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Estimating quadratic variation consistently in the presence of correlated measurement error

Kalnina, Ilze; Linton, Oliver - London School of Economics (LSE) - 2006

We propose an econometric model that captures the e¤ects of market microstructure on a latent price process. In …

Persistent link: https://www.econbiz.de/10011071545

Modeling liquidity effects in discrete time

Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007

into a martingale. Finally, we illustrate our results numerically in a Cox-Ross-Rubinstein binomial model with liquidity …

Persistent link: https://www.econbiz.de/10010746632

Efficiency improvements in inference on stationary and nonstationary fractional time series

Robinson, Peter - London School of Economics (LSE) - 2004

-estimation efficiency bound, equal to that found in work using an adaptive LAM/LAN approach. A major technical feature which we treat is the …

Persistent link: https://www.econbiz.de/10010928700

Inference about realized volatility using infill subsampling

Kalnina, Ilze; Linton, Oliver - London School of Economics (LSE) - 2007

presence of jumps and/or microstructure noise by subsampling appropriate consistent estimators. … not have this correlation problem; however, it has a vanishing bias only under smoothness assumptions on the volatility … volatility path. This is a general method and can be potentially applied to conduct inference for quadratic variation in the …

Persistent link: https://www.econbiz.de/10010928783

Estimation of nonlinear error correction models

Seo, Myung Hwan - London School of Economics (LSE) - 2007

consistency of the least squares estimator of the cointegrating vector allowing for both smooth and discontinuous transition …

Persistent link: https://www.econbiz.de/10010928743

Majority voting on restricted domains

Dietrich, Franz; List, Christian - London School of Economics (LSE) - 2010

In judgment aggregation, unlike preference aggregation, not much is known about domain restrictions that guarantee consistent majority outcomes. We introduce several conditions on individual judgments sufficient for consistent majority judgments. Some are based on global orders of propositions...

Persistent link: https://www.econbiz.de/10010746419

Estimation of structural optimization models: a note on identification

Srisuma, Sorawoot - London School of Economics (LSE) - 2010

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can...

Persistent link: https://www.econbiz.de/10011126033

Inference on power law spatial trends (Running Title: Power Law Trends)

Robinson, Peter M. - London School of Economics (LSE) - 2011

dependent errors, are considered for observations over time, space or space-time. Consistency and asymptotic normality of … as a basis for inference on either exponents or coefficients. We discuss issues of implementation, efficiency, potential … many in which consistency of a vector of parameter estimates (which converge at different rates) cannot be established by …

Persistent link: https://www.econbiz.de/10011126136

Gaussian maximum likelihood estimation for ARMA models I: time series

Yao, Qiwei; Brockwell, Peter J. - London School of Economics (LSE) - 2006

We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal …

Persistent link: https://www.econbiz.de/10011126193

Gaussian maximum likelihood estimation for ARMA models I: time series

Yao, Qiwei; Brockwell, Peter J - London School of Economics (LSE) - 2006

We provide a direct proof for consistency and asymptotic normality of Gaussian maximum likelihood estimators for causal …

Persistent link: https://www.econbiz.de/10011126410