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 Author:
 Davidson, Russell
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 228236
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory
 Abstract:
 ... The bootstrap can be validated by considering the sequence of P values obtained by bootstrap iteration, rather than asymptotically. If this sequence converges to a random variable with the uniform U(0,1) distribution, the bootstrap is valid. Here, the model is made discrete and finite, characterised by a threedimensional array of probabilities. This renders bootstrap iteration to any desired orde ...
 DOI:
 10.1016/j.jeconom.2017.08.005

http://dx.doi.org/10.1016/j.jeconom.2017.08.005
 Author:
 Gallant, A. Ronald; Giacomini, Raffaella; Ragusa, Giuseppe
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 198211
 ISSN:
 03044076
 Subject:
 Bayesian theory; econometric models; economic analysis; economic theory; equations
 Abstract:
 ... We consider Bayesian estimation of state space models when the measurement density is not available but estimating equations for the parameters of the measurement density are available from moment conditions. The most common applications are partial equilibrium models involving moment conditions that depend on dynamic latent variables (e.g., time–varying parameters, stochastic volatility) and dyna ...
 DOI:
 10.1016/j.jeconom.2017.08.003

http://dx.doi.org/10.1016/j.jeconom.2017.08.003
 Author:
 Gagliardini, Patrick; Gouriéroux, Christian
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 176197
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; factor analysis; principal component analysis
 Abstract:
 ... The factor analysis of a (n,m) matrix of observations Y is based on the joint spectral decomposition of the matrix squares YY′ and Y′Y for Principal Component Analysis (PCA). For very large matrix dimensions n and m, this approach has a high level of numerical complexity. The big data feature suggests new estimation methods with a smaller degree of numerical complexity. The double Instrumental Var ...
 DOI:
 10.1016/j.jeconom.2017.08.002

http://dx.doi.org/10.1016/j.jeconom.2017.08.002
 Author:
 Frazier, David T.; Renault, Eric
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 212227
 ISSN:
 03044076
 Subject:
 assets; econometric models; economic analysis; economic theory; prices; system optimization
 Abstract:
 ... The standard description of twostep extremum estimation amounts to pluggingin a firststep estimator of nuisance parameters to simplify the optimization problem and then deducing a user friendly, but potentially inefficient, estimator for the parameters of interest. In this paper, we consider a more general setting of twostep estimation where we do not necessarily have ‘nuisance parameters’ but ...
 DOI:
 10.1016/j.jeconom.2017.08.004

http://dx.doi.org/10.1016/j.jeconom.2017.08.004
 Author:
 Benatia, David; Carrasco, Marine; Florens, JeanPierre
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 269291
 ISSN:
 03044076
 Subject:
 econometric models; economic theory; electric energy consumption; regression analysis
 Abstract:
 ... In this paper, we develop new estimation results for functional regressions where both the regressor Z(t) and the response Y(t) are functions of Hilbert spaces, indexed by the time or a spatial location. The model can be thought as a generalization of the multivariate regression where the regression coefficient is now an unknown operator Π. We propose to estimate the operator Π by Tikhonov regular ...
 DOI:
 10.1016/j.jeconom.2017.08.008

http://dx.doi.org/10.1016/j.jeconom.2017.08.008
 Author:
 Barigozzi, Matteo; Hallin, Marc
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 307321
 ISSN:
 03044076
 Subject:
 assets; econometric models; economic analysis; economic theory; markets; prediction; time series analysis
 Abstract:
 ... In large panels of financial time series with dynamic factor structure on the levels or returns, the volatilities of the common and idiosyncratic components often exhibit strong correlations, indicating that both are exposed to the same market volatility shocks. This suggests, alongside the dynamic factor decomposition of returns, a dynamic factor decomposition of volatilities or volatility proxie ...
 DOI:
 10.1016/j.jeconom.2017.08.010

http://dx.doi.org/10.1016/j.jeconom.2017.08.010
 Author:
 Chen, Ye; Phillips, Peter C.B.; Yu, Jun
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 400416
 ISSN:
 03044076
 Subject:
 continuous systems; econometric models; economic analysis; economic theory; markets; real estate assets; United States
 Abstract:
 ... New limit theory is developed for comoving systems with explosive processes, connecting continuous and discrete time formulations. The theory uses double asymptotics with infill (as the sampling interval tends to zero) and large time span asymptotics. The limit theory explicitly involves initial conditions, allows for drift in the system, is provided for single and multiple explosive regressors, ...
 DOI:
 10.1016/j.jeconom.2017.08.016

http://dx.doi.org/10.1016/j.jeconom.2017.08.016
 Author:
 Li, Jia; Todorov, Viktor; Tauchen, George; Chen, Rui
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 417432
 ISSN:
 03044076
 Subject:
 Monte Carlo method; assets; confidence interval; econometric models; economic analysis; economic theory; liquids; markets; prices
 Abstract:
 ... We develop an efficient mixedscale estimator for jump regressions using highfrequency asset returns. A fine time scale is used to accurately identify the locations of large rare jumps in the explanatory variables such as the price of the market portfolio. A coarse scale is then used in the estimation in order to attenuate the effect of trading frictions in the dependent variable such as the pric ...
 DOI:
 10.1016/j.jeconom.2017.08.017

http://dx.doi.org/10.1016/j.jeconom.2017.08.017
 Author:
 Darolles, Serge; Le Fol, Gaëlle; Mero, Gulten
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 367383
 ISSN:
 03044076
 Subject:
 econometric models; economic theory; economic valuation; markets; mixing; momentum
 Abstract:
 ... The mixture of distribution hypothesis (MDH) model offers an appealing explanation for the positive relation between trading volume and volatility of returns. In this specification, the information flow constitutes the only mixing variable responsible for all changes. However, this single static latent mixing variable cannot account for the observed shortrun dynamics of volume and volatility. In ...
 DOI:
 10.1016/j.jeconom.2017.08.014

http://dx.doi.org/10.1016/j.jeconom.2017.08.014
 Author:
 Bonhomme, Stéphane; Jochmans, Koen; Robin, JeanMarc
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 237248
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; multivariate analysis
 Abstract:
 ... We propose a twostep method to nonparametrically estimate multivariate models in which the observed outcomes are independent conditional on a discrete latent variable. Applications include microeconometric models with unobserved types of agents, regimeswitching models, and models with misclassification error. In the first step, we estimate weights that transform moments of the marginal distribut ...
 DOI:
 10.1016/j.jeconom.2017.08.006

http://dx.doi.org/10.1016/j.jeconom.2017.08.006
 Author:
 Liu, Nianqing; Vuong, Quang; Xu, Haiqing
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 249268
 ISSN:
 03044076
 Subject:
 Bayesian theory; econometric models; economic analysis; economic theory; empirical research; social behavior
 Abstract:
 ... This paper studies the rationalization and identification of binary games where players have correlated private types. Allowing for type correlation is crucial in global games and in models with social interactions as it represents correlated private information and homophily, respectively. Our approach is fully nonparametric in the joint distribution of types and the strategic effects in the payo ...
 DOI:
 10.1016/j.jeconom.2017.08.007

http://dx.doi.org/10.1016/j.jeconom.2017.08.007
 Author:
 Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 322332
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; financial assets; inflation; issues and policy; macroeconomics
 Abstract:
 ... Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background,we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and density). We examine realtime forecast a ...
 DOI:
 10.1016/j.jeconom.2017.08.011

http://dx.doi.org/10.1016/j.jeconom.2017.08.011
 Author:
 Engle, Robert; Roussellet, Guillaume; Siriwardane, Emil
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 333347
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; heteroskedasticity; risk assessment; statistical models; United States
 Abstract:
 ... We propose a statistical model of the term structure of U.S. treasury yields tailored for longterm probabilitybased scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor structure of the yield curve. Moreover, we incorporate heteroskedasticity and timevarying correlations across yields, both prevalent fea ...
 DOI:
 10.1016/j.jeconom.2017.08.012

http://dx.doi.org/10.1016/j.jeconom.2017.08.012
 Author:
 Monfort, Alain; Pegoraro, Fulvio; Renne, JeanPaul; Roussellet, Guillaume
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 348366
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; prices; probability
 Abstract:
 ... We build an Affine Term Structure Model that provides nonnegative yields at any maturity and that is able to accommodate a shortterm rate that stays at the zero lower bound (ZLB) for extended periods of time while longerterm rates feature high volatilities. We introduce these features through a new univariate nonnegative affine process called ARGZero, and its multivariate affine counterpart ( ...
 DOI:
 10.1016/j.jeconom.2017.08.013

http://dx.doi.org/10.1016/j.jeconom.2017.08.013
 Author:
 Fan, Jianqing; Xue, Lingzhou; Yao, Jiawei
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 292306
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; empirical research; macroeconomics; principal component analysis; regression analysis; time series analysis
 Abstract:
 ... We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a highdimensional factor model implemented by the principal component analysis. Using the extracted factors, we develop a novel forecasting method called the sufficient forecasting, which provides a set of sufficient predictive indices, ...
 DOI:
 10.1016/j.jeconom.2017.08.009

http://dx.doi.org/10.1016/j.jeconom.2017.08.009
 Author:
 AïtSahalia, Yacine; Xiu, Dacheng
 Source:
 Journal of econometrics 2017 v.201 no.2 pp. 384399
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; principal component analysis; variance covariance matrix; United States
 Abstract:
 ... This paper constructs an estimator for the number of common factors in a setting where both the sampling frequency and the number of variables increase. Empirically, we document that the covariance matrix of a large portfolio of US equities is well represented by a low rank common structure with sparse residual matrix. When employed for outofsample portfolio allocation, the proposed estimator la ...
 DOI:
 10.1016/j.jeconom.2017.08.015

http://dx.doi.org/10.1016/j.jeconom.2017.08.015
 Author:
 Dovonon, Prosper; Gonçalves, Sílvia
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 4371
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; heteroskedasticity
 Abstract:
 ... The main contribution of this paper is to study the applicability of the bootstrap to estimating the distribution of the standard test of overidentifying restrictions of Hansen (1982) when the model is globally identified but the rank condition fails to hold (lack of firstorder local identification). An important example for which these conditions are verified is the popular test of common condit ...
 DOI:
 10.1016/j.jeconom.2017.06.021

http://dx.doi.org/10.1016/j.jeconom.2017.06.021
 Author:
 Krief, Jerome M.
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 95107
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; equations
 Abstract:
 ... This paper treats the estimation of the inverse g−1 of a monotonic function g satisfying E[Y−g(X)W]=0 where (X,W) is continuously distributed. Using instrumental restrictions, many parameters of interest in econometrics can be expressed as inverses of functions satisfying such a conditional moment. As far as I know, consistent estimators are available only if g(X)=E[YX], which precludes endogeno ...
 DOI:
 10.1016/j.jeconom.2017.07.001

http://dx.doi.org/10.1016/j.jeconom.2017.07.001
 Author:
 Shephard, Neil; Xiu, Dacheng
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 1942
 ISSN:
 03044076
 Subject:
 Monte Carlo method; algorithms; assets; covariance; econometric models; economic analysis; economic theory; market microstructure; prices
 Abstract:
 ... Estimating the covariance between assets using high frequency data is challenging due to market microstructure effects and asynchronous trading. In this paper we develop a multivariate realised quasi maximum likelihood (QML) approach, carrying out inference as if the observations arise from an asynchronously observed vector scaled Brownian model observed with error. Under stochastic volatility the ...
 DOI:
 10.1016/j.jeconom.2017.04.003

http://dx.doi.org/10.1016/j.jeconom.2017.04.003
 Author:
 Racine, Jeffrey S.; Li, Kevin
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 7294
 ISSN:
 03044076
 Subject:
 Monte Carlo method; cumulative distribution; econometric models; economic analysis; economic theory; peers
 Abstract:
 ... Nonparametric conditional cumulative distribution function (CDF) estimation has emerged as a powerful tool having widespread potential application, which has led to a literature on estimators of conditional quantile functions that are obtained via inversion of the nonparametrically estimated conditional CDF. Other nonparametric estimators of conditional quantiles that are based on an alternative c ...
 DOI:
 10.1016/j.jeconom.2017.06.020

http://dx.doi.org/10.1016/j.jeconom.2017.06.020