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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Ait-Sahalia, Yacine - 2003
optimal sampling frequency at which to estimate the parameters of a discretely sampled continuous-time model can be finite … that sampling as often as possible is optimal. But, more surprisingly, we also demonstrate that this is true even if one …
Persistent link: https://www.econbiz.de/10012469087
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The Evolution of Rotation Group Bias : Will the Real Unemployment Rate Please Stand Up?
Krueger, Alan - 2014
This paper documents that rotation group bias -- the tendency for labor force statistics to vary systematically by month in sample in labor force surveys -- in the Current Population Survey (CPS) has worsened considerably over time. The estimated unemployment rate for earlier rotation groups has...
Persistent link: https://www.econbiz.de/10012458270
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Consistent Estimation Using Data From More Than One Sample
Dickens, William T. - 1984
This paper considers the estimation of linear models when group average data from more than one sample is used. Conditions under which OL8 coefficient estimates are consistent are identified. The standard OL8 covariance estimate is shown to be inconsistent and a consistent estimator is proposed....
Persistent link: https://www.econbiz.de/10012477814
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Sample Selection Bias As a Specification Error (with an Application to the Estimation of Labor Supply Functions)
Heckman, James J. - 1977
In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the conceptually distinct econometric problems that arise from truncated samples and from models with limited dependent variables. The problem of sample selection bias is fit within...
Persistent link: https://www.econbiz.de/10012478957
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Using Samples of Unequal Length in Generalized Method of Moments Estimation
Lynch, Anthony W. - 2008
Many applications in financial economics use data series with different starting or ending dates. This paper describes estimation methods, based on the generalized method of moments (GMM), which make use of all available data for each moment condition. We introduce two asymptotically equivalent...
Persistent link: https://www.econbiz.de/10012464236
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Simple Estimators for the Parameters of Discrete Dynamic Games (with Entry/Exit Samples)
Pakes, Ariel - 2004
This paper considers the problem of estimating the distribution of payoffs in a discrete dynamic game, focusing on models where the goal is to learn about the distribution of firms' entry and exit costs. The idea is to begin with non parametric first stage estimates of entry and continuation...
Persistent link: https://www.econbiz.de/10012468187
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The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
Ait-Sahalia, Yacine - 2002
particular, we measure the additional effects of the randomness of the sampling intervals over and beyond those due to the … discreteness of the data. We also examine the effect of simply ignoring the sampling randomness. We find that in many situations … the randomness of the sampling has a larger impact than the discreteness of the data …
Persistent link: https://www.econbiz.de/10012469833
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Maximum Likelihood Estimation of Discretely Sampled Diffusions : A Closed-Form Approach
Ait-Sahalia, Yacine - 1998
When a continuous-time diffusion is observed only at discrete dates, not necessarily close together, the likelihood function of the observations is in most cases not explicitly computable. Researchers have relied on simulations of sample paths in between the observations points, or numerical...
Persistent link: https://www.econbiz.de/10012472425
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Conditioning on the Probability of Selection to Control Selection Bias
Angrist, Joshua D. - 1995
Problems of sample selection arise in the analysis of both experimental and non-experimental data. In clinical trials to evaluate the impact of an intervention on health and mortality, treatment assignment is typically nonrandom in a sample of survivors even if the original assignment is random....
Persistent link: https://www.econbiz.de/10012473744
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A La Recherche des Moments Perdus : Covariance Models for Unbalanced Panels with Endogenous Death
Abowd, John M. - 1995
We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm. Our model allows for the endogenous death of...
Persistent link: https://www.econbiz.de/10012473786