Results 31 to 40 of about 628 (47)
The Econometrics of Financial Duration Modeling
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
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
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
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
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
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
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
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
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
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

