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Displaying results 1 to 18 of 18.

  1. Inference in instrumental variables models with heteroskedasticity and many instruments
    Author: Crudu, Federico; Mellace, Giovanni; Sándor, Zsolt
    Published: [2017]
    Publisher:  Università di Siena, [Siena]

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    Language: English
    Media type: Book
    Format: Online
    Series: Quaderni del Dipartimento di economia politica e statistica ; n. 761 (novembre 2017)
    Subjects: Instrumental variables; heteroskedasticity; many instruments; jackknife; specification tests; overidentification tests
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  2. Robust tests for white noise and cross-correlation
    Author: Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B.
    Published: April 17, 2019
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Series: Cowles Foundation discussion paper ; no. 2194 (April 2019)
    Subjects: Serial correlation; cross-correlation; heteroskedasticity; martingale differences
    Scope: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  3. Robust inference on correlation under general heterogeneity
    Author: Giraitis, Liudas; Li, Yufei; Phillips, Peter C. B.
    Published: [2022]
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Series: Cowles Foundation discussion paper ; no. 2354 (December 2022)
    Subjects: Serial correlation; cross-correlation; heteroskedasticity; martingale differences
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  4. Noisy signals
    do ratings' volatility depend on the length of the consumption span?
    Author: Boto-García, David; Leoni, Veronica
    Published: [2023]
    Publisher:  Alma Mater Studiorum - Università di Bologna, Department of Economics, Bologna, Italy

    This paper investigates the informational content of online reviews. For the case of hotels, we model how the length of the stay shapes the variance of review scores. Grounded on violations of temporal monotonicity, errors in recall and hedonic... more

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    This paper investigates the informational content of online reviews. For the case of hotels, we model how the length of the stay shapes the variance of review scores. Grounded on violations of temporal monotonicity, errors in recall and hedonic adaptation theories, we first present a characterization of how the consumption span affects the non-deterministic component of consumer satisfaction. Next, we conduct an empirical analysis using more than 525,000 individual reviews from Booking.com in 5 major European cities. Under a heteroskedastic framework, we document that individual ratings' volatility decreases with the length of the stay. This implies that online ratings from short stayers (short consumption episodes) are noisy signals of the underlying hotel quality. Furthermore, we show that greater volatility in hotel ratings translates into a lower share of useful reviews for subsequent consumers. Our findings offer relevant insights for platform design operators about the sources of ratings' volatility and how this affects social learning.

     
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    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/282305
    Series: Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics ; no 1183
    Subjects: online reviews; ratings' variance; length of stay; quality uncertainty; heteroskedasticity; Booking.com
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  5. Heteroskedastic proxy vector autoregressions
    testing for time-varying impulse responses in the presence of multiple proxies
    Author: Bruns, Martin; Lütkepohl, Helmut
    Published: 2022
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not... more

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    We propose a test for time-varying impulse responses in heteroskedastic structural vector autoregressions that can be used when the shocks are identified by external proxy variables as a group. The test can be used even if the shocks are not identified individually. The asymptotic analysis is supported by small sample simulations which show good properties of the test. An investigation of the impact of productivity shocks in a small macroeconomic model for the U.S. illustrates the importance of the issue for empirical work.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/259562
    Edition: This version: May 2, 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 2005
    Subjects: Structural vector autoregression; proxy VAR; heteroskedasticity; productivity shocks
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  6. Heteroskedasticity-robust inference in linear regression models with many covariates
    Author: Jochmans, Koen
    Published: [2020]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Language: English
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    Series: Cambridge working paper in economics ; 2033
    Subjects: heteroskedasticity; inference; many regressors; statistical leverage
    Scope: 1 Online-Ressource (circa 42 Seiten)
  7. Bootstrap performance with heteroskedasticity
    Author: Davidson, Russell; Monticini, Andrea
    Published: [2023]
    Publisher:  Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore, Milano, Italy

    The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be... more

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    The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are illustrated by some Monte Carlo experiments.

     
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    Series: Working paper / Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore ; n. 130 (November 2023)
    Subjects: Bootstrap inference; fast double bootstrap; conditional fast double bootstrap; heteroskedasticity
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  8. Is investing in Islamic stocks profitable?
    evidence from the Dow Jones Islamic market indexes
    Author: Hooi Hooi Lean; Mishra, Vinod; Smyth, Russell
    Published: 2015
    Publisher:  Monash Univ., Dep. of Economics, Canberra

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    Series: Discussion paper / Monash University,Department of Economics ; 15,33
    Subjects: Islamic stocks; structural breaks; heteroskedasticity; efficient market
    Scope: Online-Ressource (30 S.)
  9. Contagion, spillover and interdependence
    Author: Rigobón, Roberto
    Published: August 2016
    Publisher:  Bank of England, [London]

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    Series: Staff working paper / Bank of England ; no. 607
    Subjects: spillovers; contagion; heteroskedasticity
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  10. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock... more

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    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US -Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
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    Other identifier:
    hdl: 10419/259822
    Edition: This (updated) version: May 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  11. A test for kronecker product structure covariance matrix
    Author: Guggenberger, Patrik; Kleibergen, Frank; Mavroeidis, Sophocles
    Published: [2022]
    Publisher:  Department of Economics, University of Oxford, Oxford

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    Series: Department of Economics discussion paper series / University of Oxford ; number 962 (January 2022)
    Subjects: covariancematrix; heteroskedasticity; invariance; Kroneckerproductstructure; linear instrumentalvariablesregressionmodel; reducedrank; weakidentification
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  12. A robust test for weak instruments with multiple endogenous regressors
    Author: Lewis, Daniel J.; Mertens, Karel
    Published: [2022]
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend... more

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    We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger (2013) for one endogenous regressor to the general case with multiple endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of instrument strength and provide efficient and easy-to-use Matlab code for its implementation. We demonstrate our testing procedures by considering the estimation of the state-dependent effects of fiscal policy as in Ramey and Zubairy (2018).

     
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    hdl: 10419/266104
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1020 (June 2022)
    Subjects: instrumental variables; weak instruments test; multiple endogenous regressors; heteroskedasticity; serial correlation
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  13. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: September 24, 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US... more

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    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively overall, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. These effects reveal elements of both relative price shocks and uncertainty shocks of which the latter may be more important. Chinese trade policy shocks against the US further hurt US stocks.

     
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    hdl: 10419/224529
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 34
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  14. Monetary policy, external instruments and heteroskedasticity
    Author: Schlaak, Thore; Rieth, Malte; Podstawski, Maximilian
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows... more

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    We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the structural shock of interest. We test alternative instruments and find that narrative and model-based measures are valid, while high-frequency data instruments show signs of invalidity. Finally, we document that monetary shocks identified with both a valid instrument and heteroskedasticity have larger effects on production and prices than monetary shocks identified via an instrument only.

     
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    hdl: 10419/234976
    Edition: This version: June 18, 2021
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1749
    Subjects: Monetary policy; structural vector autoregressions; identification with external instrument; heteroskedasticity; Markov switching
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
  15. Endogenous and exogenous volatility in the foreign exchange market
    Author: Bargigli, Leonardo; Cifarelli, Giulio
    Published: [2020]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

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    Series: Array ; 2020, n. 17
    Subjects: heteroskedasticity; asset pricing model; heterogeneous beliefs; market making; foreign exchange market; Markov switching; GARCH; SVAR; high frequency data
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  16. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US... more

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    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. Regarding shock types, we reveal a dominating trade policy uncertainty shock and a weaker level shock. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
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    hdl: 10419/235764
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  17. Does the cost of private debt respond to monetary policy?
    heteroskedasticity-based identification in a model with regimes
    Author: Guidolin, Massimo; Massagli, Valentina; Pedio, Manuela
    Published: [2021]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Edition: This version: February, 2021
    Series: Working paper series / IGIER ; n. 676
    Subjects: unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  18. Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors
    Author: Coudin, Elise; Dufour, Jean-Marie
    Published: February 2017
    Publisher:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

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    Series: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2017s-06
    Subjects: sign-based methods; median regression; test inversion; Hodges-Lehmann estimators; confidence distributions; p-value function; least absolute deviation estimators; quantile regressions; sign test; simultaneous inference; Monte Carlo tests; projection methods; non-normality; heteroskedasticity; serial dependence; GARCH; stochastic volatility
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen