most trying experiences since the Great Depression. Only a few short years after many agricultural experts were convinced that the farm problem had been solved by the opening of new and everexpanding export Utpal Vasavada is an assistant professor of agricultural economics at the University of Georgia; Robert G. Chambers is a senior staff economist at the Council of Economic Advisers, Washington,
Reliability Analysis Using the Least Squares Method in Nonlinear MixedEffect Degradation Models
, 1996
"... We develop statistical inference procedures in assessing product reliability based on a nonlinear mixedeffect degradation model and the least squares method. With today's high technology, some life tests result in no or very few failures by the end of test. Thus, it is hard to use the traditio ..."
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Cited by 4 (0 self)
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We develop statistical inference procedures in assessing product reliability based on a nonlinear mixedeffect degradation model and the least squares method. With today's high technology, some life tests result in no or very few failures by the end of test. Thus, it is hard to use the traditional reliability analysis to analyze lifetime data. Since product performance degrades over time, we analyze the degradation data and use the analytical results to estimate percentiles of the failure time distribution. The nonlinear mixedeffect degradation model provides us a way to build the relationship between degradation measurements and time. We establish asymptotic properties of the ordinary and weighted least squares estimators under the nonlinear mixedeffect model. We use these asymptotic results to obtain point estimates and approximate confidence intervals for percentiles of the failure time distribution. Two real data sets are analyzed. Performances of the proposed method are studied ...
A Direct Monte Carlo Approach for Bayesian Analysis of the Seemingly Unrelated Regression Model
, 801
"... by ..."
INTERNATIONAL COMPARISONS OF THE RESIDENTIAL DEMAND FOR ENERGY: A PRELIMINARY ANALYSIS
, 1976
"... for assistance in some of the computational work, and to Mel Fuss, ..."
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for assistance in some of the computational work, and to Mel Fuss,
Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy*
, 1995
"... We use a multifactor asset pricing model to investigate whether fluctuations in industry stock returns are due to industryspecific shocks or to monetary and other macroeconomic factors. We find that common factors explain a substantial portion of the variation in stock returns, indicating that eco ..."
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We use a multifactor asset pricing model to investigate whether fluctuations in industry stock returns are due to industryspecific shocks or to monetary and other macroeconomic factors. We find that common factors explain a substantial portion of the variation in stock returns, indicating that economic fluctuations are not due to industryspecific factors alone. We also find that disinflationary monetary policy harms both small and large firms while expansionary policy benefits large but not small firms. These results have mixed implications for the view that credit market frictions propagate monetary shocks_.