Topic
Nominal size
About: Nominal size is a research topic. Over the lifetime, 242 publications have been published within this topic receiving 11377 citations.
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TL;DR: In this article, the authors investigate inference using cluster bootstrap-t procedures that provide asymptotic refinement, including the example of Bertrand, Duflo, and Mullainathan.
Abstract: Researchers have increasingly realized the need to account for within-group dependence in estimating standard errors of regression parameter estimates. The usual solution is to calculate cluster-robust standard errors that permit heteroskedasticity and within-cluster error correlation, but presume that the number of clusters is large. Standard asymptotic tests can over-reject, however, with few (five to thirty) clusters. We investigate inference using cluster bootstrap-t procedures that provide asymptotic refinement. These procedures are evaluated using Monte Carlos, including the example of Bertrand, Duflo, and Mullainathan (2004). Rejection rates of 10% using standard methods can be reduced to the nominal size of 5% using our methods.
2,529 citations
TL;DR: In this paper, the effect of trade size on security prices was investigated and it was shown that informed traders tend to trade larger amounts at any given price, and market makers' pricing strategies must also depend on trade size.
2,287 citations
TL;DR: This article showed that no evidence against the random walk null can be found in panels of up to 64 real exchange rates, which cannot be attributed to low power, as there is ample power in panels with this size to reject the unit-root null.
1,235 citations
TL;DR: In this paper, the relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined, and the adverse selection component increases uniformly with trade size.
Abstract: The relation between theorized components of the bid-ask spread and trade size for a sample of NYSE firms is examined. We find that the adverse selection component increases uniformly with trade size. Conversely, order processing costs decrease with increases in trade size for all but the largest trades. We find that order persistence decreases with trade size. The adverse selection component is highest at the beginning of the day and lowest at the end of the day for all but the largest trades. Trades of NYSE firms executed on regional exchanges or NASDAQ contain a large order processing cost component but no significant adverse information effect. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
598 citations
TL;DR: In this article, the authors extended the Lo and MacKinlay (1988) methodology and provided a simple modification for testing multiple variance ratios, and Monte Carlo results indicate that the size of their test is close to its nominal size and that it is as reliable as the Dickey-Fuller (D-F) and the Phillips-Perron (P-P) unit root tests.
519 citations