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When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in nonlinear models. We study this issue focusing on the Instrumental Variable...
Persistent link: https://www.econbiz.de/10014480723
When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneity affect partial effects differently in nonlinear models. We study this issue focusing on the Instrumental Variable...
Persistent link: https://www.econbiz.de/10014581884
We investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme. We show that the usual subsampling method of Politis and Romano (1994) is inconsistent when applied to our inference...
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We propose an econometric model that captures the e¤ects of marketmicrostructure on a latent price process. In particular, we allow for correlationbetween the measurement error and the return process and we allow themeasurement error process to have a diurnal heteroskedasticity. Wepropose a...
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