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A ReMeDI for microstructure noise
Li, Z. Merrick; Linton, Oliver - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 1, pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
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Nonparametric estimates of demand in the California health insurance exchange
Tebaldi, Pietro; Torgovitsky, Alexander; Yang, Hanbin - In: Econometrica : journal of the Econometric Society, an … 91 (2023) 1, pp. 107-146
Persistent link: https://www.econbiz.de/10014309636
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Inference for large-scale linear systems with known coefficients
Fang, Zheng; Santos, Andres; Shaikh, Azeem M.; … - In: Econometrica : journal of the Econometric Society, an … 91 (2023) 1, pp. 299-327
Persistent link: https://www.econbiz.de/10014309663
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Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator
Linton, Oliver - In: Annals of Economics and Finance 2 (2001) 1, pp. 237-248
We investigate a class of estimators for linear regression models where the dependent variable is subject to bid-ask censoring. Our estimation method is based on a definition of error that is zero when the predictor lies between the actual bid price and ask price, and linear outside this range....
Persistent link: https://www.econbiz.de/10009145680