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Robust estimation and inference in panels with interactive fixed effects

Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We show that previously developed estimators and confidence intervals (CIs) might be heavily biased and size-distorted when some of the factors are weak. We...

Persistent link: https://www.econbiz.de/10014480692

Why Are Asset Returns Predictable?

Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010306236

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

Persistent link: https://www.econbiz.de/10010332467

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10010324992

STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US

Busetti, Giorgio; Manera, Matteo - 2003

We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in...

Persistent link: https://www.econbiz.de/10011325074

The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?

Funke, Michael; Gronwald, Marc - 2008

On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...

Persistent link: https://www.econbiz.de/10010264340

Who Creates Jobs? Estimating Job Creation Rates at the Firm Level

Huber, Peter; Oberhofer, Harald; Pfaffermayr, Michael - 2012

This paper shows that applying simple employment-weighted OLS estimation to Davis - Haltiwanger - Schuh (1996) firm level job creation rates taking the values 2 and -2 for entering and exiting firms, respectively, provides biased and inconsistent parameter estimates. Consequently, we argue that...

Persistent link: https://www.econbiz.de/10011435361

GMM estimation of the autoregressiveparameter in a spatial autoregressive errormodel using regression residuals

Arnold, Matthias - 2007

This paper suggests an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are di.erent from observable regression residuals. Although this di.erence decreases in large samples, it is...

Persistent link: https://www.econbiz.de/10010298206

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - 2000

-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this … this autocorrelation component from theaveraged series. In addition we investigate thepotential effect of averaging on …

Persistent link: https://www.econbiz.de/10010324663

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