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Fruet Dias, Gustavo; Fernandes, Marcelo; Scherrer, … - 2023

We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at … intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures …. The resulting kernel-based price discovery measures are consistent and asymptotically normal. Empirically, we compute …

Persistent link: https://www.econbiz.de/10014353587

The First Fifty Years of Modern Econometrics

Gilbert, Christopher L.; Qin, Duo - School of Economics and Finance, Queen Mary - 2005

We characterize modern econometrics in terms of the emergence a widely accepted analytical framework. A major theme which dominated much of the debate through the century was whether and how econometric models can reflect theory-generated economic structures. In the period prior to the 2nd world...

Persistent link: https://www.econbiz.de/10005106445

Identification and Estimation in an Incoherent Model of Contagion

Massacci, D. - Faculty of Economics, University of Cambridge - 2007

This paper deals with the issues of identification and estimation in the canonical model of contagion advanced in Pesaran and Pick (2007). The model is a two-equation nonlinear simultaneous equations system with endogenous dummy variables; it also represents an extension of univariate threshold...

Persistent link: https://www.econbiz.de/10005113887

Systematic Self-Report Bias in Health Data : Impact on Estimating Cross-Sectional and Treatment Effects

Bauhoff, Sebastian - 2011

This paper examines the effect of systematic self-report bias, the non-random deviation between the self-reported and true values of the same measure. This bias may be constant or variable, and can mislead empirical analyses based on descriptive statistics, program evaluation and instrumental...

Persistent link: https://www.econbiz.de/10014184565

Regression Analysis of Asymmetric Pairs in Large-Scale Network Data

Pan, Rui; Wang, Hansheng; Tsai, Chih-Ling - 2011

In social network analysis, many estimation methods have been developed over the past three decades. Due to the computational complexity for analyzing large-scale social network data, however, those methods cannot be applied effectively. On the other hand, the structure of large-scale network...

Persistent link: https://www.econbiz.de/10014042458

Computationally Attractive Stability Tests for the Efficient Method of Moments

van der Sluis, Pieter Jelle - 1999

This paper develops structural stability tests based on the Efficient Method of Moments for the case of a known breakpoint. Computationally attractive post-sample estimators and test-statistics for structural stability are proposed, which are modifications of the Lagrange Multiplier, Likelihood...

Persistent link: https://www.econbiz.de/10014197198

Dynamic Hierarchical Factor Models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2011

This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10014199839

Quo Vadis Real? Estimating the Brazilian Real Exchange Rate Misalignment in Vector Error Correction Model with Structural Change

Marçal, Emerson Fernandes; Barbi, Fernando C. - 2011

This paper aims to estimate the equilibrium real exchange rate for the Brazilian economy. The equilibrium exchange rate is defined as the level of exchange rate that guarantees the stability of the net foreign asset position over time. An econometric model is estimated using a Vector Error...

Persistent link: https://www.econbiz.de/10014214666

Bipower-Type Estimation in a Noisy Diffusion Setting

Podolskij, Mark; Vetter, Mathias - 2008

We consider a new class of estimators for volatility functionals in the setting of frequently observed Itô diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of...

Persistent link: https://www.econbiz.de/10014217143

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2012

This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...

Persistent link: https://www.econbiz.de/10014219481