Covariance Restrictions - Publications - Faculty & Research

Forthcoming
Article

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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06 Nov 2018
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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

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

Keywords: Martha Lagace

22 May 2007
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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