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Heteroskedasticity-and-autocorrelation-consistent bootstrapping
Davidson, Russell; Monticini, Andrea - 2014
In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...
Persistent link: https://www.econbiz.de/10011774249
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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
is discussed in terms of the leading example of bootstrap-based hypothesis testing in the well-known first order auto … conditions and their implications for possible improvements in terms of (empirical) size and power for bootstrap-based testing …, when compared to asymptotic testing, are illustrated by simulations. Following this, an overview of selected recent …
Persistent link: https://www.econbiz.de/10012835479
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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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An introduction to bootstrap theory in time series econometrics
Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - 2020
Persistent link: https://www.econbiz.de/10012319239
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Spurious long-horizon regression in econometrics
Noriega-Muro, Antonio E.; Ventosa-Santaulària, Daniel - 2010
asymptotically correct inferential procedure for testing the null hypothesis of no relationship in a LHR, which works whether the …
Persistent link: https://www.econbiz.de/10008656734
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Type I Spurious Regression in Econometrics
Chiarella, Carl - 2006
In applied econometrics researchers often infer the relation among nonstationary time series by regression of their …
Persistent link: https://www.econbiz.de/10012734590
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The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation
Ilmolelian, Peter - EconWPA - 2005
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10005119105
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Discontinuous Trading in Continuous-Time Econometrics
Bandi, Federico M.; Kolokolov, Aleksey; Pirino, Davide; … - 2023
Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized...
Persistent link: https://www.econbiz.de/10014254687
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A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review
Wirjanto, Tony S. - 2013
) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes … econometrics …
Persistent link: https://www.econbiz.de/10013084062
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Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data
Christensen, Kim - 2010
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...
Persistent link: https://www.econbiz.de/10013150700