Results 31 to 40 of about 628 (47)

The Econometrics of Financial Duration Modeling

open access: yes, 2022
We discuss estimation and inference in financial durations models. For the classical autoregressive conditional duration (ACD) models by Engle and Russell (1998, Econometrica 66, 1127-1162), we show the surprising result that the large sample behavior of
Cavaliere, Giuseppe   +3 more
core  

A Misuse of Specification Tests

open access: yes, 2022
Empirical researchers often perform model specification tests, such as the Hausman test and the overidentifying restrictions test, to confirm the validity of estimators rather than the validity of models.
Sueishi, Naoya
core  

Stochastic volatility models with skewness selection

open access: yes, 2023
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to ...
Lopes, Hedibert Freitas   +1 more
core  

Smoothing the Nonsmoothness

open access: yes, 2023
To tackle difficulties for theoretical studies in situations involving nonsmooth functions, we propose a sequence of infinitely differentiable functions to approximate the nonsmooth function under consideration. A rate of approximation is established and
Dong, Chaohua   +3 more
core  

Difference-in-Differences with Interference: A Finite Population Perspective

open access: yes, 2023
In many scenarios, such as the evaluation of place-based policies, potential outcomes are not only dependent upon the unit's own treatment but also its neighbors' treatment. Despite this, "difference-in-differences" (DID) type estimators typically ignore
Xu, Ruonan
core  

Weak Instruments, First-Stage Heteroskedasticity, the Robust F-Test and a GMM Estimator with the Weight Matrix Based on First-Stage Residuals

open access: yes, 2022
This paper is concerned with the findings related to the robust first-stage F-statistic in the Monte Carlo analysis of Andrews (2018), who found in a heteroskedastic grouped-data design that even for very large values of the robust F-statistic, the ...
Windmeijer, Frank
core  

Machine Learning for Staggered Difference-in-Differences and Dynamic Treatment Effect Heterogeneity

open access: yes, 2023
We combine two recently proposed nonparametric difference-in-differences methods, extending them to enable the examination of treatment effect heterogeneity in the staggered adoption setting using machine learning.
Hatamyar, Julia   +3 more
core  

Covariate Balancing and the Equivalence of Weighting and Doubly Robust Estimators of Average Treatment Effects

open access: yes, 2023
We show that when the propensity score is estimated using a suitable covariate balancing procedure, the commonly used inverse probability weighting (IPW) estimator, augmented inverse probability weighting (AIPW) with linear conditional mean, and inverse ...
Słoczyński, Tymon   +2 more
core  

Uniform Convergence for Local Linear Regression Estimation of the Conditional Distribution

open access: yes, 2021
This paper studies the local linear regression (LLR) estimation of the conditional distribution function $F(y|x)$. We derive three uniform convergence results: the uniform bias expansion, the uniform convergence rate, and the uniform asymptotic linear ...
Xie, Haitian
core  

Extrapolating Away from the Cutoff in Regression Discontinuity Designs

open access: yes, 2023
Canonical RD designs yield credible local estimates of the treatment effect at the cutoff under mild continuity assumptions, but they fail to identify treatment effects away from the cutoff without additional assumptions.
Sun, Yiwei
core  

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