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 Author:
 Li, Jia; Todorov, Viktor; Tauchen, George
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 3647
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; regression analysis
 Abstract:
 ... We derive the asymptotic efficiency bound for regular estimates of the slope coefficient in a linear continuoustime regression model for the continuous martingale parts of two Itô semimartingales observed on a fixed time interval with asymptotically shrinking mesh of the observation grid. We further construct an estimator from highfrequency data that achieves this efficiency bound and, indeed, i ...
 DOI:
 10.1016/j.jeconom.2017.01.010

http://dx.doi.org/10.1016/j.jeconom.2017.01.010
 Author:
 McCloskey, Adam
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 1735
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; regression analysis
 Abstract:
 ... We develop a set of powerful and flexible sizecorrection procedures for general nonstandard testing environments in which the asymptotic distribution of a test statistic is discontinuous in a nuisance parameter under the null hypothesis. Examples of this form of testing problem are pervasive in econometrics and complicate inference by making the size difficult to control. The test constructions i ...
 DOI:
 10.1016/j.jeconom.2017.05.001

http://dx.doi.org/10.1016/j.jeconom.2017.05.001
 Author:
 Bai, Jushan; Liao, Yuan
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 5978
 ISSN:
 03044076
 Subject:
 confidence interval; divorce; econometric models; economic analysis; economic theory; heteroskedasticity; statistical inference; variance covariance matrix; United States
 Abstract:
 ... We consider efficient estimation of panel data models with interactive effects, which relies on a highdimensional inverse covariance matrix estimator. By using a consistent estimator of the error covariance matrix, we can take into account both crosssectional correlations and heteroskedasticity. In the presence of crosssectional correlations, the proposed estimator eliminates the crosssectiona ...
 DOI:
 10.1016/j.jeconom.2017.05.014

http://dx.doi.org/10.1016/j.jeconom.2017.05.014
 Author:
 Hu, Yingyao; Schennach, Susanne M.; Shiu, JiLiang
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 4858
 ISSN:
 03044076
 Subject:
 auctions; econometric models; economic analysis; economic theory; equations; regression analysis
 Abstract:
 ... Injectivity of integral operators is related to completeness conditions of their corresponding kernel functions. Completeness provides a useful way of obtaining nonparametric identification in various models including nonparametric regression models with instrumental variables, nonclassical measurement error models, and auction models, etc. However, the condition is quite abstract for empirical wo ...
 DOI:
 10.1016/j.jeconom.2017.05.013

http://dx.doi.org/10.1016/j.jeconom.2017.05.013
 Author:
 Chen, Richard Y.; Mykland, Per A.
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 79103
 ISSN:
 03044076
 Subject:
 byproducts; econometric models; economic analysis; economic theory; edge effects; empirical research; risk; stock exchange; New York
 Abstract:
 ... In this paper, we provide nonparametric statistical tools to test stationarity of microstructure noise in general hidden Itô semimartingales, and discuss how to measure liquidity risk using highfrequency financial data. In particular, we investigate the impact of nonstationary microstructure noise on some volatility estimators, and design three complementary tests by exploiting edge effects, in ...
 DOI:
 10.1016/j.jeconom.2017.05.015

http://dx.doi.org/10.1016/j.jeconom.2017.05.015
 Author:
 Kheifets, Igor; Velasco, Carlos
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 135149
 ISSN:
 03044076
 Subject:
 algorithms; diagnostic techniques; econometric models; economic analysis; economic theory; monetary policy; prediction; probability; statistical analysis
 Abstract:
 ... This paper proposes new specification tests for conditional models with discrete responses, which are key to apply efficient maximum likelihood methods, to obtain consistent estimates of partial effects and to get appropriate predictions of the probability of future events. In particular, we test the static and dynamic ordered choice model specifications and can cover infinite support distribution ...
 DOI:
 10.1016/j.jeconom.2017.05.017

http://dx.doi.org/10.1016/j.jeconom.2017.05.017
 Author:
 Gourieroux, Christian; Jasiak, Joann
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 118134
 ISSN:
 03044076
 Subject:
 commodity prices; covariance; econometric models; economic analysis; economic theory
 Abstract:
 ... This paper introduces a representation theorem for a mixed VAR(p) process by distinguishing its causal and noncausal components. That representation is used to discuss the advantages and limitations of secondorder identification in a mixed VAR. We show that it is possible to find the numbers of causal or noncausal components of the process from its multivariate autocovariance function, while nonl ...
 DOI:
 10.1016/j.jeconom.2017.01.011

http://dx.doi.org/10.1016/j.jeconom.2017.01.011
 Author:
 Dong, Chaohua; Gao, Jiti; Tjøstheim, Dag; Yin, Jiying
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 104117
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; mathematical theory; time series analysis
 Abstract:
 ... This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that the model accommodates endogeneity. A new and simple test is proposed, and the resulting asymptotic theo ...
 DOI:
 10.1016/j.jeconom.2017.05.016

http://dx.doi.org/10.1016/j.jeconom.2017.05.016
 Author:
 Parente, Paulo M.D.C.; Smith, Richard J.
 Source:
 Journal of econometrics 2017 v.200 no.1 pp. 116
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; statistics
 Abstract:
 ... The primary focus of this article is the provision of tests for the validity of a set of conditional moment constraints additional to those defining the maintained hypothesis that are relevant for independent crosssectional data contexts. The point of departure and principal contribution of the paper is the explicit and full incorporation of the conditional moment information defining the maintai ...
 DOI:
 10.1016/j.jeconom.2017.02.004

http://dx.doi.org/10.1016/j.jeconom.2017.02.004
 Author:
 Baltagi, Badi H.; Egger, Peter H.; Kesina, Michaela
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 184201
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; equations; exports; income; markets; sales; China
 Abstract:
 ... This paper studies the determinants of firmlevel revenues, as a measure of the performance of firms in China’s domestic and export markets. The analysis of the determinants of the aforementioned outcomes calls for a mixed linear–nonlinear econometric approach. The paper proposes specifying a system of equations which is inspired by Basmann’s work and recent theoretical work in international econo ...
 DOI:
 10.1016/j.jeconom.2017.05.009

http://dx.doi.org/10.1016/j.jeconom.2017.05.009
 Author:
 Amsler, Christine; Prokhorov, Artem; Schmidt, Peter
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 131140
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; environmental factors
 Abstract:
 ... This paper considers a stochastic frontier model that contains environmental variables that affect the level of inefficiency but not the frontier. The model contains statistical noise, potentially endogenous regressors, and technical inefficiency that follows the scaling property, in the sense that it is the product of a basic (halfnormal) inefficiency term and a parametric function of the enviro ...
 DOI:
 10.1016/j.jeconom.2017.05.005

http://dx.doi.org/10.1016/j.jeconom.2017.05.005
 Author:
 Das, Tirthatanmoy; Polachek, Solomon W.
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 156172
 ISSN:
 03044076
 Subject:
 Current Population Survey; autocorrelation; econometric models; economic analysis; economic theory; equations; labor force; labor market; probability
 Abstract:
 ... In a seminal paper, Basmann (1985) introduced a serial correlation structure based on an intertemporal adjustment mechanism. Basmann’s 1985 paper of course was built on his previous pioneering work on estimation and identifiability in structural equations leading to 2SLS (Basmann, 1957, 1960). In this paper, we follow a similar path. We derive a nonstandard unit root serial correlation formulatio ...
 DOI:
 10.1016/j.jeconom.2017.05.007

http://dx.doi.org/10.1016/j.jeconom.2017.05.007
 Author:
 Andrews, Donald W.K.
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 213220
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory
 Abstract:
 ... Completeness and boundedcompleteness conditions are used increasingly in econometrics to obtain nonparametric identification in a variety of models from nonparametric instrumental variable regression to nonclassical measurement error models. However, distributions that are known to be complete or boundedly complete are somewhat scarce. In this paper, we consider an L2completeness condition that ...
 DOI:
 10.1016/j.jeconom.2017.05.011

http://dx.doi.org/10.1016/j.jeconom.2017.05.011
 Author:
 Hirschberg, Joe; Lye, Jenny
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 173183
 ISSN:
 03044076
 Subject:
 confidence interval; econometric models; economic analysis; economic theory
 Abstract:
 ... In the justidentified model,the exact distribution of the twostage least squares (2SLS) estimator of the coefficient of the endogenous regressor is a ratio of two normally distributed random variables. Basmann (1960, 1974) used Fieller’s 1932 result to derive the density function of the estimator. In this paper, we present a novel graphical exposition of Fieller’s 1954 technique to approximate t ...
 DOI:
 10.1016/j.jeconom.2017.05.008

http://dx.doi.org/10.1016/j.jeconom.2017.05.008
 Author:
 Ryu, Hang K.; Slottje, Daniel J.
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 221231
 ISSN:
 03044076
 Subject:
 Current Population Survey; econometric models; economic analysis; economic theory; gross domestic product; income distribution; inflation; social inequality; unemployment; United States
 Abstract:
 ... This paper introduces a new Maximum Entropy based inequality measure that is related to Basmann’s class of weighted geometric mean (WGM) measures, but with the added feature that the new measure is flexible enough to describe other characteristics of an observed income distribution function (IDF), a feature that other wellknown measures do not possess. As an application, using Current Population ...
 DOI:
 10.1016/j.jeconom.2017.05.012

http://dx.doi.org/10.1016/j.jeconom.2017.05.012
 Author:
 McDonough, Ian K.; Millimet, Daniel L.
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 141155
 ISSN:
 03044076
 Subject:
 birth weight; econometric models; economic analysis; economic theory
 Abstract:
 ... Bassmann (1957, 1959) introduced twostage least squares (2SLS). In subsequent work, Basmann et al. (1971) investigated its finite sample performance. Here we build on this tradition focusing on the issue of 2SLS estimation of a structural model when data on the endogenous covariate is missing for some observations. Many such imputation techniques have been proposed in the literature. However, the ...
 DOI:
 10.1016/j.jeconom.2017.05.006

http://dx.doi.org/10.1016/j.jeconom.2017.05.006
 Author:
 Asai, Manabu; Chang, ChiaLin; McAleer, Michael
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 202212
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; financial assets; nonlinear models; United States
 Abstract:
 ... The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSVGALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly nonlinear model specifications (Basmann, 1988), especially for specifying causal effects from return ...
 DOI:
 10.1016/j.jeconom.2017.05.010

http://dx.doi.org/10.1016/j.jeconom.2017.05.010
 Author:
 Phillips, Peter C.B.; Gao, Wayne Yuan
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 96116
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; equations
 Abstract:
 ... This paper develops exact finite sample and asymptotic distributions for structural equation tests based on partially restricted reduced form estimates. Particular attention is given to models with large numbers of instruments, wherein the use of partially restricted reduced form estimates is shown to be especially advantageous in statistical testing even in cases of uniformly weak instruments. Co ...
 DOI:
 10.1016/j.jeconom.2017.05.003

http://dx.doi.org/10.1016/j.jeconom.2017.05.003
 Author:
 Maasoumi, Esfandiar; Wang, Le
 Source:
 Journal of econometrics 2017 v.199 no.2 pp. 117130
 ISSN:
 03044076
 Subject:
 African Americans; Whites; econometric models; economic analysis; economic theory; employed women; labor force; markets; probability; United States
 Abstract:
 ... We examine the distance and relations between the distributions of wages for two exogenously identified groups (black and white women here). The literature commonly employs decomposition methods for the conditional means, to propose explanations for observed wage differentials, as “structural” components, attributable to difference in market structures, and the “composition” components, attributab ...
 DOI:
 10.1016/j.jeconom.2017.05.004

http://dx.doi.org/10.1016/j.jeconom.2017.05.004
 Author:
 Halunga, Andreea G.; Orme, Chris D.; Yamagata, Takashi
 Source:
 Journal of econometrics 2017 v.198 no.2 pp. 209230
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; experimental design; growth models; heteroskedasticity; mathematical theory; prediction; time series analysis
 Abstract:
 ... This paper proposes a heteroskedasticityrobust Breusch–Pagan test of the null hypothesis of zero crosssection (or contemporaneous) correlation in linear panel data models, without necessarily assuming independence of the crosssections. The procedure allows for either fixed, strictly exogenous and/or lagged dependent regressor variables, as well as quite general forms of both nonnormality and h ...
 DOI:
 10.1016/j.jeconom.2016.12.005

http://dx.doi.org/10.1016/j.jeconom.2016.12.005