Showing papers in "Journal of Econometrics in 2010"

TL;DR: This paper established asymptotic properties of quasi-maximum likelihood estimators for SAR panel data models with fixed effects and SAR disturbances and proposed an alternative estimation method based on transformation which yields consistent estimators with properly centered distributions.

TL;DR: In this paper, a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations is developed.

TL;DR: In this article, the authors studied the efficient estimation of a large class of multi-valued treatment effects as implicitly defined by a collection of possibly over-identified non-smooth moment conditions when the treatment assignment is assumed to be ignorable.

TL;DR: In this paper, the authors examined the extent to which real house prices at the State level are driven by fundamentals such as real per capita disposable income, as well as by common shocks, and determined the speed of adjustment of real house price to macroeconomic and local disturbances.

TL;DR: In this article, the authors consider the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility and introduce the concept of threshold bipower variation, which is based on the joint use of bipower and threshold estimation.

TL;DR: In this article, the authors consider estimation of panel data models with sample selection when the equation of interest contains endogenous explanatory variables as well as unobserved heterogeneity and propose several tests for selection bias and two estimation procedures that correct for selection in the presence of endogenous regressors.

TL;DR: In this paper, the authors compared the performance of various model averaging techniques and proposed a new method called weighted-average least squares (WALS), which is based on a transparent definition of prior ignorance.

TL;DR: In this article, a review of methods for the estimation of dynamic discrete choice structural models and related econometric issues is presented, including single-agent models, competitive equilibrium models and dynamic games.

TL;DR: In this article, the authors conduct a Monte Carlo simulation to evaluate the consequences of omitting or misspecifying the unobserved heterogeneity distribution in single-spell discrete-duration models.

TL;DR: In this article, a class of penalized quantile regression estimators for panel data is investigated and it is shown that the class of estimators is asymptotically unbiased and Gaussian.

TL;DR: In this paper, the asymptotic properties of the NLS estimators of such regression models were derived and compared with the traditional model that involves aggregating or equally weighting data to estimate a model at the same sampling frequency.

TL;DR: An alternative proof is provided which shows that the result on the optimality of the Mallows criterion in fact holds for continuous model weights and under a non-nested set-up that allows any linear combination of regressors in the approximating models that make up the model average estimator.

TL;DR: In this article, a class of panel stochastic frontier models is proposed to distinguish between unobserved individual heterogeneity and inefficiency, and it is shown that first-difference and within-transformation can be analytically performed on this model to remove the fixed individual effects.

TL;DR: In this paper, the authors derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification and derive the canonical representation of the three-factor arbitrage free affine model.

TL;DR: The authors argue that the main difference between structural and experimental approaches is not in the number of assumptions but the extent to which they are made explicit, and that the experimentalist approach provides an alternative that relies on fewer assumptions.

TL;DR: This article established the consistency of the estimated common break point in panel data and proposed a new framework for developing the limiting distribution for the estimated break point, and showed how to construct confidence intervals.

TL;DR: In the presence of heteroskedastic disturbances, the MLE for the SAR models without taking into account the heteroSkedasticity is generally inconsistent as discussed by the authors, and 2SLS estimates can have large variances and biases for cases where regressors do not have strong effects.

TL;DR: A new model space MCMC method is developed based on extending the Bayesian variable selection approach which is usually applied to variable selection in regression models to state space models to focus on structural time series models including seasonal components, trend or intervention.

TL;DR: This paper used general equilibrium models that include policy rules for government spending, lump-sum transfers, and distortionary taxation on labor and capital income and on consumption expenditures under rich specifications of fiscal policy rules to obtain several results.

TL;DR: This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches and discusses Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions.

TL;DR: A canonical large deviations criterion for optimality is considered and it is shown that inference based on the empirical likelihood ratio statistic is optimal and a new empirical likelihood bootstrap is introduced that provides a valid resampling method for moment inequality models and overcomes the implementation challenges that arise as a result of non-pivotal limit distributions.

TL;DR: In this paper, the authors investigated the properties of the well-known maximum likelihood estimator in the presence of stochastic volatility and market microstructure noise, by extending the classic asymptotic results of quasi-maximum likelihood estimation.

TL;DR: In this article, the authors evaluate the effects of maternal vs. alternative care providers' time inputs on children's cognitive development using the sample of single mothers in the National Longitudinal Survey of Youth.

TL;DR: This article proposed an alternative measure that is based on levels of macro variables as opposed to shocks, which accounts for the correlation between the macro and latent factors via projection of the latter onto the former.

TL;DR: In this article, a general, computationally inexpensive method of bias reduction that is based on indirect inference, shows unbiasedness and analyzes efficiency is proposed, which is compared with certain consistent estimators and is shown to have superior finite sample properties to the generalized method of moment (GMM) and the biascorrected ML estimator.

TL;DR: In this paper, the authors study the problem of estimating the normal-form payoff parameters of a simultaneous, discrete game where the realization of such payoffs is not common knowledge, and present an estimation procedure based on the equilibrium properties of the game that relies on weak semiparametric assumptions and relatively flexible information structures which allow players to condition their beliefs on signals whose exact distribution function is unknown to the researcher.

TL;DR: In the DSGE model of Smets and Wouters (2007), for example, which involves a 36-dimensional posterior distribution, it is shown that the autocorrelations of the sampled draws from the TaRB-MH algorithm decay to zero within 30-40 lags for most parameters.

TL;DR: In this paper, an equilibrium model of co-modity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and co-venience yields, is presented, which is able to capture the existence of backwardation or c ontango in the long-run spot-future equilibrium relationship.

TL;DR: In this paper, a new jump-robust quantile-based realised variance measure of ex post return variation was proposed using potentially noisy data, which is consistent for the integrated variance and converges at the best attainable rate.