The Clustering of Extreme Movements: Stock Prices and the Weather

A robust finding in this paper is that extreme movements in stock prices and temperature are usually preceded by large average daily movements during the preceding three-day period. This suggests that investors might fashion a market timing strategy, switching from...

Generic Competition in the U.S. Pharmaceutical Industry

We develop a simultaneous equations estimation framework to understand the interactions among generic entry, prices, and market shares. We base our estimates on a panel data sample of 40 brand-name drugs that first experienced generic competition during the period...

A New Approach to Estimating Damages in Mass Torts

Damage estimation in mass torts involving hazardous or defective products is often complicated by the unknown time-profile of disease incidence or failure rate. Because these cases involve diseases with long latencies or involve products that fail after years of...

Predicting The Price Effect of Mergers with Polynomial Logit Demand

We propose a polynomial logit model to quantify the price effects of mergers in a static Nash setting. The proposed model is parsimonious in parameters and is shown to have excellent predictive power, rivaling the in-sample and out-of-sample predictive accuracy of the...

Globally Flexible Asymptotically Ideal Models

We have recently been involved in estimating a number of Asymptotically Ideal Model (AIM) forms on multiple data sets, and the experience has led us to consider the connection between theory and practice in some detail. The AIM has a number of claimed advantages that...

Refutable Implications of the Firm Model Under Risk

Curvature properties of the indirect utility function are shown to be necessary and sufficient for refutable behavioral postulates in the form of comparative static results, reciprocity relations, and restrictions on output and input responses for firm models under...

The Economics and Econometrics of Damage Control

Concern for the potentially harmful side effects of agricultural chemical inputs, especially pesticides, highlights the need to accurately determine the economic levels of their use. We consider three model specification issues: interaction of direct production inputs...

Calculating Marginal Effects in Dichotomous-Continuous Models

In many economic settings, individual decisions can be viewed as a sequential process where a dichotomous choice is followed by a continuous choice. These processes are frequently encountered in consumption demand studies, where the decision of whether or not to...

Expo-Power: A Flexible Hazard Function for Duration Data Models

Existing computationally tractable duration models impose onerous restrictions on the hazard function’s shape. A theoretically consistent, tractable and yet flexible hazard function capable of exhibiting constant, monotonically increasing or decreasing....

Estimating Nested Count Data Models

Count data models have found a wide variety of applications not only in applied economics and finance but also in diverse fields ranging from biometrics to political science. Poisson and negative binomial (NB) models have been extensively used in count data analysis....

A Household Model of On-farm Storage Under Price Risk

We present an agricultural household model of consumption, storage, savings, and labor decisions and argue that food crop storage under price risk cannot be fully explained by “risk taking” or speculative behavior alone, as the commodity storage literature...

Adoption of Emerging Technologies Under Uncertainty

A model of divisible technology adoption under incomplete information dissemination and output uncertainty is developed. We identify economic and subjective factors affecting technology adoption and its intensity. Empirical estimation employs a mixed...

Production and Savings Under Certainty

This paper studies an integrated model of production and savings under uncertainty in which production inputs and the amount of savings are jointly chosen. The analysis shows that if the agent’s risk preferences exhibit constant absolute risk aversion, then all...