Covariance Restrictions - Publications - Faculty & Research

Forthcoming
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Estimating Models of Supply and Demand: Instruments and Covariance Restrictions

By: Alexander MacKay and Nathan H. Miller

We consider the identification of empirical models of supply and demand with imperfect competition. We show that a restriction on the covariance between unobserved demand and cost shocks can resolve endogeneity and identify the price parameter. We demonstrate how to... View Details

Keywords: Demand Estimation; Identification; Endogeneity Bias; Covariance Restrictions; Ordinary Least Squares; Instrumental Variables; Price; Demand and Consumers; Competition

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Students on the Job Market - Doctoral

U.S. defense procurement data, we develop a measure of military use across goods between zero and one based on our optimal tax formulas. Our measure is associated with policy targeting and trade responses around conflicts and allows us to evaluate the U.S. security... View Details

06 Nov 2018
First Look

New Research and Ideas, November 6, 2018

a constructive identification result where the causal price parameter can be expressed as a function of the covariance of unobserved shocks. The function is estimated efficiently by the output of ordinary least squares regression. Thus,... View Details

Keywords: Dina Gerdeman

22 May 2007
First Look

First Look: May 22, 2007

measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on long-term bonds and... View Details

Keywords: Martha Lagace

13 Apr 2010
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First Look: April 13

Interest Rates Author:Luis M. Viceira Publication:International Journal of Forecasting (forthcoming) Abstract This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with... View Details