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Chen, Linda H. - 2018

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...

Persistent link: https://www.econbiz.de/10012935615

A Penalty Function Approach to Bias Reduction in Non-Linear Panel Models with Fixed Effects

Bester, Alan; Hansen, Christian - 2005

nonlinearity of the problem. We present a penalty for the objective function that reduces the bias in the resulting point estimates … practice. The form of the penalty also provides interesting intuition into how the bias reduction is working. We present … simulation results that suggest that the penalized optimization approach may substantially reduce the bias in nonlinear fixed …

Persistent link: https://www.econbiz.de/10014027743

Identification and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general equilibrium models

Qu, Zhongjun; Tkachenko, Denis - In: Quantitative economics : QE ; journal of the … 3 (2012) 1, pp. 95-132

This paper considers issues related to identification, inference, and computation in linearized dynamic stochastic general equilibrium (DSGE) models. We first provide a necessary and sufficient condition for the local identification of the structural parameters based on the (first and) second...

Persistent link: https://www.econbiz.de/10011756473

Detecting Relevant Interactions in High Dimensional Data Analysis

So, Mike K. P. - 2014

In high dimensional data, relevant interactions can be difficult to identify due to the extremely large number of possible interactions among variables. Conventional methods use a screening stage to vastly reduce the dimension of the variable space before examining the interaction effect....

Persistent link: https://www.econbiz.de/10013045217

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

Valid Edgeworth Expansions for the Whittle Maximum Likelihood Estimator for Stationary Long-Memory Gaussian Time Series

Andrews, Donald W. K.; Lieberman, Offer - 2003

In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter theta in Theta subset R^{d_theta) . The error of the (s-2)-order expansion is shown to be...

Persistent link: https://www.econbiz.de/10014116712

Building Blocks of Linear Time Series Modeling

Louangrath, Paul - 2013

Three models are presented: AR (autoregressive), MA (moving average) and ARMA (autoregressive moving average) are common models used in time series forecasting. These three models are the various definition of each element of the General Linear Model: Y = a + b + c. For the study of linear...

Persistent link: https://www.econbiz.de/10013076067

Understanding Limit Theorems for Semimartingales : A Short Survey

Podolskij, Mark - 2009

This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...

Persistent link: https://www.econbiz.de/10013155852

Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach

Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021

We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...

Persistent link: https://www.econbiz.de/10013233982

Estimating Multi-Equational Lqac Models with I(1) Variables : A VAR Approach

Fanelli, Luca - 1998

This paper extends the existing literature on linear quadratic adjustment cost (LQAC) models under rational expectations to the inferential issues arising when: (i) agents optimise with respect to a vector of endogenous variables; (ii) the behavioural equations stemming from the agent's...

Persistent link: https://www.econbiz.de/10014220876

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