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1. Bayesian moment-based inference in a regression model with misclassification error

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

2. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading

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

3. Inference and testing breaks in large dynamic panels with strong cross sectional dependence

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

4. Learning can generate long memory

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

5. New goodness-of-fit diagnostics for conditional discrete response models

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

6. Simulated minimum distance estimation of dynamic models with errors-in-variables

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