Harvard Business School

Applying Random Coefficient Models to Strategy Research: Testing for Firm Heterogeneity, Predicting Firm-Specific Coefficients, and Estimating Strategy Trade-Offs

Alcacer, Juan, Wilbur Chung, Ashton Hawk, and Goncalo Pacheco-de-Almeida. "Applying Random Coefficient Models to Strategy Research: Testing for Firm Heterogeneity, Predicting Firm-Specific ...
Harvard Business School

Applying Random Coefficient Models to Strategy Research: Identifying and Exploring Firm Heterogeneous Effects

Alcácer, Juan, Wilbur Chung, Ashton Hawk, and Gonçalo Pacheco-de-Almeida. "Applying Random Coefficient Models to Strategy Research: Identifying and Exploring Firm Heterogeneous Effects." Strategy ...
JSTOR Daily

Maximum likelihood estimates for the Hildreth—Houck random coefficients model

We explore maximum likelihood (ML) estimation of the Hildreth—Houck random coefficients model. We show that the global ML estimator can be inconsistent. We develop an alternative LML (local ML) ...
Simon Fraser University

RANDOM Statement

The RANDOM statement defines the random effects constituting the vector in the mixed model. It can be used to specify traditional variance component models (as in the VARCOMP procedure) and to specify ...
Risk

A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information

Using historical equity and credit market data, we illustrate the validation of a structural correlated default model applied to Black-Cox setups. We model the dependence structure through the ...