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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702555
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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702617
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Learning the CAPM through Bubbles
Kedar-Levy, Haim - Econometric Society - 2004
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, “pink-sheet†valuations. When the technology shifts phase to generate …
Persistent link: https://www.econbiz.de/10005702759
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Testing for Dependence in Non-Gaussian Time Series Data
Freeland, Keith; McCabe, Brendan; Martin, Gael - Econometric Society - 2004
This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...
Persistent link: https://www.econbiz.de/10005342169
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Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap
Seo, Myunghwan - Econometric Society - 2004
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10005342185
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Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors
Iglesias, Emma; Dufour, Jean Marie - Econometric Society - 2004
Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non-stationary, with Gaussian and non-Gaussian errors, as well as with...
Persistent link: https://www.econbiz.de/10005342251
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Structural changes, common stochastic trends and unit roots in panel data
Bai, Jushan; Carrion-i-Silvestre, Josep Lluís - Econometric Society - 2004
In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for...
Persistent link: https://www.econbiz.de/10005342256
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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment. The novelty is in improving over the well-known heteroscedasticity and autocorrelation consistent (HAC) robust standard errors using fixed bandwidth (fixed-b) asymptotic theory...
Persistent link: https://www.econbiz.de/10005342277
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Testing for seasonal unit roots in heterogeneous panels
Otero, Jesus; Smith, Jeremy - Econometric Society - 2004
This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...
Persistent link: https://www.econbiz.de/10005129780
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Bootstrapping the HEGY Seasonal Unit Root Tests
Taylor, Robert; Burridge, Peter - Econometric Society - 2004
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...
Persistent link: https://www.econbiz.de/10005130173