A Simple, Consistent Estimator For Disturbance Components In Financial Models

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A Simple, Consistent Estimator For Disturbance Components In Financial Models

Author Info

LEVINSOHN, J.
MACKIE-MASON, J.

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Abstract

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Publisher Info
Paper provided by Michigan - Center for Research on Economic & Social Theory in its series Papers with number 89-16.

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Length: 15 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:fth:michet:89-16

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Postal: UNIVERSITY OF MICHIGAN, DEPARTMENT OF ECONOMICS CENTER FOR RESEARCH ON ECONOMIC AND SOCIAL THEORY, ANN ARBOR MICHIGAN U.S.A.

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Related research
Keywords: enterprises ; econometrics ; pricing;

Other versions of this item:

Article
- Levinsohn, James & MacKie-Mason, Jeffrey K, 1990. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 516-20, August. [Downloadable!] (restricted)
Paper
- Levinsohn, J. & Mackie-Mason, J.K., 1989. "A Simple, Consistent Estimate For Disturbance Components In Financial Models," Working Papers 243, Research Seminar in International Economics, University of Michigan.
- James A. Levinsohn & Jeffrey K. MacKie-Mason, 1989. "A Simple, Consistent Estimator for Disturbance Components in Financial Models," NBER Technical Working Papers 0080, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Levinsohn, J. & Mackie-Mason, J.K., 1989. "A Simple, Consistent Estimator For Disturbance Components In Financial Models," Papers 443, Stockholm - International Economic Studies.

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Thomas W. Gilligan, 1986. "The Competitive Effects of Resale Price Maintenance," RAND Journal of Economics, The RAND Corporation, vol. 17(4), pages 544-556, Winter. [Downloadable!] (restricted)
Jeffrey MacKie-Mason, 1988. "Do Taxes Affect Corporate Financing Decisions?," NBER Working Papers 2632, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- MacKie-Mason, Jeffrey K, 1990. " Do Taxes Affect Corporate Financing Decisions?," Journal of Finance, American Finance Association, vol. 45(5), pages 1471-93, December. [Downloadable!] (restricted)
French, Kenneth R & Ruback, Richard S & Schwert, G William, 1983. "Effects of Nominal Contracting on Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 70-96, February. [Downloadable!] (restricted)
Grossman, Gene M & Levinsohn, James A, 1989. "Import Competition and the Stock Market Return to Capital," American Economic Review, American Economic Association, vol. 79(5), pages 1065-87, December. [Downloadable!] (restricted)
Other versions:
- Gene M. Grossman & James A. Levinsohn, 1990. "Import Competition and the Stock Market Return to Capital," NBER Working Papers 2420, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Borenstein, Severin & Zimmerman, Martin B, 1988. "Market Incentives for Safe Commercial Airline Operation," American Economic Review, American Economic Association, vol. 78(5), pages 913-35, December. [Downloadable!] (restricted)
White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May. [Downloadable!] (restricted)
Pearce, Douglas K & Roley, V Vance, 1988. " Firm Characteristics, Unanticipated Inflation, and Stock Returns," Journal of Finance, American Finance Association, vol. 43(4), pages 965-81, September. [Downloadable!] (restricted)
Other versions:
- Douglas K. Pearce & V. Vance Roley, 1989. "Firm Characteristics, Unanticipated Inflation, and Stock Returns," NBER Working Papers 2366, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- V. Vance Roley & Douglas K. Pearce, 1988. "Firm characteristics, unanticipated inflation, and stock returns," Research Working Paper 88-01, Federal Reserve Bank of Kansas City.
Mitchell, Mark L & Maloney, Michael T, 1989. "Crisis in the Cockpit? The Role of Market Forces in Promoting Air Travel Safety," Journal of Law & Economics, University of Chicago Press, vol. 32(2), pages 329-55, October.
Michael C. Jensen, 1972. "Capital Markets: Theory and Evidence," Bell Journal of Economics, The RAND Corporation, vol. 3(2), pages 357-398, Autumn. [Downloadable!] (restricted)

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