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This paper develops a new hedonic method for constructing a real estate price index that utilizes all transaction price information that encompasses both single-sale and repeat-sale properties. The new method is less prone to specification errors than standard hedonic methods and uses all...
Persistent link: https://www.econbiz.de/10011096429
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real time data. Use of...
Persistent link: https://www.econbiz.de/10010817219
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data...
Persistent link: https://www.econbiz.de/10010817220
Persistent link: https://www.econbiz.de/10011203099
type="main" xml:id="obes12026-abs-0001" <title type="main">Abstract</title> <p>This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b). We analyze and compare the limit theory of the...</p>
Persistent link: https://www.econbiz.de/10011032000
We find ourselves very much in agreement with the thrust of HL’s message concerning the complexity induced by microstructure noise. In particular, we agree that noise is time dependent and correlated with the efficient price - features that in our view are a necessary consequence of the...
Persistent link: https://www.econbiz.de/10005091198
Our comments on Fan’s paper will concentrate on two issues that relate in important ways to the paper’s focus on misspecification and discretization bias and the role of nonparametric methods in empirical finance.
Persistent link: https://www.econbiz.de/10005091212
This paper proposes a Gaussian estimator for nonlinear continuous time models of the short-term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the...
Persistent link: https://www.econbiz.de/10005100113
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a...
Persistent link: https://www.econbiz.de/10005558132
A new methodology is proposed to estimate theoretical prices of financial contingent claims whose values are dependent on some other underlying financial assets. In the literature, the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...
Persistent link: https://www.econbiz.de/10008546192