Estimating and interpreting models with endogenous treatment effects: The relationship between competing estimators of the union impact on wages

Wages;Trade Unions;Estimation;Models

Estimation of time dependent parameters in linear models using cross sections, panels or both

Estimation;mathematische statistiek

Estimating and testing simultaneous equation panel data models with censored endogenous variables

Wages;Estimation;Testing;Models

The Economic Value of Predicting Stock Index Returns and Volatility

In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954-1998, we test the statistical significance of return and volatility predictably and examine the economic value of a number of alternative trading strategies. We find strong evidence for market timing in both returns and volatility. Joint tests indicate no dependence between return and volatility timing, while it appears easier to forecast returns when volatility is high. For a mean-variance investor, this predictably is economically profitable, even if short sales are not allowed and transaction costs are quite large.Predicability of stock returns and volatility

Incomplete panels and selection bias: A survey

Sampling;Panel Data

Testing for selectivity bias in panel data models

Estimation;Panel Data