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- The Missing Globalization Puzzle
- The failure of declining trade-related costs to be reflected in estimates of the standard gravity model of bilateral trade might be called the "missing globalization puzzle." This puzzle is most apparent in the estimated distance coefficients found in the literature, which show no evidence of declining in absolute value over...
- White papers 2002-10-01
Additional Resources
- Forecasting Ability of the Fama and French Three-Factor Model - Implications for Capital Budgeting
- In this white paper the model-based estimation of the cost of capital, the common practice uses the average historical factor premiums as a proxy for the estimated factor premiums. But evidence shows that the common practice generates very inaccurate estimates. The article proposed an alternative way to estimate factor premiums...
- White papers 2003-07-01
- Dynamic Estimation of Freeway Weaving Capacity for Traffic Management and Operations, Phase II
- This report presents an adaptive procedure to estimate the time-variant capacity at consecutive weaving areas in real time. The proposed procedure uses the volume/occupancy data commonly available from single loop detectors and estimates the maximum total volume that can enter a given freeway-weaving segment through time. The behavior at several...
- White papers 2003-07-01
- Consumer Surplus In Online Auctions
- Despite the growing research interest in Internet auctions, particularly those on eBay, little is known about quantifiable consumer surplus levels in such mechanisms. Using an ongoing novel field experiment that involves real bidders participating in real auctions, and voting with real dollars, the publisher collects and examines a unique dataset...
- White papers 2006-07-13
- Measurement and Estimation of Credit Migration Matrices
- Credit migration matrices are cardinal inputs to many risk management applications. Their accurate estimation is therefore critical. One explores three approaches, cohort and two variants of duration - time homogeneous and non-homogeneous - and the resulting differences, both statistically through matrix norms and economically through credit portfolio and credit derivative...
- White papers 2003-04-08
- Estimation Of Markov Regime-Switching Regression Models With Endogenous Switching
- Following Hamilton (1989), estimation of Markov regime-switching regressions nearly always relies on the assumption that the latent state variable controlling the regime change is exogenous. One can relax this assumption and develop two techniques to estimate Markov-switching models with endogenous switching. The first extends the endogenous switching models in Maddala...
- White papers 2003-06-01
- Supreme Court approves IRS method for employer FICA on tips
- May the IRS use an aggregate estimation method to determine unreported tips and then assess employer FICA taxes on the estimated unreported amounts? According to a recent Supreme Court decision in U.S. v. Flor D'Italia [536 U.S. - (2002), 2002-1 USTC 50,4591, the answer is yes. The decision settles the...
- Research articles 2003-04-01
- Information Value And Risk Premium In Agricultural Production: The Case Of Split Nitrogen Application For Corn
- This article considers an agricultural production model of sequential nitrogen application under risk. Because of random shocks between subsequent production stages, optimal fertilization decisions depend on the magnitude of farmers' risk aversion risk premium, and the possibility for farmers to process information value of information. We propose a joint estimation...
- Research articles 2000-02-01
- What's Unique About the Federal Funds Rate? Evidence From a Spectral Perspective
- A large empirical literature attempts to identify US monetary policy shocks using the effective federal funds rate. This paper compares the time series behavior of the effective federal funds rate to 10 US interest rates with maturities ranging from overnight to 10 years. Using a spectral estimation procedure that is...
- White papers 2002-01-01
- Estimating An Sku-Level Brand Choice Model Combining Household Panel Data And Store Data
- The extant literature using household scanner data to estimate consumer choice models has identified two key sources of bias in estimated mean responses to marketing variables. Omitted heterogeneity may bias mean responses towards zero. At the same time, omitted time-varying characteristics of alternatives that influence consumer choices may also bias...
- White papers 2003-07-18
- Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion From Option-Implied and Realized Volatilities
- This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment suggests that the procedure works well...
- White papers 2004-09-01
- Global Demand for U.S. Environmental Goods and Services
- This paper reports import demand elasticities for environmental goods and services EGS for the world in aggregate and for six world regions. The paper involves a pooled cross-section and time-series estimation procedure and makes per capita demand for EGS a function of economic, political, and structural factors. The results show...
- Research articles 2004-04-01
- Identification of shared components in large ensembles of time series using dimension reduction.
- In this article we present a framework for parsimonious modeling of large ensembles of time series. The idea is to identify a small number of stochastic time series components such that each series in the ensemble is a weighted sum of series-specific realizations of the components. We present an estimation...
- Research articles 2002-09-01
- Heater power estimation. (Product Design and Development).(from Minco Products, Inc)(Brief Article)
- Application Aid #2l presents a simplified procedure for estimating wattage requirements of electric heaters. It discusses equations and data for calculating heat sink warmup and losses due to convection, radiation, and conduction. Included are sample calculations and tables of physical constants. Application aid is 12 pages....
- Research articles 2001-08-01
- Momentum Strategies: Some Bootstrap Tests
- This study introduces a new estimation-based bootstrap simulation procedure to test whether different returns-generating models can explain the profitability of momentum strategies. It incorporates simple random walk and multifactor models and allow for autocorrelation, cross-correlation, conditional heteroscedasticity and predictability through conditioning information variables. In addition, it evaluates alternative sampling procedures...
- White papers 2003-03-01
- Public And Private Capital Productivity Puzzle: A Nonparametric Approach
- Is public expenditure productive? Is there a shortfall or excess in public capital investment? This paper addresses these old issues in the light of new econometric tools. It is argued that the Cobb-Douglas specification that ignores non-linearity inherent in the functional relationship of the production technology causes incorrect estimates of...
- White papers 2005-06-01
- Bayesian morphology: fast unsupervised Bayesian image analysis.
- A new procedure for using Bayesian statistics in the segmentation, classification and restoration of images has been developed. The technique, called Bayesian morphology, is based on mathematical morphology and the ICM method. The idea behind this approach is that the ICM algorithm is equivalent to a form of mathematical morphology...
- Research articles 1999-06-01
- Runoff index values for frozen soil areas of the Pacific Northwest.(Special Issue: Water Research and Management in Semiarid Environments)
- The NCRS Runoff Curve procedure is inappropriate for estimating runoff in the Pacific Northwest where the annual hydrology is dominated by snowfall, soil freezing and thawing. This has prevented researchers in the region from using several hydrology and erosion models. A new estimation method based on runoff plot data from...
- Research articles 1995-09-01
- Ronaldo has "successful" op
- MANCHESTER, England AFP — Manchester United winger Cristiano Ronaldo has had "successful" surgery on his ankle in Amsterdam, the club confirmed in a statement on Monday. "Initial indications are that the procedure was successful," United said after the Portuguese star went under the knife in an op which could...
- Research articles 2008-07-07
- Solar heat gain through fenestration, a review of current practice
- Some methods of calculating solar heat gain through windows are examined, comparing the practice in Australia, the UK and the USA and looking at how this practice is changing. It is shown that the same term is often used with different meanings in the three countries and that the same...
- Research articles 2002-09-01
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