Download or read book Three Essays on Econometrics of Latent Variables written by Joann Jasiak and published by . This book was released on 1995 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Econometrics of Latent Variables written by and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Econometrics of Latent Variables written by Dante Amengual and published by . This book was released on 2009 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Health Econometrics written by Juan Du and published by . This book was released on 2008 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Econometric Analysis of High Frequency Financial Data written by Roel C. A. Oomen and published by . This book was released on 2003 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Vinh Nguyen and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "I develop tools to address three problems frequently encountered by practitioners: (1) missing variables in linear models, (2) endogeneity in simultaneous equation models, and (3) the computational cost of the bootstrap.In Chapter 1, a joint work with Jean-Marie Dufour, we consider linear regressions with missing variables. This is a ubiquitous problem and a common way to frame the endogeneity problem. Here, we do not assume the availability of any instrument, which in fact may be tricky to obtain in practice. We demonstrate that conservative inferences are possible for the realized total effect of the included variables and provide a new interpretation for this realized total effect.Our framework makes innovative use of the properties of Chi-squared distributions, including the noncentral Chi-squared distribution with zero degree of freedom, an object not typically encountered in the econometric literature. We also take the perspective that a regression with missing variables is a result of a full model with some variables observed but nonetheless intentionally omitted. In Chapter 2, I study endogeneity parameters in simultaneous equation models: the covariances and correlations between the endogenous variables and the structural error term. These parameters are of interest because they can inform us about unobserved latent variables, the bias and interpretation of least-squares estimation, and the selection between instrumental variable (IV) and least-squares as the estimation tool. For both the covariances and the correlations, I develop new inference approaches that are robust to both weak instruments as well as missing or unobserved instruments. This adds to the previous literature on endogeneity parameters that typically offers one of these robustness features, but not both.Three of the four inference methods I develop are two-stage procedures that are straightforward to implement for real data. I construct these procedures using Anderson-Rubin [Ann. Math. Stats., 1949] and Dufour [Econometrica, 1990]. The fourth inference method involves considering a Hausmantype analysis of the difference between the IV and least-squares estimators, and thus is a contribution to the now considerable exogeneity test literature. I prove many results by making efficient use of a probability result from Isserlis [Biometrika, 1918] that is not typically encountered in the econometric literature.In Chapter 3, I seek to reduce the computation time of the bootstrap by reviving the old idea of approximating a bootstrap loop with the saddlepoint approximation. Even with modern computers, this is still immensely useful in contexts where the bootstrap must be repeated tens or hundreds of thousands of times or must be iterated or applied to large data sets. My approach involves finding new and very effective uses of the technical results of Lieberman [Econom. Theory, 1997] whose study of ratios of quadratic forms in nonnormal variables has the potential for wide bootstrap applications, but such applications appear to have received little attention.The proposed methodology works in a variety of settings: single-equation and multiple-equation models, inside and outside the null hypothesis, different test statistics and bootstrap schemes, a range of parameter and bootstrap specifications, and iterated and non-iterated bootstrapping. I demonstrate the methodology with variants of the wild bootstrap, but applicability of the approach extends beyond the latter to: (1) tests of regression parameters where the bootstrap is the parametric bootstrap, the resampling bootstrap, the sieve bootstrap, or the block bootstrap, (2) tests of autocorrelation and heteroskedasticity, and (3) tests for panel data and simultaneous equation models"--

Download or read book Essays in Latent Variable and Event Study Econometrics written by Ashwin Gopal Alankar and published by . This book was released on 2003 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Rui Fan and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Econometrics written by Zhiwei Ma and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Tao Chen and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Christoph Roling and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Jinyong Hahn and published by . This book was released on 1993 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Financial Econometrics written by Gang Xu and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis documents the research and findings in the following three related areas of financial econometrics: The first essay examines whether volatility contains information to predict the likelihood of a price jump during the next trading day. It is motivated by the theoretical model of Bansal & Shaliastovich (2008) who develop a long-run learning model, arguing that market volatility should be able to predict the likelihood of jumps. I use S&P 500 futures prices and extensions of the GARCH jump model of Maheu & McCurdy (2004) to relate jump probabilities to conditional volatility. Since volatility is a latent variable, which can be measured using different variables, I consider predictions based upon squared daily return, at-the-money implied volatility, model-free im- plied volatility and high-frequency realized volatility. I find evidence that volatility can predict jump likelihood and the best predictive variable is the model-free implied volatility: which is constructed using cross-section of option prices. Therefore, this thesis contributes to the current literature by documenting the information efficiency of option prices when predicting the future likelihood of jumps. In addition. I also develop a new approach based on Poisson regression which compares the jump intensity obtained from the GARCH jump model with the intraday jump numbers counted using the method of Andersen et al. (2007b). I find the two measures of jumps match fairly well with each other in the period from 1990 to 1997. However, any such relationship seems to disappear in the later period from 1998 to 2004. The second essay is motivated by the affine jump-diffusion model of Duffie et al. (2000), which allows jump intensity to be an affine function of state variables. I examine whether volatility can predict the intensity of price jumps in stochastic volatility jump models, estimated using Markov Chain Monte Carlo simulation. Comparing implied volatility with high-frequency realized volatility, I find allowing the jump intensity to be an affine function of model-free implied volatility yields the best model, based on either the Deviance Information Criterion or on diagnostic tests. Further comparison are made for candidate AR(l) process which specify the stochastic volatility. I find a jump model with the log variance an AR( 1) process performs better than a jump model with Ornstein-Uhlenbeck stochastic volatility. In a Monte Carlo simulation, I find the Deviance Information Criterion is a reliable criterion to differentiate between competing equity price dynamics when there are price jumps and volatility is stochastic. In addition to examining univariate equity return models, in the third essay I also develop a bivariate equity return model which simultaneously captures time-varying correlation and volatility spillovers in the international equity markets. This model is calibrated using the weekly equity index returns from the US. UK, Germany, India and Brazil stock markets and it is compared with simplier model specifications. I find evidence that supports time varying correlation between equity markets in both developed and developing economics. How- ever, the volatility spillovers mainly exist from US equity returns to equity returns in other economies. This thesis concludes with a short discussion of its limitations and future research directions.

Download or read book Three Essays on Econometrics written by Jiahui Wang and published by . This book was released on 1997 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Health Econometrics written by Bidisha Mandal and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation incorporates several estimation procedures and modeling techniques to investigate important issues in health economics. All of the essays are tied to the application of econometrics in health related topics, but the techniques used in this research can be applied to many issues in agricultural, environmental and development economics.

Download or read book Three Essays in Econometric Methods written by Juan Andres Riquelme Won and published by . This book was released on 2015 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Econometrics written by In Choi and published by . This book was released on 1990 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: