The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid–ask bounces and price-change discreteness. Although RV constitutes the simplest estimator of...

We examine properties of estimators of count data model with endogenous switching. The estimation of the count data model that accommodates endogenous switching can be accomplished by full information maximum likelihood (FIML). However, FIML estimation requires fully and correctly specified...

Several models are proposed for analyzing consumer demand systems. Empirical researchers usually, adopt one or more models and test some constraints based on demand theory, and then evaluate the plausibility of the models. However, they rarely adopt a statistical model selection procedure in...

This paper examines properties of test statistics for random effects with incomplete panel data. We can divide incomplete panel data into two groups. One group arises from randomly missing or unbalanced data and the other arises from systematically missing data. We focus on the former case. Some...