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- Author:
- Davidson, Russell
- Source:
- Journal of econometrics 2017 v.201 no.2 pp. 228-236
- ISSN:
- 0304-4076
- 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 three-dimensional 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. 198-211
- ISSN:
- 0304-4076
- 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. 176-197
- ISSN:
- 0304-4076
- 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. 212-227
- ISSN:
- 0304-4076
- Subject:
- assets; econometric models; economic analysis; economic theory; prices; system optimization
- Abstract:
- ... The standard description of two-step extremum estimation amounts to plugging-in a first-step 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 two-step 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, Jean-Pierre
- Source:
- Journal of econometrics 2017 v.201 no.2 pp. 269-291
- ISSN:
- 0304-4076
- 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. 307-321
- ISSN:
- 0304-4076
- 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. 400-416
- ISSN:
- 0304-4076
- Subject:
- continuous systems; econometric models; economic analysis; economic theory; markets; real estate assets; United States
- Abstract:
- ... New limit theory is developed for co-moving 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. 417-432
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; assets; confidence interval; econometric models; economic analysis; economic theory; liquids; markets; prices
- Abstract:
- ... We develop an efficient mixed-scale estimator for jump regressions using high-frequency 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. 367-383
- ISSN:
- 0304-4076
- 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 short-run 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, Jean-Marc
- Source:
- Journal of econometrics 2017 v.201 no.2 pp. 237-248
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; multivariate analysis
- Abstract:
- ... We propose a two-step 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, regime-switching 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. 249-268
- ISSN:
- 0304-4076
- 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. 322-332
- ISSN:
- 0304-4076
- 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 real-time 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. 333-347
- ISSN:
- 0304-4076
- 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 long-term probability-based 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 time-varying 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, Jean-Paul; Roussellet, Guillaume
- Source:
- Journal of econometrics 2017 v.201 no.2 pp. 348-366
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; prices; probability
- Abstract:
- ... We build an Affine Term Structure Model that provides non-negative yields at any maturity and that is able to accommodate a short-term rate that stays at the zero lower bound (ZLB) for extended periods of time while longer-term rates feature high volatilities. We introduce these features through a new univariate non-negative affine process called ARG-Zero, 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. 292-306
- ISSN:
- 0304-4076
- 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 high-dimensional 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:
- Aït-Sahalia, Yacine; Xiu, Dacheng
- Source:
- Journal of econometrics 2017 v.201 no.2 pp. 384-399
- ISSN:
- 0304-4076
- 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 out-of-sample 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. 43-71
- ISSN:
- 0304-4076
- 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 first-order 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. 95-107
- ISSN:
- 0304-4076
- 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[Y|X], 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. 19-42
- ISSN:
- 0304-4076
- 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. 72-94
- ISSN:
- 0304-4076
- 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

- Author:
- Horowitz, Joel L.; Lee, Sokbae
- Source:
- Journal of econometrics 2017 v.201 no.1 pp. 108-126
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory
- Abstract:
- ... Economic theory often provides shape restrictions on functions of interest in applications, such as monotonicity, convexity, non-increasing (non-decreasing) returns to scale, or the Slutsky inequality of consumer theory; but economic theory does not provide finite-dimensional parametric models. This motivates nonparametric estimation under shape restrictions. Nonparametric estimates are often very ...
- DOI:
- 10.1016/j.jeconom.2017.06.019
- http://dx.doi.org/10.1016/j.jeconom.2017.06.019

- Author:
- Chaker, Selma
- Source:
- Journal of econometrics 2017 v.201 no.1 pp. 127-143
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; market microstructure; prices
- Abstract:
- ... Observed high-frequency prices are always contaminated with liquidity costs or market microstructure noise. Inspired by the market microstructure literature, I explicitly model this noise and remove it from observed prices to obtain an estimate of the frictionless price. I then formally test whether the prices adjusted for the estimated liquidity costs are either totally or partially free from noi ...
- DOI:
- 10.1016/j.jeconom.2017.06.018
- http://dx.doi.org/10.1016/j.jeconom.2017.06.018

- Author:
- Xu, Ke-Li
- Source:
- Journal of econometrics 2017 v.201 no.1 pp. 1-18
- ISSN:
- 0304-4076
- Subject:
- computer software; econometric models; economic analysis; economic theory; logit analysis
- Abstract:
- ... We consider the regression discontinuity (RD) design with categorical outcomes, and exploit the possibility of adapting well-developed microeconometric models to the RD setting. The channels through which the forcing variable affects the potential outcome distributions are constrained to be minimal, to preserve the nonparametric feature of the RD design. Focusing on general categorical outcomes (n ...
- DOI:
- 10.1016/j.jeconom.2017.07.004
- http://dx.doi.org/10.1016/j.jeconom.2017.07.004

- Author:
- Hoderlein, Stefan; Holzmann, Hajo; Meister, Alexander
- Source:
- Journal of econometrics 2017 v.201 no.1 pp. 144-169
- ISSN:
- 0304-4076
- Subject:
- consumer demand; econometric models; economic analysis; economic theory; equations
- Abstract:
- ... The triangular model is a very popular way to allow for causal inference in the presence of endogeneity. In this model, an outcome is determined by an endogenous regressor, which in turn is first caused by an instrument. We study the triangular model with random coefficients and additional exogenous regressors in both equations, and establish non-identification of the joint distribution of random ...
- DOI:
- 10.1016/j.jeconom.2017.05.018
- http://dx.doi.org/10.1016/j.jeconom.2017.05.018

- Author:
- Bollinger, Christopher R.; van Hasselt, Martijn
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 282-294
- ISSN:
- 0304-4076
- Subject:
- Bayesian theory; algorithms; data collection; econometric models; economic analysis; economic theory; pain; probability; regression analysis
- Abstract:
- ... We present a Bayesian analysis of a regression model with a binary covariate that may have classification (measurement) error. Prior research demonstrates that the regression coefficient is only partially identified. We take a Bayesian approach which adds assumptions in the form of priors on the unknown misclassification probabilities. The approach is intermediate between the frequentist bounds of ...
- DOI:
- 10.1016/j.jeconom.2017.06.011
- http://dx.doi.org/10.1016/j.jeconom.2017.06.011

- Author:
- Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 169-180
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; equations; heteroskedasticity; regression analysis; variance covariance matrix
- Abstract:
- ... Measurement error causes a bias towards zero when estimating a panel data linear regression model. The panel data context offers various opportunities to derive instrumental variables allowing for consistent estimation. We consider three sources of moment conditions: (i) restrictions on the covariance matrix of the errors in the equations, (ii) nonzero third moments of the regressors, and (iii) he ...
- DOI:
- 10.1016/j.jeconom.2017.06.003
- http://dx.doi.org/10.1016/j.jeconom.2017.06.003

### 27. Counting rotten apples: Student achievement and score manipulation in Italian elementary Schools

- Author:
- Battistin, Erich; De Nadai, Michele; Vuri, Daniela
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 344-362
- ISSN:
- 0304-4076
- Subject:
- academic achievement; apples; econometric models; economic analysis; economic theory; elementary schools; elementary students; statistical models; Italy
- Abstract:
- ... We derive bounds on the distribution of math and language scores of elementary school students in Italy correcting for pervasive manipulation. A natural experiment that randomly assigns external monitors to schools is used to deal with endogeneity of manipulation, as well as its mismeasurement in the data. Bounds are obtained from properties of the statistical model used to detect classes with man ...
- DOI:
- 10.1016/j.jeconom.2017.06.015
- http://dx.doi.org/10.1016/j.jeconom.2017.06.015

- Author:
- Ben-Moshe, Dan; D’Haultfœuille, Xavier; Lewbel, Arthur
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 207-222
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; mathematical models
- Abstract:
- ... We show nonparametric point identification of a measurement error model with covariates that can be interpreted as invalid instruments. Our main contribution is to replace standard exclusion restrictions with the weaker assumption of additivity in the covariates. Measurement errors are ubiquitous and additive models are popular, so our results combining the two should have widespread potential app ...
- DOI:
- 10.1016/j.jeconom.2017.06.006
- http://dx.doi.org/10.1016/j.jeconom.2017.06.006

### 29. Identification of first-price auctions with non-equilibrium beliefs: A measurement error approach

- Author:
- An, Yonghong
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 326-343
- ISSN:
- 0304-4076
- Subject:
- USDA Forest Service; auctions; econometric models; economic analysis; economic theory; forest trees; United States
- Abstract:
- ... This paper studies identification and estimation of two models for first-price auctions: (1) bidders’ beliefs about their opponents’ bidding behavior are not in equilibrium but follow “level-k” thinking, and (2) bidders’ values are asymmetrically distributed. Exploiting the nonparametric methodology developed for measurement error models (e.g., Hu, 2008), we show that both models can be identified ...
- DOI:
- 10.1016/j.jeconom.2017.06.014
- http://dx.doi.org/10.1016/j.jeconom.2017.06.014

- Author:
- Hahn, Jinyong; Ridder, Geert
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 238-250
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; nonlinear models
- Abstract:
- ... We consider nonlinear parametric models with an independent variable that is measured with error. The measurement error can be correlated with the true value, i.e., the measurement error is allowed to be nonclassical. We propose a control variable estimator for the parameters of interest. The estimator is consistent even if the latent true value is endogenous. We derive the influence function of t ...
- DOI:
- 10.1016/j.jeconom.2017.06.008
- http://dx.doi.org/10.1016/j.jeconom.2017.06.008

- Author:
- Lee, Nayoung; Moon, Hyungsik Roger; Zhou, Qiankun
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 251-259
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; regression analysis
- Abstract:
- ... In this paper, we investigate a dynamic linear panel regression model with measurement error. We consider the panel data estimation whose time dimension (T) is not small and comparable to the cross sectional dimension (N). First, we show that the 2SLS estimator suffers from the bias problem due to many instrumental variables. Using the alternative asymptotics where T3N goes to a constant as N,T→∞, ...
- DOI:
- 10.1016/j.jeconom.2017.06.009
- http://dx.doi.org/10.1016/j.jeconom.2017.06.009

- Author:
- Meyer, Bruce D.; Mittag, Nikolas
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 295-311
- ISSN:
- 0304-4076
- Subject:
- covariance; econometric models; economic analysis; economic theory
- Abstract:
- ... Bias from misclassification of binary dependent variables can be pronounced. We examine what can be learned from such contaminated data. First, we derive the asymptotic bias in parametric models allowing misclassification to be correlated with observables and unobservables. Simulations and validation data show that the bias formulas are accurate in finite samples and in most situations imply atten ...
- DOI:
- 10.1016/j.jeconom.2017.06.012
- http://dx.doi.org/10.1016/j.jeconom.2017.06.012

- Author:
- Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 363-377
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; household surveys; neonatal mortality; statistical analysis
- Abstract:
- ... In 2005, the Indian Government launched a conditional cash-incentive program to encourage institutional delivery. This paper studies the effects of the program on neonatal mortality using district-level household survey data. We model mortality using survival analysis, paying special attention to substantial heaping, a form of measurement error, present in the data. The main objective of this pape ...
- DOI:
- 10.1016/j.jeconom.2017.06.016
- http://dx.doi.org/10.1016/j.jeconom.2017.06.016

- Author:
- Davezies, Laurent; Le Barbanchon, Thomas
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 260-281
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; unemployment
- Abstract:
- ... Since the late 90s, Regression Discontinuity (RD) designs have been widely used to estimate Local Average Treatment Effects (LATE). When the running variable is observed with continuous measurement error, identification fails. Assuming non-differential measurement error, we propose a consistent nonparametric estimator of the LATE when the discrepancy between the true running variable and its noisy ...
- DOI:
- 10.1016/j.jeconom.2017.06.010
- http://dx.doi.org/10.1016/j.jeconom.2017.06.010

- Author:
- Chen, Xiaohong; Linton, Oliver; Yi, Yanping
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 312-325
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; prices; trade
- Abstract:
- ... This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (εt) from the observed transaction prices alone. The results are established via the characteristic function approach, and hence allow for discrete or continuous εt and the observed price increments do not need to have any finite moments. Constructive ...
- DOI:
- 10.1016/j.jeconom.2017.06.013
- http://dx.doi.org/10.1016/j.jeconom.2017.06.013

- Author:
- Gospodinov, Nikolay; Komunjer, Ivana; Ng, Serena
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 181-193
- ISSN:
- 0304-4076
- Subject:
- algorithms; dynamic models; econometric models; economic analysis; economic theory; empirical research; least squares; risk
- Abstract:
- ... Empirical analysis often involves using inexact measures of the predictors suggested by economic theory. The bias created by the correlation between the mismeasured regressors and the error term motivates the need for instrumental variable estimation. This paper considers a class of estimators that can be used in dynamic models with measurement errors when external instruments may not be available ...
- DOI:
- 10.1016/j.jeconom.2017.06.004
- http://dx.doi.org/10.1016/j.jeconom.2017.06.004

- Author:
- Garcia, Tanya P.; Ma, Yanyuan
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 194-206
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; heteroskedasticity; regression analysis
- Abstract:
- ... We develop consistent and efficient estimation of parameters in general regression models with mismeasured covariates. We assume the model error and covariate distributions are unspecified, and the measurement error distribution is a general parametric distribution with unknown variance–covariance. We construct root-n consistent, asymptotically normal and locally efficient estimators using the sem ...
- DOI:
- 10.1016/j.jeconom.2017.06.005
- http://dx.doi.org/10.1016/j.jeconom.2017.06.005

- Author:
- Hu, Yingyao
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 154-168
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; labor economics; microeconomics
- Abstract:
- ... This paper reviews the recent developments in nonparametric identification of measurement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to an observed distribution. The identification and estimation of measurement error models focus on how ...
- DOI:
- 10.1016/j.jeconom.2017.06.002
- http://dx.doi.org/10.1016/j.jeconom.2017.06.002

- Author:
- Drerup, Tilman; Enke, Benjamin; von Gaudecker, Hans-Martin
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 378-389
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; risk; stock exchange
- Abstract:
- ... Subjective expectations are important primitives in many economic models, yet their direct measurement often yields imprecise and inconsistent data. This has previously been treated as a pure measurement error problem. In contrast, this paper argues that the individual-level precision of such data may reflect the structure of the underlying decision process. We estimate a semiparametric double ind ...
- DOI:
- 10.1016/j.jeconom.2017.06.017
- http://dx.doi.org/10.1016/j.jeconom.2017.06.017

- Author:
- Chesher, Andrew
- Source:
- Journal of econometrics 2017 v.200 no.2 pp. 223-237
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; regression analysis; variance
- Abstract:
- ... The impact of measurement error in explanatory variables on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related. A key factor is the distribution of the error free explanatory variable. Exact calculations probe the accuracy of the approximation. The order of t ...
- DOI:
- 10.1016/j.jeconom.2017.06.007
- http://dx.doi.org/10.1016/j.jeconom.2017.06.007

- Author:
- Li, Jia; Todorov, Viktor; Tauchen, George
- Source:
- Journal of econometrics 2017 v.200 no.1 pp. 36-47
- ISSN:
- 0304-4076
- 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 continuous-time 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 high-frequency 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. 17-35
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; regression analysis
- Abstract:
- ... We develop a set of powerful and flexible size-correction 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. 59-78
- ISSN:
- 0304-4076
- 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 high-dimensional inverse covariance matrix estimator. By using a consistent estimator of the error covariance matrix, we can take into account both cross-sectional correlations and heteroskedasticity. In the presence of cross-sectional correlations, the proposed estimator eliminates the cross-sectiona ...
- 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, Ji-Liang
- Source:
- Journal of econometrics 2017 v.200 no.1 pp. 48-58
- ISSN:
- 0304-4076
- 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. 79-103
- ISSN:
- 0304-4076
- Subject:
- byproducts; econometric models; economic analysis; economic theory; edge effects; empirical research; risk; stock exchange; New York
- Abstract:
- ... In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Itô semimartingales, and discuss how to measure liquidity risk using high-frequency financial data. In particular, we investigate the impact of non-stationary 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. 135-149
- ISSN:
- 0304-4076
- 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. 118-134
- ISSN:
- 0304-4076
- 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 second-order 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. 104-117
- ISSN:
- 0304-4076
- 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. 1-16
- ISSN:
- 0304-4076
- 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 cross-sectional 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. 184-201
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; equations; exports; income; markets; sales; China
- Abstract:
- ... This paper studies the determinants of firm-level 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. 131-140
- ISSN:
- 0304-4076
- 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 (half-normal) 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. 156-172
- ISSN:
- 0304-4076
- 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 non-standard 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. 213-220
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory
- Abstract:
- ... Completeness and bounded-completeness conditions are used increasingly in econometrics to obtain nonparametric identification in a variety of models from nonparametric instrumental variable regression to non-classical measurement error models. However, distributions that are known to be complete or boundedly complete are somewhat scarce. In this paper, we consider an L2-completeness 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. 173-183
- ISSN:
- 0304-4076
- Subject:
- confidence interval; econometric models; economic analysis; economic theory
- Abstract:
- ... In the just-identified model,the exact distribution of the two-stage 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

### 55. Maximum entropy estimation of income distributions from Basmann’s weighted geometric mean measure

- Author:
- Ryu, Hang K.; Slottje, Daniel J.
- Source:
- Journal of econometrics 2017 v.199 no.2 pp. 221-231
- ISSN:
- 0304-4076
- 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 well-known 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. 141-155
- ISSN:
- 0304-4076
- Subject:
- birth weight; econometric models; economic analysis; economic theory
- Abstract:
- ... Bassmann (1957, 1959) introduced two-stage 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, Chia-Lin; McAleer, Michael
- Source:
- Journal of econometrics 2017 v.199 no.2 pp. 202-212
- ISSN:
- 0304-4076
- 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 RSV-GALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear 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. 96-116
- ISSN:
- 0304-4076
- 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. 117-130
- ISSN:
- 0304-4076
- 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. 209-230
- ISSN:
- 0304-4076
- 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 heteroskedasticity-robust Breusch–Pagan test of the null hypothesis of zero cross-section (or contemporaneous) correlation in linear panel data models, without necessarily assuming independence of the cross-sections. The procedure allows for either fixed, strictly exogenous and/or lagged dependent regressor variables, as well as quite general forms of both non-normality and h ...
- DOI:
- 10.1016/j.jeconom.2016.12.005
- http://dx.doi.org/10.1016/j.jeconom.2016.12.005

- Author:
- Hwang, Jungbin; Sun, Yixiao
- Source:
- Journal of econometrics 2017 v.198 no.2 pp. 277-295
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; t-test; variance
- Abstract:
- ... This paper considers two-step efficient GMM estimation and inference where the weighting matrix and asymptotic variance matrix are based on the series long run variance estimator. We propose a simple and easy-to-implement modification to the trinity of test statistics in the two-step efficient GMM setting and show that the modified test statistics are all asymptotically F distributed under the so- ...
- DOI:
- 10.1016/j.jeconom.2017.02.003
- http://dx.doi.org/10.1016/j.jeconom.2017.02.003

- Author:
- Kristensen, Dennis; Salanié, Bernard
- Source:
- Journal of econometrics 2017 v.198 no.2 pp. 189-208
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory; logit analysis; variance
- Abstract:
- ... Many modern estimation methods in econometrics approximate an objective function, for instance, through simulation or discretization. These approximations typically affect both bias and variance of the resulting estimator. We first provide a higher-order expansion of such “approximate” estimators that takes into account the errors due to the use of approximations. We show how a Newton–Raphson adju ...
- DOI:
- 10.1016/j.jeconom.2016.10.008
- http://dx.doi.org/10.1016/j.jeconom.2016.10.008

- Author:
- Mosconi, Rocco; Paruolo, Paolo
- Source:
- Journal of econometrics 2017 v.198 no.2 pp. 271-276
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; equations
- Abstract:
- ... This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two or higher, under constraints on the cointegration parameters. Rank and order conditions for identification are provided for general linear constraints, covering both cross-equation and equation-by-equation restrictions. ...
- DOI:
- 10.1016/j.jeconom.2017.01.007
- http://dx.doi.org/10.1016/j.jeconom.2017.01.007

- Author:
- Arvanitis, Stelios; Topaloglou, Nikolas
- Source:
- Journal of econometrics 2017 v.198 no.2 pp. 253-270
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; attitudes and opinions; econometric models; economic analysis; economic theory; markets; risk; utility functions
- Abstract:
- ... We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ Monte Carlo experiments to assess the finite sample size and power of the tests. We use the tests to empirically establi ...
- DOI:
- 10.1016/j.jeconom.2017.01.006
- http://dx.doi.org/10.1016/j.jeconom.2017.01.006

- Author:
- Gonçalves, Sílvia; McCracken, Michael W.; Perron, Benoit
- Source:
- Journal of econometrics 2017 v.198 no.2 pp. 231-252
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; mathematical theory
- Abstract:
- ... In this paper we develop asymptotics for tests of equal predictive ability between nested models when factor-augmented regressions are used to forecast. We provide conditions under which the estimation of the factors does not affect the asymptotic distributions developed in Clark and McCracken (2001) and McCracken (2007). This enables researchers to use the existing tabulated critical values when ...
- DOI:
- 10.1016/j.jeconom.2017.01.004
- http://dx.doi.org/10.1016/j.jeconom.2017.01.004

- Author:
- Hounyo, Ulrich; Varneskov, Rasmus T.
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 10-28
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory
- Abstract:
- ... We provide a new resampling procedure–the local stable bootstrap–that is able to mimic the dependence properties of realized power variations for pure-jump semimartingales observed at different frequencies. This allows us to propose a bootstrap estimator and inference procedure for the activity index of the underlying process, β, as well as bootstrap tests for whether it obeys a jump-diffusion or ...
- DOI:
- 10.1016/j.jeconom.2017.01.002
- http://dx.doi.org/10.1016/j.jeconom.2017.01.002

- Author:
- Chen, Tao; Tripathi, Gautam
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 29-40
- ISSN:
- 0304-4076
- Subject:
- data collection; econometric models; economic analysis; economic theory; least squares
- Abstract:
- ... We propose a “weighted and sample-size adjusted” Kolmogorov–Smirnov type statistic to test the assumption of conditional symmetry maintained in the symmetrically trimmed least-squares (STLS) approach of Powell (1986b), which is widely used to estimate censored or truncated regression models without making distributional assumptions. Our statistic is consistent and does not require any nonparametri ...
- DOI:
- 10.1016/j.jeconom.2016.12.003
- http://dx.doi.org/10.1016/j.jeconom.2016.12.003

- Author:
- Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 122-145
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic crises; economic theory; mathematical theory; probability; statistical analysis
- Abstract:
- ... Persistence and unpredictable large increments characterize the volatility of financial returns. We propose the Multiplicative Error Model with volatility jumps (MEM-J) to describe and predict the probability and the size of these extreme events. Under the MEM-J, the conditional density of the realized measure is a countably infinite mixture of Gamma and Kappa distributions, with closed form condi ...
- DOI:
- 10.1016/j.jeconom.2017.01.005
- http://dx.doi.org/10.1016/j.jeconom.2017.01.005

- Author:
- Sianesi, Barbara
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 41-64
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; surveys
- Abstract:
- ... We set out a theoretical framework for the systematic consideration of ‘randomisation bias’, estimate the causal impact of randomisation on participation patterns in an actual trial, and propose a non-experimental way of assessing the extent to which the experimental impacts are representative of the impacts that would have been experienced by the study sample that would have been obtained in the ...
- DOI:
- 10.1016/j.jeconom.2017.01.003
- http://dx.doi.org/10.1016/j.jeconom.2017.01.003

- Author:
- Li, Kunpeng
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 102-121
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory; empirical research; mathematical theory
- Abstract:
- ... Real data often have complicated correlations over cross section and time. Such correlations are of particular interests in empirical studies. This paper considers using high order spatial lags and high order time lags to model complicated correlations over cross section and time. We propose to use the quasi maximum likelihood (QML) method to estimate the model. We establish the asymptotic theory ...
- DOI:
- 10.1016/j.jeconom.2017.02.001
- http://dx.doi.org/10.1016/j.jeconom.2017.02.001

- Author:
- Chevillon, Guillaume; Mavroeidis, Sophocles
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 1-9
- ISSN:
- 0304-4076
- Subject:
- algorithms; econometric models; economic analysis; economic theory
- Abstract:
- ... We study learning dynamics in a prototypical representative-agent forward-looking model in which agents’ beliefs are updated using linear learning algorithms. We show that learning in this model can generate long memory endogenously, without any persistence in the exogenous shocks, depending on the weights agents place on past observations when they update their beliefs, and on the magnitude of th ...
- DOI:
- 10.1016/j.jeconom.2017.01.001
- http://dx.doi.org/10.1016/j.jeconom.2017.01.001

- Author:
- Firpo, Sergio; Galvao, Antonio F.; Song, Suyong
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 146-164
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory; equations; finance; regression analysis; statistical inference
- Abstract:
- ... This paper develops estimation and inference for quantile regression models with measurement errors. We propose an easily-implementable semiparametric two-step estimator when repeated measures for the covariates are available. Building on recent theory on Z-estimation with infinite-dimensional parameters, consistency and asymptotic normality of the proposed estimator are established. We also devel ...
- DOI:
- 10.1016/j.jeconom.2017.02.002
- http://dx.doi.org/10.1016/j.jeconom.2017.02.002

- Author:
- Su, Liangjun; Wang, Xia
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 84-101
- ISSN:
- 0304-4076
- Subject:
- data collection; econometric models; economic analysis; economic theory; estimation; macroeconomics; United States
- Abstract:
- ... Conventional factor models assume that factor loadings are fixed over a long horizon of time, which appears overly restrictive and unrealistic in applications. In this paper, we introduce a time-varying factor model where factor loadings are allowed to change smoothly over time. We propose a local version of the principal component method to estimate the latent factors and time-varying factor load ...
- DOI:
- 10.1016/j.jeconom.2016.12.004
- http://dx.doi.org/10.1016/j.jeconom.2016.12.004

- Author:
- Yang, Chao; Lee, Lung-fei
- Source:
- Journal of econometrics 2017 v.198 no.1 pp. 65-83
- ISSN:
- 0304-4076
- Subject:
- Bayesian theory; econometric models; economic analysis; economic theory; juveniles; social behavior; statistical analysis; surveys; tobacco; tobacco use; youth
- Abstract:
- ... We analyze social interactions where the conditional expectations about group members’ behaviors are heterogeneous with individual features as well as asymmetric private information, under the framework of a simultaneous move game with incomplete information. A functional contraction mapping is used to establish the existence of a unique Bayesian Nash equilibrium. The method of nested fixed point ...
- DOI:
- 10.1016/j.jeconom.2016.11.010
- http://dx.doi.org/10.1016/j.jeconom.2016.11.010

### 75. A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

- Author:
- Kim, Min Seong; Sun, Yixiao; Yang, Jingjing
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 298-322
- ISSN:
- 0304-4076
- Subject:
- autocorrelation; covariance; econometric models; economic analysis; economic theory; heteroskedasticity; time series analysis; variance
- Abstract:
- ... This paper develops robust testing procedures for nonparametric kernel methods in the presence of temporal dependence of unknown forms. Based on the fixed-bandwidth asymptotic variance and the pre-asymptotic variance, we propose a heteroskedasticity and autocorrelation robust (HAR) variance estimator that achieves double robustness — it is asymptotically valid regardless of whether the temporal de ...
- DOI:
- 10.1016/j.jeconom.2016.11.008
- http://dx.doi.org/10.1016/j.jeconom.2016.11.008

- Author:
- Ho, Chi-san; Damien, Paul; Walker, Stephen
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 273-283
- ISSN:
- 0304-4076
- Subject:
- Bayesian theory; econometric models; economic analysis; economic theory
- Abstract:
- ... Bayesian semiparametric models for mean and median regressions abound, but a void for mode regressions exists. We fill this gap by nonparametrically modeling the error distribution in such regressions that entails constructing prior distributions on densities which exhibit flexibility, while fixing the mode at 0. Such priors exist when constraining the mean and median but, to our knowledge, there ...
- DOI:
- 10.1016/j.jeconom.2016.11.006
- http://dx.doi.org/10.1016/j.jeconom.2016.11.006

- Author:
- Perera, Indeewara; Koul, Hira L.
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 348-367
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; heteroskedasticity; threshold models; time series analysis
- Abstract:
- ... The recent literature on financial time series analysis has devoted considerable attention to nonnegative time series, such as financial durations, realized volatility, and squared returns. The class of models, referred to as the multiplicative error models [MEM], is particularly suited to model such nonnegative time series. We develop a lack-of-fit test for fitting a two-phase threshold model for ...
- DOI:
- 10.1016/j.jeconom.2016.12.002
- http://dx.doi.org/10.1016/j.jeconom.2016.12.002

- Author:
- Christensen, K.; Podolskij, M.; Thamrongrat, N.; Veliyev, B.
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 245-272
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; assets; econometric models; economic analysis; economic theory; markets; variance covariance matrix
- Abstract:
- ... In this paper, we show how to estimate the asymptotic (conditional) covariance matrix, which appears in central limit theorems in high-frequency estimation of asset return volatility. We provide a recipe for the estimation of this matrix by subsampling; an approach that computes rescaled copies of the original statistic based on local stretches of high-frequency data, and then it studies the sampl ...
- DOI:
- 10.1016/j.jeconom.2016.07.010
- http://dx.doi.org/10.1016/j.jeconom.2016.07.010

- Author:
- Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 218-244
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; least squares; variance
- Abstract:
- ... This paper introduces a new estimator of the fractional cointegrating vector between stationary long memory processes that is robust to low-frequency contamination such as random level shifts, outliers, Markov switching means, and certain deterministic trends. In particular, the proposed medium band least squares (MBLS) estimator uses sample-size-dependent trimming of frequencies in the vicinity o ...
- DOI:
- 10.1016/j.jeconom.2016.07.009
- http://dx.doi.org/10.1016/j.jeconom.2016.07.009

- Author:
- Qu, Xi; Lee, Lung-fei; Yu, Jihai
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 173-201
- ISSN:
- 0304-4076
- 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. 368-381
- ISSN:
- 0304-4076
- 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 heavy-tailed TAR model. We first investigate the self-weighted 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, Lung-fei
- Source:
- Journal of econometrics 2017 v.197 no.2 pp. 323-347
- ISSN:
- 0304-4076
- 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. 284-297
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; prices
- Abstract:
- ... We consider a log-price 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 non-correlation between log-price 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. 202-217
- ISSN:
- 0304-4076
- 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 first-differencing” 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. 130-152
- ISSN:
- 0304-4076
- 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 pre-averaged realized volatility estimator to a general class of estimators of integrated covolatility. We then show the first-order 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. 76-86
- ISSN:
- 0304-4076
- 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, cross-section 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. 65-75
- ISSN:
- 0304-4076
- 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. 20-41
- ISSN:
- 0304-4076
- Subject:
- assets; covariance; econometric models; economic analysis; economic theory; prices
- Abstract:
- ... When estimating high-frequency 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 two-dimensional 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. 87-100
- ISSN:
- 0304-4076
- 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. 101-129
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic policy; economic theory; least squares; selection criteria; uncertainty
- Abstract:
- ... This paper studies large dimensional factor models with threshold-type 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 cross-sectional 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. 60-64
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory
- Abstract:
- ... A popular approach to factor-augmented 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. 42-59
- ISSN:
- 0304-4076
- 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. 1-19
- ISSN:
- 0304-4076
- 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 heteroskedasticity-consistent (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. 153-171
- ISSN:
- 0304-4076
- 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. 248-258
- ISSN:
- 0304-4076
- 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 cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation 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. 331-346
- ISSN:
- 0304-4076
- 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 L-statistics 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. 288-304
- ISSN:
- 0304-4076
- 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 non-Gaussian 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. 259-274
- ISSN:
- 0304-4076
- 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 cross-sectional 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. 275-287
- ISSN:
- 0304-4076
- 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

- Author:
- Boudt, Kris; Laurent, Sébastien; Lunde, Asger; Quaedvlieg, Rogier; Sauri, Orimar
- Source:
- Journal of econometrics 2017 v.196 no.2 pp. 347-367
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; dynamic models; econometric models; economic analysis; economic theory; risk; variance covariance matrix
- Abstract:
- ... An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It uses the Cholesky factorization of the covariance matrix in order to exploit the heterogeneity in trading intensities to estimate the different parameters sequentially with as many observations as possible. The estimator is positive semidefinite by construction. We derive asymptotic ...
- DOI:
- 10.1016/j.jeconom.2016.09.016
- http://dx.doi.org/10.1016/j.jeconom.2016.09.016