-
作者：Newey, WK; Hsieh, F; Robins, JM
作者单位：Massachusetts Institute of Technology (MIT); University of California System; University of California Davis; Harvard University; Harvard T.H. Chan School of Public Health
摘要：The purpose of this note is to show how semiparametric estimators with a small bias property can be constructed. The small bias property (SBP) of a semiparametric estimator is that its bias converges to zero faster than the pointwise and integrated bias of the nonparametric estimator on which it is based. We show that semiparametric estimators based on twicing kernels have the SBP. We also show that semiparametric estimators where nonparametric kernel estimation does not affect the asymptotic ...
-
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...
-
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.
-
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...
