Showing 1 - 10 of 25
Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale...
Persistent link: https://www.econbiz.de/10013043160
This paper studies functional local unit root models (FLURs) in which the autoregressive coefficient may vary with time in the vicinity of unity. We extend conventional local to unity (LUR) models by allowing the localizing coefficient to be a function which characterizes departures from unity...
Persistent link: https://www.econbiz.de/10012932852
This paper studies nonlinear cointegrating models with time-varying coefficients and multiple nonstationary regressors using classic kernel smoothing methods to estimate the coefficient functions. Extending earlier work on nonstationary kernel regression to take account of practical features of...
Persistent link: https://www.econbiz.de/10012932856
Limit theory for regressions involving local to unit roots (LURs) is now used extensively in time series econometric work, establishing power properties for unit root and cointegration tests, assisting the construction of uniform confidence intervals for autoregressive coefficients, and enabling...
Persistent link: https://www.econbiz.de/10012932857
We consider preference relations over information that are monotone: more information is preferred to less. We prove that, if a preference relation on information about an uncountable set of states of nature is monotone, then it is not representable by a utility function
Persistent link: https://www.econbiz.de/10014076191
We provide theoretical foundations for several common (nested) representations of intrinsic linear habit formation. Our axiomatization introduces an intertemporal theory of weaning a decision-maker from her habits using the device of compensation. We clarify differences across specifications of...
Persistent link: https://www.econbiz.de/10012759479
Persistent link: https://www.econbiz.de/10013077894
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. We establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Our...
Persistent link: https://www.econbiz.de/10014182566
This paper derives asymptotic power functions for Cramer-von Mises (CvM) style tests for conditional moment inequality models in the set identified case. Combined with power results for Kolmogorov-Smirnov (KS) tests, these results can be used to choose the optimal test statistic, weighting...
Persistent link: https://www.econbiz.de/10014141408
Prominent among the many contributions that economics has made to humanity are the ones we witness daily in the normal operations of our national economies and our Financial systems. Less prominent is the work in econometrics that is largely done in universities developing theories and...
Persistent link: https://www.econbiz.de/10012952406