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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
 Author:
 Horowitz, Joel L.; Lee, Sokbae
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 108126
 ISSN:
 03044076
 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, nonincreasing (nondecreasing) returns to scale, or the Slutsky inequality of consumer theory; but economic theory does not provide finitedimensional 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. 127143
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; market microstructure; prices
 Abstract:
 ... Observed highfrequency 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, KeLi
 Source:
 Journal of econometrics 2017 v.201 no.1 pp. 118
 ISSN:
 03044076
 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 welldeveloped 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. 144169
 ISSN:
 03044076
 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 nonidentification 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. 282294
 ISSN:
 03044076
 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. 169180
 ISSN:
 03044076
 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
 Author:
 Battistin, Erich; De Nadai, Michele; Vuri, Daniela
 Source:
 Journal of econometrics 2017 v.200 no.2 pp. 344362
 ISSN:
 03044076
 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:
 BenMoshe, Dan; D’Haultfœuille, Xavier; Lewbel, Arthur
 Source:
 Journal of econometrics 2017 v.200 no.2 pp. 207222
 ISSN:
 03044076
 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
 Author:
 An, Yonghong
 Source:
 Journal of econometrics 2017 v.200 no.2 pp. 326343
 ISSN:
 03044076
 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 firstprice auctions: (1) bidders’ beliefs about their opponents’ bidding behavior are not in equilibrium but follow “levelk” 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. 238250
 ISSN:
 03044076
 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. 251259
 ISSN:
 03044076
 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. 295311
 ISSN:
 03044076
 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. 363377
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; household surveys; neonatal mortality; statistical analysis
 Abstract:
 ... In 2005, the Indian Government launched a conditional cashincentive program to encourage institutional delivery. This paper studies the effects of the program on neonatal mortality using districtlevel 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. 260281
 ISSN:
 03044076
 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 nondifferential 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. 312325
 ISSN:
 03044076
 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. 181193
 ISSN:
 03044076
 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. 194206
 ISSN:
 03044076
 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 rootn 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. 154168
 ISSN:
 03044076
 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, HansMartin
 Source:
 Journal of econometrics 2017 v.200 no.2 pp. 378389
 ISSN:
 03044076
 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 individuallevel 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. 223237
 ISSN:
 03044076
 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. 3647
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; regression analysis
 Abstract:
 ... We derive the asymptotic efficiency bound for regular estimates of the slope coefficient in a linear continuoustime regression model for the continuous martingale parts of two Itô semimartingales observed on a fixed time interval with asymptotically shrinking mesh of the observation grid. We further construct an estimator from highfrequency data that achieves this efficiency bound and, indeed, i ...
 DOI:
 10.1016/j.jeconom.2017.01.010

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

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

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

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

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

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

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

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

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

http://dx.doi.org/10.1016/j.jeconom.2017.05.009