1,720,958 research outputs found
Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed-versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs
Full text linkThe paper by Antoine, Proulx, and Renault (2018) (APR) deals with the econometric definition, economic interpretation, and statistical estimation of the pseudo-true stochastic discount factor (SDF) in misspecified conditional asset pricing models. The paper revolves around fundamental issues like the role of conditioning information and omitted risk factors, and has non-trivial interactions with the current debate in the literature on the impact of weak factors (weak identification) for assessing asset pricing models. Building on, and substantially extending, previous contributions in the literature, the approach of the authors to define a pseudo-true SDF relies on the minimizers of econometric criteria based on a conditional version of the Hansen–Jagannathan (HJ) distance, that is, an average across states of squared conditional pricing errors. The authors provide an insightful discussion of the economic interpretation of pseudo-true SDFs. APR advocate the use of a fixed bandwidth (i.e., independent of the sample size) when estimating the conditional pricing errors by kernel regression methods to facilitate statistical analysis. This route leads to bandwidth-dependent pseudo-true SDF parameters and estimators thereof.
In our discussion, we investigate the different definitions of pseudo-true SDFs and interpret the fixed-bandwidth proposal as a model calibration which down-weights highfrequency Fourier components of the conditional pricing errors (Section 1). We compare the statistical properties of pseudo-true SDF parameters’ estimators relying on vanishing versus fixed bandwidth, and provide a condition under which the former have a smaller asymptotic variance than the latter (or viceversa). We look at these topics through the lens of misspecified conditional linear SDF models in which priced risk factors are omitted using both simulated and real data (Section 3). We skip regularity conditions and relegate some technical derivations in the Appendix of the paper
Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance
Full text linkWe compare nonnested parametric specifications of the stochastic discount factor (SDF) using the conditional Hansen-Jagannathan (HJ-) distance. This distance measures the discrepancy between a parametric model-implied SDF and the admissible SDF's satisfying all the conditional (dynamic) no-arbitrage restrictions, instead of just few unconditional no-arbitrage restrictions for managed portfolios chosen through the instrument selection. We estimate the conditional HJ-distance by a generalized method of moments estimator and establish its large sample properties for model selection purposes. We compare empirically several SDF models including multifactor beta pricing specifications and some recently proposed SDF models that are conditionally linear in consumption growth
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
koamabayili/VECTRON-author-checklist: VECTRON author checklist
No full textWe have done our best to complete the author checklist relating to the use of animals in the hut study. Note that the objective for the hut study was to evaluate the IRS treatment applications for residual efficacy against Anopheles mosquitoes, including the local An. coluzzii mosquito population. Cows were only used to attract mosquitoes into the huts and no tests were carried out directly on the cows. The author checklist is intended for use with studies where experiments are carried out on animals, which is why we have had such difficulty in completing this for the hut study, as many of the questions do not relate to how the cows were used
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