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An Econometric Analysis of Nonsynchronous Trading

Lo, Andrew W.; Mackinlay, A. Craig - 2021

We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to …

Persistent link: https://www.econbiz.de/10013217218

Small Sample Bias in GMM Estimation of Covariance Structures

Altonji, Joseph G.; Segal, Lewis M. - 2022

sampling errors in the second moments are correlated with sampling errors in the weighting matrix used by OMD. Furthermore, OMD …

Persistent link: https://www.econbiz.de/10013312527

Why Has U.S. Inflation Become Harder to Forecast?

Stock, James H. - 2010

Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and, to the extent that it has, what changes in the...

Persistent link: https://www.econbiz.de/10012761277

Robust Standard Errors in Small Samples : Some Practical Advice

Imbens, Guido W. - 2012

In this paper we discuss the properties of confidence intervals for regression parameters based on robust standard errors. We discuss the motivation for a modification suggested by Bell and McCaffrey (2002) to improve the finite sample properties of the confidence intervals based on the...

Persistent link: https://www.econbiz.de/10013099125

To Hold Out or Not to Hold Out

Schorfheide, Frank - 2013

A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a "gold-standard'' estimate of a particular treatment, but only of that treatment. Structural estimation...

Persistent link: https://www.econbiz.de/10013073955

Information Costs and Sequential Information Sampling

Hebert, Benjamin - 2018

We propose a new approach to modeling the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions. These cost functions have two properties that we view as desirable: they summarize the results of a sequential evidence accumulation problem, and...

Persistent link: https://www.econbiz.de/10012907127

Non-Randomly Sampled Networks : Biases and Corrections

Hsieh, Chih-Sheng - 2018

first characterize the biases in both network statistics and estimates of network effects under non-random sampling …-classical measurement-error problems when applied as regressors. Apart from the sampling rate and the elicitation procedure, these biases … applied to network data collected via both designed and non-designed sampling procedures, does not require one to assume any …

Persistent link: https://www.econbiz.de/10012907751

Taking the Cochrane-Piazzesi Term Structure Model Out of Sample : More Data, Additional Currencies, and FX Implications

Hodrick, Robert J. - 2018

We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's...

Persistent link: https://www.econbiz.de/10012910309

Data-Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W. - 2010

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...

Persistent link: https://www.econbiz.de/10012763376

Estimating the Risk-Return Trade-Off with Overlapping Data Inference

Hedegaard, Esben - 2014

Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon with data sampled to match the horizon even though daily data are available. We develop an overlapping data inference methodology (ODIN) that uses all of the data while...

Persistent link: https://www.econbiz.de/10013056866

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