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Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

Persistent link: https://www.econbiz.de/10005762605

Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999

This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...

Persistent link: https://www.econbiz.de/10005593243

The Block-block Bootstrap: Improved Asymptotic Refinements

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2002

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of...

Persistent link: https://www.econbiz.de/10005593249

Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators

Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1999

Persistent link: https://www.econbiz.de/10005593591

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cavaliere, Giuseppe; Phillips, Peter C.B.; Smeekes, Stephan - Cowles Foundation for Research in Economics, Yale University - 2012

A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...

Persistent link: https://www.econbiz.de/10009391712

Threshold Regression with Endogeneity

Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results differ from those in regular models. First, both the threshold point and the threshold effect parameters are shown to be identified without the need for instrumentation. Second, in...

Persistent link: https://www.econbiz.de/10011096433

Pundits and Quacks

Rudiger, Jesper; Vigier, Adrien - Cowles Foundation for Research in Economics, Yale University - 2015

Do asset prices aggregate investors’ private information about the ability of financial analysts? We show that as financial analysts become reputable, the market can get trapped: Investors optimally choose to ignore their private information, and blindly follow analyst recommendations. As time...

Persistent link: https://www.econbiz.de/10011240393

Middle Men Versus Market Makers: A Theory of Competitive Exchange

Rust, John; Hall, George - Cowles Foundation for Research in Economics, Yale University - 2001

What determines how trade in a commodity is divided between privately negotiated transactions via "middle men" (dealer/brokers) in a telephone or "dealer market" versus transactions via "market makers" (specialists) at publicly observable bid/ask prices? To address this question, we extend...

Persistent link: https://www.econbiz.de/10005593414

Why Does Bad News Increase Volatility and Decrease Leverage?

Fostel, Ana; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

Persistent link: https://www.econbiz.de/10009251219

Information and Volatility

Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - Cowles Foundation for Research in Economics, Yale University - 2013

structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … the common component, as in Lucas (1972). The upper bound on aggregate volatility is linearly increasing in the variance …

Persistent link: https://www.econbiz.de/10010817221