The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV have been attributed to jumps, structural breaks, non-linearities, or pure long memory. An important development has been the Heterogeneous Autoregressive (HAR) model and its...

This paper deals with the identification of treatment effects when the outcome variable is ordered. If outcomes are measured ordinally, previously developed methods to investigate the impact of an endogenous binary regressor on average outcomes cannot be applied as the expectation of an ordered...