Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...

This paper studies the asymptotic properties of the binary choice model estimator, based on the maximization of the Area Under receiver operating characteristic Curve (AUC). It is shown that under certain assumptions AUC maximization is a consistent method of binary choice models estimation up...

We calculate the asymptotic sizes of the subvector Anderson and Rubin (1949, AR) and Lagrange Multiplier (LM) tests in a linear instrumental variables model with two right hand side endogenous variables when the reduced form coefficient matrix is unrestricted. Under the assumption of conditional...

Model-selection uncertainty corresponds to the uncertainty about the true lag order of the autoregressive process that should be picked. This paper shows that all model-selection criteria perform poorly in small samples. Model-selection uncertainty adds to the bias and variability in the...

In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal semiparametrically with censoring, with a control variable approach to...

This paper extends Staiger and Stock’s (1997) weak instrument asymptotic approximations to the case of many weak instruments by modeling the number of instruments as increasing slowly with the number of observations. It is shown that the resulting “many weak instrument” approximations can...

Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the...

In the Self Sufficiency Program (SSP) welfare demonstration, members of a randomly assigned treatment group could receive a subsidy for full time work. The subsidy was available for three years, but only to people who began working full time within 12 months of random assignment. A simple...

This research paper is interested to propose an alternative distributed lag model from a multi-dimensional perspective. It is entitled "The Mega-space Distributed Lag Model". The main objective of the Mega-space Distributed Lag Model is to study different micro and macroeconomic scenarios...