High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

In the case of panel data, the introduced explanatory variables are often not sufficient for describing all the individual caracteristics and it may be useful to consider relations with individual varying coefficients. When this heterogeneity is even partially omitted, the estimated parameters...

In this paper we are interested in inference problems on the matrix of coefficients in a multivariate linear model; in particular we consider tests on the kernel, the range and the rank of this matrix. Various test procedures are explicited and compared: (pseudo) likelihood ratio, Wald (or...

The difficulties in estimating continuous time interest rate models stem in large parts from measurement problems. The observations are in discrete time and the infinitesimal rate is unobservable and replaced by an observed short term rate with non infinitesimal time-to-maturity. These two...

In microeconomic, the individual differences are taken into account by the introduction of explanatory variables but also by means of the parameters of interest. This parameter of heterogeneity is in general described by the p.d.f. of the parameter among the individuals (heterogeneity...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

The aim of this paper is the aggregation of AR (1) processes. We determine the dynamic models satisfied by the aggregated series and we characterize all the series which may be interpreted as such an aggregate. We study more carefully the case of a bêta heterogeneity distribution. In particular...

The aim of this paper is to characterize the one-dimensional stochastic differential equations, for which the eigenfunctions of the infinitesimal generator are polynomials in y. Affine transformations of the Ornstein-Uhlenbeck process, the Cox-Ingersoll-Ross process and the Jacobi process belong...

We present some properties concerning heterogeneity using as illustrations duration data models. We first study the links between aggregate and disaggregate concepts. This allows to give some precise definitions of the heterogeneity biases and of the mover stayer phenomenon. We also introduce...