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Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha; Linton, Oliver - 2009

Persistent link: https://www.econbiz.de/10003971927

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha (contributor); Linton, Oliver (contributor) - 2007

Persistent link: https://www.econbiz.de/10003616363

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

Park, Sujin; Hong, Seok Young; Linton, Oliver - In: Journal of econometrics 191 (2016) 2, pp. 325-347

Persistent link: https://www.econbiz.de/10011610563

Semiparametric nonlinear panel data models with measurement error

Linton, Oliver; Shiu, Ji-liang - 2018

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data. The past observables are used as instruments to control the measurement error problem,...

Persistent link: https://www.econbiz.de/10011775206