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作者：Back, K; Baruch, S
作者单位：Washington University (WUSTL); Utah System of Higher Education; University of Utah
摘要：This paper analyzes models of securities markets with a single strategic informed trader and competitive market makers. In one version, uninformed trades arrive as a Brownian motion and market makers see only the order imbalance, as in Kyle (1985). In the other version, uninformed trades arrive as a Poisson process and market makers see individual trades. This is similar to the Glosten-Milgrom (1985) model, except that we allow the informed trader to optimize his times of trading. We show ther...
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作者：Jensen, ST; Rahbek, A
作者单位：University of Copenhagen
摘要：We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.
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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：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：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.
