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 Author:
 Qu, Xi; Lee, Lungfei; Yu, Jihai
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 173201
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory
 Abstract:
 ... In spatial panel data models, when a spatial weights matrix is constructed from economic or social distance, spatial weights could be endogenous and also time varying. This paper presents model specification and proposes QMLE estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices. Asymptotic properties of the proposed QMLE are rigorously established. ...
 DOI:
 10.1016/j.jeconom.2016.11.004

http://dx.doi.org/10.1016/j.jeconom.2016.11.004
 Author:
 Yang, Yaxing; Ling, Shiqing
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 368381
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; least squares; statistical inference
 Abstract:
 ... The least squares estimator of the threshold autoregressive (TAR) model may not be consistent when its tail is less than or equal to 2. Neither theory nor methodology can be applied to model fitting in this case. This paper is to develop a systematic procedure of statistical inference for the heavytailed TAR model. We first investigate the selfweighted least absolute deviation estimation for the ...
 DOI:
 10.1016/j.jeconom.2016.11.009

http://dx.doi.org/10.1016/j.jeconom.2016.11.009
 Author:
 Shi, Wei; Lee, Lungfei
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 323347
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; mortgages; prices; United States
 Abstract:
 ... This paper studies the estimation of a dynamic spatial panel data model with interactive individual and time effects with large n and T. The model has a rich spatial structure including contemporaneous spatial interaction and spatial heterogeneity. Dynamic features include individual time lag and spatial diffusion. The interactive effects capture heterogeneous impacts of time effects on cross sect ...
 DOI:
 10.1016/j.jeconom.2016.12.001

http://dx.doi.org/10.1016/j.jeconom.2016.12.001
 Author:
 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 284297
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; prices
 Abstract:
 ... We consider a logprice process Xt, which is observed at discrete times 0,Δn, 2Δn,…, and the process has a stochastic squared volatility σt2. Assuming that the price process as well as the volatility process have common jumps, we suggest tests for noncorrelation between logprice and squared volatility jumps, or functions of such jumps. Our tests have a prescribed asymptotic level, as the mesh Δn ...
 DOI:
 10.1016/j.jeconom.2016.11.007

http://dx.doi.org/10.1016/j.jeconom.2016.11.007
 Author:
 Ghanem, Dalia
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 202217
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory
 Abstract:
 ... Recent work on nonparametric identification of average partial effects (APEs) from panel data require restrictions on individual or time heterogeneity. Identifying assumptions under the “generalized firstdifferencing” category, such as time homogeneity (Chernozhukov et al., 2013), have testable equality restrictions on the distribution of the outcome variable. This paper proposes specification te ...
 DOI:
 10.1016/j.jeconom.2016.11.005

http://dx.doi.org/10.1016/j.jeconom.2016.11.005
 Author:
 Hounyo, Ulrich
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 130152
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; regression analysis; variance; variance covariance matrix
 Abstract:
 ... We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for the preaveraged realized volatility estimator to a general class of estimators of integrated covolatility. We then show the firstorder asymptotic validi ...
 DOI:
 10.1016/j.jeconom.2016.11.002

http://dx.doi.org/10.1016/j.jeconom.2016.11.002
 Author:
 Li, Hongjun; Li, Qi; Shi, Yutang
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 7686
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory
 Abstract:
 ... Correctly specifying the number of factors (r) is a fundamental issue for the application of factor models. In this paper we develop an econometric method to estimate the number of factors in factor models of large dimensions where the number of factors is allowed to increase as the two dimensions, crosssection size (N) and time period (T) increase. Using similar information criteria as proposed ...
 DOI:
 10.1016/j.jeconom.2016.06.003

http://dx.doi.org/10.1016/j.jeconom.2016.06.003
 Author:
 Li, Kathleen T.; Bell, David R.
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 6575
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; mathematical theory; prediction; selection criteria
 Abstract:
 ... Hsiao, Ching and Wan (2012) propose a novel method to estimate the average treatment effect using panel data. In this paper, we accomplish the following: (i) We relax some of the distributional assumptions made in HCW and show that the HCW method works for a much wider range of data generating processes; (ii) We derive the asymptotic distribution of HCW’s average treatment effect estimator which f ...
 DOI:
 10.1016/j.jeconom.2016.01.011

http://dx.doi.org/10.1016/j.jeconom.2016.01.011
 Author:
 Potiron, Yoann; Mykland, Per A.
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 2041
 ISSN:
 03044076
 Subject:
 assets; covariance; econometric models; economic analysis; economic theory; prices
 Abstract:
 ... When estimating highfrequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous twodimensional nonparametric model. Because an observation is generated whenever an auxiliary proce ...
 DOI:
 10.1016/j.jeconom.2016.10.004

http://dx.doi.org/10.1016/j.jeconom.2016.10.004
 Author:
 Baltagi, Badi H.; Kao, Chihwa; Wang, Fa
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 87100
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; least squares
 Abstract:
 ... This paper tackles the identification and estimation of a high dimensional factor model with unknown number of latent factors and a single break in the number of factors and/or factor loadings occurring at unknown common date. First, we propose a least squares estimator of the change point based on the second moments of estimated pseudo factors and show that the estimation error of the proposed es ...
 DOI:
 10.1016/j.jeconom.2016.10.007

http://dx.doi.org/10.1016/j.jeconom.2016.10.007
 Author:
 Massacci, Daniele
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 101129
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic policy; economic theory; least squares; selection criteria; uncertainty
 Abstract:
 ... This paper studies large dimensional factor models with thresholdtype regime shifts in the loadings. We estimate the threshold by concentrated least squares, and factors and loadings by principal components. The estimator for the threshold is superconsistent, with convergence rate that depends on the time and crosssectional dimensions of the panel, and it does not affect the estimator for factor ...
 DOI:
 10.1016/j.jeconom.2016.11.001

http://dx.doi.org/10.1016/j.jeconom.2016.11.001
 Author:
 Karabiyik, Hande; Reese, Simon; Westerlund, Joakim
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 6064
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory
 Abstract:
 ... A popular approach to factoraugmented panel regressions is the common correlated effects (CCE) estimator of Pesaran (2006). This paper points to a problem with the CCE approach that appears in the empirically relevant case when the number of factors is strictly less than the number of observables used in their estimation. Specifically, the use of too many observables causes the second moment matr ...
 DOI:
 10.1016/j.jeconom.2016.10.006

http://dx.doi.org/10.1016/j.jeconom.2016.10.006
 Author:
 Fan, Yanqin; Guerre, Emmanuel; Zhu, Dongming
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 4259
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; issues and policy
 Abstract:
 ... In this paper, we present a systematic study of partial identification of two general classes of functionals of the joint distribution of two “potential outcomes” when a bivariate sample from the joint distribution is not available to the econometrician. Assuming the identification of the conditional marginal distributions of potential outcomes and the distribution of the covariate vector, we show ...
 DOI:
 10.1016/j.jeconom.2016.10.005

http://dx.doi.org/10.1016/j.jeconom.2016.10.005
 Author:
 Romano, Joseph P.; Wolf, Michael
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 119
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; heteroskedasticity; least squares
 Abstract:
 ... This paper shows how asymptotically valid inference in regression models based on the weighted least squares (WLS) estimator can be obtained even when the model for reweighting the data is misspecified. Like the ordinary least squares estimator, the WLS estimator can be accompanied by heteroskedasticityconsistent (HC) standard errors without knowledge of the functional form of conditional heteros ...
 DOI:
 10.1016/j.jeconom.2016.10.003

http://dx.doi.org/10.1016/j.jeconom.2016.10.003
 Author:
 Kawaguchi, Kohei
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 153171
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; surveys; utility functions
 Abstract:
 ... I derive a necessary condition for stochastic rationalizability using a set of utility functions with a unique maximizer, which I name the strong axiom of revealed stochastic preference (SARSP). I also provide a constructive characterization of rationalizability in a regular finite linear budget setting and discuss the (in)sufficiency of SARSP. I propose a test of rationality based on the SARSP. M ...
 DOI:
 10.1016/j.jeconom.2016.11.003

http://dx.doi.org/10.1016/j.jeconom.2016.11.003
 Author:
 Ergemen, Yunus Emre; Velasco, Carlos
 Source:
 Journal of econometrics 2017 v.196 no.2 pp. 248258
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory
 Abstract:
 ... We consider a large N,T heterogeneous panel data model with fixed effects, common factors allowing for crosssection dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and commoncorrelation estimates for the slope parameters while error memory parameters are estimated from regression residuals. The individual parameter estimates are all T ...
 DOI:
 10.1016/j.jeconom.2016.05.020

http://dx.doi.org/10.1016/j.jeconom.2016.05.020
 Author:
 Goldman, Matt; Kaplan, David M.
 Source:
 Journal of econometrics 2017 v.196 no.2 pp. 331346
 ISSN:
 03044076
 Subject:
 confidence interval; econometric models; economic analysis; economic theory
 Abstract:
 ... Using and extending fractional order statistic theory, we characterize the O(n−1) coverage probability error of the previously proposed (Hutson, 1999) confidence intervals for population quantiles using Lstatistics as endpoints. We derive an analytic expression for the n−1 term, which may be used to calibrate the nominal coverage level to get O(n−3/2[log(n)]3) coverage error. Asymptotic power is ...
 DOI:
 10.1016/j.jeconom.2016.09.015

http://dx.doi.org/10.1016/j.jeconom.2016.09.015
 Author:
 Lanne, Markku; Meitz, Mika; Saikkonen, Pentti
 Source:
 Journal of econometrics 2017 v.196 no.2 pp. 288304
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; markets; monetary policy; statistical analysis
 Abstract:
 ... Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are needed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent nonGaussian components is, without any additional restrictions, identified and leads to essentially unique impulse resp ...
 DOI:
 10.1016/j.jeconom.2016.06.002

http://dx.doi.org/10.1016/j.jeconom.2016.06.002
 Author:
 Hidalgo, Javier; Schafgans, Marcia
 Source:
 Journal of econometrics 2017 v.196 no.2 pp. 259274
 ISSN:
 03044076
 Subject:
 Monte Carlo method; algorithms; econometric models; economic analysis; economic theory; simulation models
 Abstract:
 ... In this paper we provide a new Central Limit Theorem for estimators of the slope papers in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong crosssectional dependence. We proceed by providing two related tests for breaks/homogeneity in the time dimension. The first test is based on the CUSUM principle; the second test is based on a Ha ...
 DOI:
 10.1016/j.jeconom.2016.09.008

http://dx.doi.org/10.1016/j.jeconom.2016.09.008
 Author:
 Andrews, Donald W.K.; Shi, Xiaoxia
 Source:
 Journal of econometrics 2017 v.196 no.2 pp. 275287
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; probability
 Abstract:
 ... We construct confidence sets for models defined by many conditional moment inequalities/equalities. The number of conditional moment restrictions can be up to infinitely many. To deal with the vast number of moment restrictions, we exploit the manageability (Pollard (1990)) of the class of moment functions. We verify this condition in five examples from the recent partial identification literature ...
 DOI:
 10.1016/j.jeconom.2016.09.010

http://dx.doi.org/10.1016/j.jeconom.2016.09.010