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Chesher, Andrew; Smolinski, Konrad - In: Journal of Econometrics 166 (2012) 1, pp. 33-48

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying...

Persistent link: https://www.econbiz.de/10010597560

Set identification via quantile restrictions in short panels

Rosen, Adam M. - In: Journal of Econometrics 166 (2012) 1, pp. 127-137

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...

Persistent link: https://www.econbiz.de/10010597565

Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting

Lee, Tae-Hwy; Tu, Yundong; Ullah, Aman - In: Journal of Econometrics 182 (2014) 1, pp. 196-210

equity premium is taken for illustration. We introduce a new forecasting evaluation criterion based on the second order …

Persistent link: https://www.econbiz.de/10010785277

Towards estimating extremal serial dependence via the bootstrapped extremogram

Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor - In: Journal of Econometrics 170 (2012) 1, pp. 142-152

Davis and Mikosch (2009a) introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram. A major difficulty was the construction of credible...

Persistent link: https://www.econbiz.de/10010664684

ARCH/GARCH with persistent covariate: Asymptotic theory of MLE

Han, Heejoon; Park, Joon Y. - In: Journal of Econometrics 167 (2012) 1, pp. 95-112

The paper considers a volatility model which introduces a persistent, integrated or near-integrated, covariate to the standard GARCH(1, 1) model. For such a model, we derive the asymptotic theory of the quasi-maximum likelihood estimator. In particular, we establish consistency and obtain limit...

Persistent link: https://www.econbiz.de/10010574066

Testing stationarity of functional time series

Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory - In: Journal of Econometrics 179 (2014) 1, pp. 66-82

Economic and financial data often take the form of a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that...

Persistent link: https://www.econbiz.de/10011052307

On implied volatility for options—Some reasons to smile and more to correct

Chen, Song Xi; Xu, Zheng - In: Journal of Econometrics 179 (2014) 1, pp. 1-15

We analyze the properties of the implied volatility, the commonly used volatility estimator by direct option price inversion. It is found that the implied volatility is subject to a systematic bias in the presence of pricing errors, which makes it inconsistent to the underlying volatility. We...

Persistent link: https://www.econbiz.de/10011052328

Treatment effects in sample selection models and their nonparametric estimation

Lee, Myoung-jae - In: Journal of Econometrics 167 (2012) 2, pp. 317-329

usual matching methods. First, there is no need to select the number of matched observations. Second, the asymptotic … that takes into account the ‘non-overlapping support problem’, which the usual matching deals with by choosing a ‘caliper … to compare the proposed methods with matching methods, and a real data illustration is provided. …

Persistent link: https://www.econbiz.de/10011052193

The method of simulated quantiles

Dominicy, Yves; Veredas, David - In: Journal of Econometrics 172 (2013) 2, pp. 235-247

We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is …

Persistent link: https://www.econbiz.de/10011052218

Analysis of the bias of Matching and Difference-in-Difference under alternative earnings and selection processes

Chabé-Ferret, Sylvain - In: Journal of Econometrics 185 (2015) 1, pp. 110-123

Matching and Difference in Difference (DID) are two widespread methods that use pre-treatment outcomes to correct for … values. I find that Matching generally underestimates the average causal effect of the program and gets closer to the true … still performs better than Matching, especially in the middle of the life-cycle. These results are consistent with estimates …

Persistent link: https://www.econbiz.de/10011190717

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