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Realized Variance and IID Market Microstructure Noise

Lunde, Asger; Hansen, Peter Reinhard - Econometric Society - 2004

We analyze the properties of a bias-corrected realized variance (RV) in the presence of iid market microstructure noise. The bias correction is based on the first-order autocorrelation of intraday returns and we derive the optimal sampling frequency as defined by the mean squared error (MSE)...

Persistent link: https://www.econbiz.de/10005342264

JACKSTRAPPING DEA SCORES FOR ROBUST EFFICIENCY MEASUREMENT

Ribeiro, Darcy; Sousa, Maria da Conceição Sampaio de - Econometric Society - 2004

A new approach for Robust DEA technical efficiency measurements is presented, based on a combination of Jackknife and Bootstrap resampling schemes. First, an algorithm implementing jackknife is used to extract leverage for all data points, that is, the impact of the removal of the observed point...

Persistent link: https://www.econbiz.de/10005129766

Bias Reduced Band Spectrum Least Squares in Fractional

Kim, Changsik - Econometric Society - 2004

volatile and more reliable, which can be confirmed by finite sample performances. A limited version of asymptotic theory will …

Persistent link: https://www.econbiz.de/10005086428

Conditional Inference in Cointegrating Vector Autoregressive Models

Mavroeidis, Sophocles; Garderen, Kees Jan van - Econometric Society - 2004

A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means that in addition to the important reasons for conditioning in non-stationary time series as given by Johansen (1995,...

Persistent link: https://www.econbiz.de/10005063620

Inferring decision processes from economic experiments

Castillo, Marco; Cross, Philip - Econometric Society - 2004

Researchers typically assume experimental subjects have rational expectations. If the object of the experiment is to learn the distibution of decision makers' types, then this amounts to assuming subjects' know the very thing the researcher wishes to learn. We propose a method of conducting...

Persistent link: https://www.econbiz.de/10005702529

Testing Models with Multiple Equilibria by Quantile Methods

Komunjer, Ivana; Echenique, Federico - Econometric Society - 2004

extreme-value theory. We construct a novel order-restricted test based on conditional quantiles of the endogenous variable …

Persistent link: https://www.econbiz.de/10005702626

ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")

JONDEAU, Eric; BIHAN, Herve LE - Econometric Society - 2004

rationalization for this empirical conflict. Allowing for two alternative and straightforward mis-specifications (measurement error …

Persistent link: https://www.econbiz.de/10005702637

On weak exogeneity of the student's t and elliptical linear regression models

Hodoshima, Jiro - Econometric Society - 2004

This paper studies weak exogeneity of conditioning variables for the inference of a subset of parameters of the conditional student's t and elliptical linear regression models considered by Spanos (1994). Weak exogeneity of the conditioning variables is shown to hold for the inference of...

Persistent link: https://www.econbiz.de/10005702716

Identification of sensitivity to variation in endogenous variables

Chesher, Andrew - Econometric Society - 2004

This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation in a variable which is endogenous when data are gathered. The starting point is the Cowles Commission linear simultaneous equations model. The parametric and additive error...

Persistent link: https://www.econbiz.de/10005342177

A Spurious Regression Approach to Estimating Structural Parameters

Choi, Chi-Young; Hu, Ling; Ogaki, Masao - Econometric Society - 2004

certain conditions for the nonstationary measurement error. This paper proposes econometric methods based on asymptotic theory … nonstationary due to a nonstationary measurement error in one variable. For example, currency held by the domestic economic agents …-run, we have a cointegrating regression when money is measured with a stationary measurement error, but have a spurious …

Persistent link: https://www.econbiz.de/10005342294