Showing 1 - 10 of 22
This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...
Persistent link: https://www.econbiz.de/10003970309
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10003970462
Our paper addresses the correction of the aggregation bias in linear rational expectations models when there is some unobserved micro-parameter heterogeneity and only macro data are available. Starting from Lewbel (1994), we propose two new consistent estimators, which rely on a exible...
Persistent link: https://www.econbiz.de/10003971087
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen,...
Persistent link: https://www.econbiz.de/10003971110
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...
Persistent link: https://www.econbiz.de/10003971115
In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...
Persistent link: https://www.econbiz.de/10003973066
It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...
Persistent link: https://www.econbiz.de/10003980003
We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...
Persistent link: https://www.econbiz.de/10003550675
This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent general equilibrium under incomplete information. We derive an expression for the investor's expected life-time utility, and analyze his hedging demands for intertemporal changes...
Persistent link: https://www.econbiz.de/10003394292
This paper analyzes the term structure of interest rates in an exchange-only Lucas (1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We allow for deluded consumers, who exaggerate the degree of...
Persistent link: https://www.econbiz.de/10003394320