Showing papers in "Journal of Econometrics in 2007"

TL;DR: In this paper, a coherent data-generating process (DGP) is described for nonparametric estimates of productive efficiency on environmental variables in two-stage procedures to account for exogenous factors that might affect firms’ performance.

TL;DR: In this article, the authors compare a parsimonious null model to a larger model that nests the null model and observe that the mean squared prediction error (MSPE) from the parser is therefore expected to be smaller than that of the larger model.

TL;DR: In this paper, a generalized moments estimator for the autoregressive parameter in a spatial model is proposed, and a feasible generalized least squares procedure for the regression parameters is defined.

TL;DR: In this article, the authors present analytical, Monte Carlo and empirical evidence concerning out-of-sample tests of Granger causality for the Chicago Fed National Activity Index for growth in Industrial Production and core PCE-based inflation.

TL;DR: In this paper, the authors use trade costs (distances) as spatial weights of foreign direct investment (FDI) and find that third-country effects are significant, lending support to the existence of various modes of complex FDI.

TL;DR: In this article, the identification and estimation of structural interaction effects in a social interaction model is considered. But the model allows unobservables in the group structure, which may be correlated with included regressors.

TL;DR: In this paper, Kim et al. proposed a method to estimate the joint distribution of the outcome and volatility innovations by a suitably constructed ten-component mixture of bivariate normal distributions.

TL;DR: A new set of cross-validation methods for selection of a single estimation window and weighting or pooling methods for combination of forecasts based on estimation windows of different lengths are proposed.

TL;DR: In this article, a nonparametric heteroscedasticity and autocorrelation consistent (HAC) estimator of the variance-covariance (VC) matrix for a vector of sample moments within a spatial context is proposed.

TL;DR: In this paper, the GMM method and the classical 2SLS method are considered for the estimation of mixed regressive, spatial autoregressive models, and the proposed GMM estimators are shown to be consistent and asymptotically normal.

TL;DR: Ullah et al. as mentioned in this paper considered a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time.

TL;DR: In this paper, a local linear approach is developed to estimate the time trend and coefficient functions, and the asymptotic properties of the proposed estimators, coupled with their comparisons with other methods, are established under the α-mixing conditions and without specifying the error distribution.

TL;DR: In this article, the authors proposed a bias-correction procedure to account for the effects of microstructure frictions based upon scaling the realized range with the average level of the daily range.

TL;DR: In this paper, the authors consider the asymptotic properties of a commonly advocated covariance matrix estimator for panel data and provide conditions under which t and F statistics based on the estimator provide valid inference.

TL;DR: In this article, a continuous time econometric modelling framework for multivariate flnancial market event data is developed in which the model is specifled via the vector stochastic intensity, which has the advantage that the conditioning ae-fleld is updated continuously in time as new information arrives.

TL;DR: The empirical findings support the jump-diffusive representation for S&P500 futures returns but reveal it is critical to account for leverage effects and jumps to maintain the underlying semi-martingale assumption.

TL;DR: In this article, an asymptotic theory is given for autoregressive time series with a root of the form ρ n = 1 + c / k n, which represents moderate deviations from unity when ( k n ) n ∈ N is a deterministic sequence increasing to infinity at a rate slower than n, so that k n = o ( n ) as n → ∞.

TL;DR: In this article, generalized least squares (GLS) estimation in fixed effects panel and multilevel models with autocorrelation is considered, where the disturbances follow an AR(p) process.

TL;DR: In this paper, the authors describe a simple, generic and highly accurate efficient importance sampling (EIS) Monte Carlo (MC) procedure for the evaluation of high-dimensional numerical integrals.

TL;DR: In this article, a pair-wise approach to test for output convergence is proposed, which considers all possible pairs of log per-capita output gap pairs across N economies and shows that the results do not support output convergence, and suggest that the findings of convergence clubs might be spurious.

TL;DR: This paper provides a set of results on the econometric identifiability of binary choice models with social interactions that suggest that at least partial identification may be achieved under assumptions that in certain contexts may be plausible.

TL;DR: In this article, a nonparametric estimator for the estimation of local average treatment effects with covariates is suggested that is root-n asymptotically normal and efficient, which is similar to our estimator.

TL;DR: In this paper, a nonparametric efficiency analysis based on robust estimation of partial frontiers in a complete multivariate setup (multiple inputs and multiple outputs) is proposed, achieving strong consistency and asymptotic normality.

TL;DR: In this article, explicit asymptotic bias formulae are given for dynamic panel regression estimators as the cross section sample size N → ∞, and the results extend earlier work by Nickell [1981] and later authors.

TL;DR: In this paper, the authors provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with the realized range-based variance, a statistic that replaces every squared return of the realized variance with a normalized squared range.

TL;DR: In this paper, a nonparametric stochastic frontier (SF) model is proposed based on local maximum likelihood (LML) for estimating the efficiency of a production process.

TL;DR: In this article, the authors consider nonparametric identification and estimation of a model that is monotonic in a nonseparable scalar disturbance, which disturbance is independent of instruments.

TL;DR: In this paper, the implicit assumptions of the dynamic treatment model using the structural model as a benchmark are examined, and the gains from using cross-equation restrictions connecting choices to associated measurements and outcomes are shown.

TL;DR: In this article, an econometric analysis of the symmetric and asymmetric volatility of the patent share is presented, which is based on the number of registered patents for the top 12 foreign patenting countries in the USA.

TL;DR: This paper introduces path diagrams for multivariate time series which visualize the dynamic relationships among the variables and shows that these path diagrams provide a framework for the analysis of the dependence structure of the time series.