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作者：Da, Rui; Xiu, Dacheng
作者单位：University of Chicago
摘要：We conduct inference on volatility with noisy high-frequency data. We assume the observed transaction price follows a continuous-time Ito-semimartingale, contaminated by a discrete-time moving-average noise process associated with the arrival of trades. We estimate volatility, defined as the quadratic variation of the semimartingale, by maximizing the likelihood of a misspecified moving-average model, with its order selected based on an information criterion. Our inference is uniformly valid o...
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作者：Garcia-Santana, Manuel; Pijoan-Mas, Josep; Villacorta, Lucciano
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Centre for Economic Policy Research - UK
摘要：We study the joint evolution of the sectoral composition and the investment rate of developing economies. Using panel data for several countries in different stages of development, we document three novel facts: (a) the share of industry and the investment rate are strongly correlated and follow a hump-shaped profile with development, (b) investment goods contain more domestic value added from industry and less from services than consumption goods do, and (c) the evolution of the sectoral comp...
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作者：Greinecker, Michael; Kah, Christopher
作者单位：University of Graz; Daimler AG
摘要：We formulate a stability notion for two-sided pairwise matching problems with individually insignificant agents in distributional form. Matchings are formulated as joint distributions over the characteristics of the populations to be matched. Spaces of characteristics can be high-dimensional and need not be compact. Stable matchings exist with and without transfers, and stable matchings correspond precisely to limits of stable matchings for finite-agent models. We can embed existing continuum ...
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作者：Bohren, J. Aislinn; Hauser, Daniel N.
作者单位：University of Pennsylvania; Aalto University
摘要：This paper develops a general framework to study how misinterpreting information impacts learning. Our main result is a simple criterion to characterize long-run beliefs based on the underlying form of misspecification. We present this characterization in the context of social learning, then highlight how it applies to other learning environments, including individual learning. A key contribution is that our characterization applies to settings with model heterogeneity and provides conditions ...
