Showing 1 - 10 of 43
We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...
Persistent link: https://www.econbiz.de/10005074143
volatility. Models incorporating both stochastic volatility and jumps in the returns series are compared on the basis of the … overall fit of the data over the full sample period and subsamples. We also find that jumps in the returns series add to the …
Persistent link: https://www.econbiz.de/10010937944
This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the model's latent variable error is unknown and may be related to the...
Persistent link: https://www.econbiz.de/10004968796
This paper considers identification and estimation of the marginal effect of a mismeasured binary regressor in a nonparametric regression, or the conditional average effect of a binary treatment or policy on some outcome where treatment may be misclassified. Misclassification probabilities and...
Persistent link: https://www.econbiz.de/10004968810
This paper estimates a dynamic model of durable and non-durable consumption choice and default behavior in an economy where risky borrowing is allowed and bankruptcy protection is regulated by law. I exploit the substantial difference in the generosity of bankruptcy exemptions across the U.S....
Persistent link: https://www.econbiz.de/10004968817
This paper studies the identification of nonseparable models with continuous, endogenous regressors, also called treatments, using repeated cross sections. We show that several treatment effect parameters are identified under two assumptions on the effect of time, namely a weak stationarity...
Persistent link: https://www.econbiz.de/10010820061
This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other weather outcomes over the last century. We work with the monthly averaged maximum and minimum temperatures observed at the twenty six Meteorological Office stations. The data is...
Persistent link: https://www.econbiz.de/10008725946
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y, conditioning on D*=0. For example, suppose Y is a person's wage, the unobserved D*...
Persistent link: https://www.econbiz.de/10004995335
We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main...
Persistent link: https://www.econbiz.de/10005102694
We discuss instrumental variables (IV) estimation in the broader context of the generalized method of moments (GMM), and describe an extended IV estimation routine that provides GMM estimates as well as additional diagnostic tests. Stand-alone test procedures for heteroskedasticity,...
Persistent link: https://www.econbiz.de/10005074035