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New Evidence on Taxes and Portfolio Choices
(CFAP, Cambridge Judge Business School, University of Cambridge, 2009-05)
Identifying the effect of differential taxation on portfolio allocation requires exogenous variation in marginal tax rates. Marginal tax rates vary with income, but income surely affects portfolio choice directly. In systems ...
Estimating Intertemporal Allocation Parameters using Synthetic Residual Estimation
(CFAP, Cambridge Judge Business School, University of Cambridge, 2008-01)
We present a novel structural estimation procedure for models of intertemporal allocation. This is based on modelling expectation errors directly; we refer to it as Synthetic Residual Estimation (SRE). The flexibility of ...