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Necessary and sufficient conditions for the equality of ordinary least squares and generalized least squares estimators in the linear regression model with firstorder spatial error processes are given.
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example of the 'high-correlation asymptotics' of Krämer & Baltagi (Economics Letters 50, 1996, pp. 13 – 17). …
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We consider a misconception common among students of statistics involving "adjusted" and "unadjusted" sums-of-squares. While the presence of misconception has been noted before (e.g. Hamilton (1986)), we argue that it may be related to the language we use in describing the meaning of...
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Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...
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