This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

time-varying thresholds and simple estimation via least squares. We show via Monte Carlo simulations that the MAT-HAR has …

, including comparisons to estimation-strategies blind to or naïve about (inter)dependence - i.e., omitting spatial lags or … including them but treating them as exogenous regressors in standard probit estimation - and then we show how to apply related …

theory, however, suggests that these events have large transitory, rather than permanent, effects on economic activity …

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation …

. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

Methodology is proposed of how to utilize high-frequency power-variation estimators in the Bayesian estimation of … estimation of stochastic variances, while the Z-Estimator is used as an additional source of information for the estimation of …