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作者：Barndorff-Nielsen, OE; Shephard, N
作者单位：Aarhus University; University of Oxford
摘要：This paper analyses multivariate high frequency financial data using realized covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis, and covariance. It will be based on a fixed interval of time (e.g., a day or week), allowing the number of high frequency returns during this period to go to infinity. Our analysis allows us to study how high frequency correlations, regressions, and covariances change through time. In particular...
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作者：Moon, HR; Phillips, PCB
作者单位：University of Southern California; Yale University; University of Auckland; University of York - UK
摘要：This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the moment condition un...
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作者：Palacios-Huerta, I; Volij, O
作者单位：Brown University; Iowa State University
摘要：This paper examines the problem of measuring intellectual influence based on data on citations between scholarly publications. We follow an axiomatic approach and find that the properties of invariance to reference intensity, weak homogeneity, weak consistency, and invariance to splitting of journals characterize a unique ranking method. This method is different from those regularly used in economics and other social sciences.
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作者：Domínguez, MA; Lobato, IN
作者单位：Instituto Tecnologico Autonomo de Mexico
摘要：In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM estimation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the GMM estimators relies on additional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models...
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作者：Fiorentini, G; Sentana, E; Shephard, N
作者单位：University of Florence; University of Oxford
摘要：GARCH models are commonly used as latent processes in econometrics, financial economics, and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation of a classical estimator via the simulated EM algorithm or a Bayesian solution in O(T) computational operations, where T denotes the sample size. We assess the performance of our proposed algorithm in...
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作者：Cosslett, SR
作者单位：University System of Ohio; Ohio State University
摘要：An asymptotically efficient likelihood-based semiparametric estimator is derived for the censored regression (tobit) model, based on a new approach for estimating the density function of the residuals in a partially observed regression. Smoothing the self-consistency equation for the nonparametric maximum likelihood estimator of the distribution of the residuals yields an integral equation, which in some cases can be solved explicitly. The resulting estimated density is smooth enough to be use...
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作者：Brown, M; Falk, A; Fehr, E
作者单位：University of Zurich; IZA Institute Labor Economics
摘要：We provide evidence that long-term relationships between trading parties emerge endogenously in the absence of third party enforcement of contracts and are associated with a fundamental change in the nature of market interactions. Without third party enforcement, the vast majority of trades are initiated with private offers and the parties share the gains from trade equally. Low effort or bad quality is penalized by the termination of the relationship, wielding a powerful effect on contract en...
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作者：Andrews, DWK; Sun, YX
作者单位：Yale University; University of California System; University of California San Diego
摘要：The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to circumvent these problems. Instead of approximating the short-run component of the spectrum, phi(lambda), by a. constant in a shrinking neighborhood of frequency zero, we approximate its logarithm by a polynom...
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作者：Hong, YM; Kao, CW
作者单位：Cornell University; Cornell University; Tsinghua University; Syracuse University; Syracuse University
摘要：Wavelet analysis is a new mathematical method developed as a unified field of science over the last decade or so. As a spatially adaptive analytic tool, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can arise from persistent dependence, seasonality, and other kinds of periodicity. This paper proposes a new class of generally applicable wavelet-based tests for serial correlation of unknown form in the estimated residuals of a panel regression mod...
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作者：Cripps, MW; Mailath, GJ; Samuelson, L
作者单位：Washington University (WUSTL); University of Pennsylvania; University of Wisconsin System; University of Wisconsin Madison
摘要：We study the long-run sustainability of reputations in games with imperfect public monitoring. It is impossible to maintain a permanent reputation for playing a strategy that does not play an equilibrium of the game without uncertainty about types. Thus, a player cannot indefinitely sustain a reputation for noncredible behavior in the presence of imperfect monitoring.
