07350015%2E2012%2E740436
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We study the estimators’ dependence on the choice of the underlying local preaveraging interval, the role of the sampling scheme (i.e., calendar time sampling vs. business
The line labeled test for bias before break point shows the p -values for tests using subsamples that begin in 1971 and end at the date shown on the horizontal axis.. The line
Summarizing, Patton, and Timmermann (2011) have pro- posed a set of interesting and useful tests for forecast rationality or optimality under squared error loss, including an easily
We start from the simplest case, labeled FC-C, where factor and idiosyncratic volatilities are constant over the sample period (at high and low frequencies), and restrictions
Finite sample rejection probabilities for testing predictive ability for three tests at nominal size 5%: Reality Check (RC) test of White (2000), Superior Predictive Ability (SPA)
The analysis reevaluates the predictive ability of models of exchange rate determination by verifying the robustness of the recent empirical evidence in favor of models of exchange
If the correlation between worker and firm effects is sufficiently high, then this can entail that the random effects of different workers at a given firm are correlated, and/or
Standard segregation indices measure the distance between the distribution of a minority population across units and a counterfactual situation of evenness in which the proportion
