An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the magnitude of the jump intensity parameter in the data...

This paper investigates the asymptotic properties of a penalized empirical likelihood estimator for moment restriction models when the number of parameters ( p n ) and/or the number of moment restrictions increases with the sample size. Our main result is that the SCAD-penalized empirical...

This paper re-examines the instrumental variable (IV) approach to estimating returns to education by use of compulsory school law (CSL) in the US. We show that the IV-approach amounts to a change in model specification by changing the causal status of the variable of interest. From this...

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange-Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit strong model specification uncertainty. To circumvent...

Wage coordination plays an important role in macroeconomic stabilization. Pattern wage bargaining systems have been common in Europe, but in different forms, and with different degrees of success in terms of actual coordination reached. We focus on wage formation in Norway, a small open economy,...

The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the inverse of the covariance matrix of the asset return covariance matrix. In practice, these two quantities need to be replaced by their sample statistics. The estimation error...