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

http://dx.doi.org/10.1016/j.jeconom.2017.01.010
 Author:
 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:
 Kim, Min Seong; Sun, Yixiao; Yang, Jingjing
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 298322
 ISSN:
 03044076
 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 fixedbandwidth asymptotic variance and the preasymptotic 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:
 Halunga, Andreea G.; Orme, Chris D.; Yamagata, Takashi
 Source:
 Journal of econometrics 2017 v.198 no.2 pp. 209230
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; experimental design; growth models; heteroskedasticity; mathematical theory; prediction; time series analysis
 Abstract:
 ... This paper proposes a heteroskedasticityrobust Breusch–Pagan test of the null hypothesis of zero crosssection (or contemporaneous) correlation in linear panel data models, without necessarily assuming independence of the crosssections. The procedure allows for either fixed, strictly exogenous and/or lagged dependent regressor variables, as well as quite general forms of both nonnormality and h ...
 DOI:
 10.1016/j.jeconom.2016.12.005

http://dx.doi.org/10.1016/j.jeconom.2016.12.005
 Author:
 Hounyo, Ulrich; Varneskov, Rasmus T.
 Source:
 Journal of econometrics 2017 v.198 no.1 pp. 1028
 ISSN:
 03044076
 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 purejump 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 jumpdiffusion or ...
 DOI:
 10.1016/j.jeconom.2017.01.002

http://dx.doi.org/10.1016/j.jeconom.2017.01.002
 Author:
 Lieberman, Offer; Phillips, Peter C.B.
 Source:
 Journal of econometrics 2017 v.196 no.1 pp. 99110
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; equations; mathematical theory; options trading; prices; risk
 Abstract:
 ... This paper extends recent findings of Lieberman and Phillips (2014) on stochastic unit root (STUR) models to a multivariate case including asymptotic theory for estimation of the model’s parameters. The extensions are useful for applications of STUR modeling and because they lead to a generalization of the Black–Scholes formula for derivative pricing. In place of the standard assumption that the p ...
 DOI:
 10.1016/j.jeconom.2016.05.019

http://dx.doi.org/10.1016/j.jeconom.2016.05.019
 Author:
 Chang, Yoosoon; Choi, Yongok; Park, Joon Y.
 Source:
 Journal of econometrics 2017 v.196 no.1 pp. 127143
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; time series analysis
 Abstract:
 ... This paper introduces a new approach to model regime switching using an autoregressive latent factor, which determines regimes depending upon whether it takes a value above or below some threshold level. In our approach, the latent factor is allowed to be correlated with the innovation to the observed time series. If the latent factor becomes exogenous, our approach reduces to the conventional Mar ...
 DOI:
 10.1016/j.jeconom.2016.09.005

http://dx.doi.org/10.1016/j.jeconom.2016.09.005
 Author:
 Chen, Tao; Tripathi, Gautam
 Source:
 Journal of econometrics 2017 v.198 no.1 pp. 2940
 ISSN:
 03044076
 Subject:
 data collection; econometric models; economic analysis; economic theory; least squares
 Abstract:
 ... We propose a “weighted and samplesize adjusted” Kolmogorov–Smirnov type statistic to test the assumption of conditional symmetry maintained in the symmetrically trimmed leastsquares (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:
 Hwang, Jungbin; Sun, Yixiao
 Source:
 Journal of econometrics 2017 v.198 no.2 pp. 277295
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; ttest; variance
 Abstract:
 ... This paper considers twostep 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 easytoimplement modification to the trinity of test statistics in the twostep 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:
 Kim, Jihyun; Park, Joon Y.
 Source:
 Journal of econometrics 2017 v.196 no.1 pp. 3754
 ISSN:
 03044076
 Subject:
 econometric models; economic analysis; economic theory; finance; mathematical theory
 Abstract:
 ... We provide the asymptotic theory for functionals of recurrent diffusions. Our asymptotics are completely general and applicable for all cases, including positive and null recurrent diffusions, and diffusions with and without the integrability conditions. They are established directly from the representation of diffusion as timechanged Brownian motion. Our approach provides a unified framework, an ...
 DOI:
 10.1016/j.jeconom.2015.12.019

http://dx.doi.org/10.1016/j.jeconom.2015.12.019
 Author:
 AlSadoon, Majid M.
 Source:
 Journal of econometrics 2017 v.199 no.1 pp. 4962
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometrics; linear models; mathematical theory; prioritization
 Abstract:
 ... The general principles underlying tests of matrix rank are investigated. It is demonstrated that statistics for such tests can be seen as implicit functions of null space estimators. In turn, the asymptotic behaviour of the null space estimators is shown to determine the asymptotic behaviour of the statistics through a plugin principle. The theory simplifies the asymptotics under a variety of alt ...
 DOI:
 10.1016/j.jeconom.2017.03.002

https://dx.doi.org/10.1016/j.jeconom.2017.03.002
 Author:
 Feng, Guohua; Gao, Jiti; Peng, Bin; Zhang, Xiaohui
 Source:
 Journal of econometrics 2017 v.196 no.1 pp. 6882
 ISSN:
 03044076
 Subject:
 Monte Carlo method; banking; econometric models; economic analysis; economic theory; United States
 Abstract:
 ... In this paper, we propose a semiparametric varyingcoefficient categorical panel data model in which covariates (variables affecting the coefficients) are purely categorical. This model has two features: first, fixed effects are included to allow for correlation between individual unobserved heterogeneity and the regressors; second, it allows for crosssectional dependence through a general spatia ...
 DOI:
 10.1016/j.jeconom.2016.09.011

http://dx.doi.org/10.1016/j.jeconom.2016.09.011
 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:
 Ho, Chisan; Damien, Paul; Walker, Stephen
 Source:
 Journal of econometrics 2017 v.197 no.2 pp. 273283
 ISSN:
 03044076
 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:
 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:
 Kalli, Maria; Griffin, Jim E.
 Source:
 Journal of econometrics 2017
 ISSN:
 03044076
 Subject:
 Bayesian theory; econometric models; economic analysis; economic theory; heteroskedasticity; macroeconomics; time series analysis; variance; United Kingdom; United States
 Abstract:
 ... Vector autoregressive (VAR) models are the main workhorse models for macroeconomic forecasting, and provide a framework for the analysis of complex dynamics that are present between macroeconomic variables. Whether a classical or a Bayesian approach is adopted, most VAR models are linear with Gaussian innovations. This can limit the model’s ability to explain the relationships in macroeconomic se ...
 DOI:
 10.1016/j.jeconom.2017.11.009

http://dx.doi.org/10.1016/j.jeconom.2017.11.009
 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:
 Hounyo, Ulrich
 Source:
 Journal of econometrics 2017 v.197 no.1 pp. 130152
 ISSN:
 03044076
 Subject:
 Monte Carlo method; econometric models; economic analysis; economic theory; regression analysis; variance; variance covariance matrix
 Abstract:
 ... We propose a bootstrap method for estimating the distribution (and functionals of it such as the variance) of various integrated covariance matrix estimators. In particular, we first adapt the wild blocks of blocks bootstrap method suggested for the preaveraged realized volatility estimator to a general class of estimators of integrated covolatility. We then show the firstorder asymptotic validi ...
 DOI:
 10.1016/j.jeconom.2016.11.002

http://dx.doi.org/10.1016/j.jeconom.2016.11.002
 Author:
 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:
 Caporin, Massimiliano; Rossi, Eduardo; Santucci de Magistris, Paolo
 Source:
 Journal of econometrics 2017 v.198 no.1 pp. 122145
 ISSN:
 03044076
 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 (MEMJ) to describe and predict the probability and the size of these extreme events. Under the MEMJ, 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