Using data from various Chinese companies for the period 1994-2005 and applying GMM (System) technique, we report some stylized facts regarding the link between uncertainty and investment, where uncertainty is measured as the volatility of daily stock market returns. Controlling for the short-...

In Andrews and Guggenberger (2003) a bias-reduced log-periodogram estimator d_{LP}(r) for the long-memory parameter (d) in a stationary long-memory time series has been introduced. Compared to the Geweke and Porter-Hudak (1983) estimator d_{GPH}=d_{LP}(0), the estimator d_{LP}(r) for r larger...

The moment conditions or estimating equations for instrumental variables quantile regression involves the discontinuous indicator function. We instead use smoothed estimating equations, with bandwidth h. This is known to allow higher-order expansions that justify bootstrap refinements for...