搜索结果: 1-15 共查到“微观经济学 Models”相关记录21条 . 查询时间(0.187 秒)
Models for the impact of all order book events
price impact market orders limit orders cancellations market microstructure order flow
2011/7/19
We propose a general framework to describe the impact of different events in the order book,
that generalizes previous work on the impact of market orders. Two different modeling routes can be consid...
On Prediction Errors in Regression Models with Nonstationary Regressors
accumulated prediction errors final prediction error least squares estimators random walk models.
2011/4/2
In this article asymptotic expressions for the final prediction error (FPE) and the accumulated prediction error (APE) of the least squares predictor are obtained in regression models with nonstationa...
An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...
Dynamic economic theories generalized spectral derivative model misspecifications
2011/4/2
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Weak Instrumental Variables Models for Longitudinal Data
Longitudinal Data Nearly Weak Instruments Panel Data Weak Instruments Within-group TSLS Estimator
2011/4/1
This paper considers the estimation and testing of a within-group two-stage least squares (TSLS) estimator for instruments with varying degrees of weakness in a longitudinal (panel) Data model. We sho...
Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
Efficiency nonlinear time series partially linear partially varying coefficients quantile regression semiparametric
2011/4/1
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both pa...
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
On the criticality of inferred models
inference techniques high dimensional data sets the model's susceptibility
2011/3/23
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inferen...
Detecting for Smooth Structural Changes in GARCH Models
GARCH Local smoothing Parameter constancy QMLE Smooth structural change
2011/4/2
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Weak Instrumental Variables Models for Longitudinal Data
Weak Instrumental Variables asymp-totic consistency limiting distribution
2011/4/2
In this paper, we study a weak instrumental variables model for longitudinal data. A two stage least-squares estimator (the instrumental variables estimator) is presented. We show that the asymp-totic...
Functional-coefficient models for nonstationary time series data
Nonstationary Nonlinearity Semiparametric estimation
2011/4/2
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri
Conditional characteristic function Goodness-of-fit Multifactor continuous-time Markov model Nonparametric regression
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...