Essays in Financial Econometrics

yt and Pt replaced by any variables that affect supply but not demand. In the 1970s econometricians began to recognize that how the supply or demand equation is normalized affects the estimator of the supply or demand elasticity (¡M or ¬R ) when the two-stage least squares (2SLS) approach is employed. The quality of this estimator is sensitive to the strength of instruments used in the 2SLS est...

Economics) Essays in Industrial Organization and Econometrics

Reproducibility of economic research has attracted considerable attention in recent years. So far, the discussion has focused on reproducibility of empirical analyses. This paper addresses a further aspect of reproducibility, the reproducibility of computational experiments. We examine the current situation in econometrics and derive a set of guidelines from our findings. To illustrate how comp...

Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate the status of empirical research within the economics profession in recent years and they now open up new possibilities for empirical econometric practice. O...