Accounting for individual-level heterogeneity in the response to treatment is a major development in the econometric literature on program evaluation. A substantial body of empirical evidence demonstrates that econometric models fit on individual-level data manifest heterogeneity in treatment effects that is present even after conditioning on observables. An important distinction is the one bet...

This paper tests for the importance of cash flow on investment in fixed capital and R&D using firm-level panel data in two countries between 1985 and 1994. For German firms, cash flow is not informative in simple econometric models of fixed investment or R&D. In identical specifications for British firms, cash flow is informative about investment, although not about the level of R&D spending co...

This paper reconsiders the developments of model evaluation in macroeconometrics over the last forty years. Our analysis starts from the failure of Cowles foundation models. The different diagnosis of this failure are then analyzed to classify them in two groups: explanations related to problems in the theoretical models that lead to problems in the identification of the relevant econometric mo...

The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). The author’s bound incorporates variance risk premia. It reaches the GHT bound when non-linearities in returns are not priced. The author als...

An understanding of volatility in stock markets is important for determining the cost of capital and for assessing investment and leverage decisions as volatility is synonymous with risk. Substantial changes in volatility of financial markets are capable of having significant negative effects on risk averse investors. Using daily returns from 1992 to 2002, we investigate volatility co-movement ...

Organizational boards of directors are one of the most important subgroups within most modern organizations, performing critical advisory, monitoring and resource dependence roles. This paper investigates the crucial question of whether the stock market values ethnic and gender diversity within organizational boards. We find that board diversity is positively associated with market valuation. W...

In the United States, as elsewhere, state and federal governments have considered or implemented a range of policies to create more sustainable energy generation systems in response to concerns over climate change, security of fuel supply, and environmental impacts. These policies include both regulatory instruments such as renewable portfolio standards (RPSs) and market incentives such as tax ...

ONE OF THE most important advances in monetary policy analysis in the past three decades has been the development and use of economy-wide econometric models that combine forward-looking rational expectations and sticky prices or wages. Such models are so commonplace now that the idea hardly deserves comment and indeed the structural models presented at this conference are no exception. But no s...

Article history: Received 29 July 2010 Received in revised form 2 May 2012 Accepted 4 July 2012 Available online xxxx A number of socio-economic factors influence broadband diffusion and are assumed to be responsible for the different levels of adoption among countries. Most of the approaches met in literature do not take into account the different stages of the diffusion process and they are p...

Investment in R&D has long been regarded as an important source of productivity growth in Australian agriculture. Perhaps because research lags are long, current investment in R&D is monitored closely. Investment in R&D has been flat while productivity growth has remained strong, relative both to other sectors of the Australian economy and to the agricultural sectors of other countries. Such pr...