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CDXW (2006) proposed a two-stage local linear estimation procedure to estimate the functional coefficient models, which unfortunately requires one to first estimate a
This article proposes a decision theoretical procedure to choose a single reserve price using a sample of only the trans- action prices and the number of bidders from English
In this section, I investigate the finite sample behavior of the ssLIML estimator in relation to other available alternatives for estimating panel data models with both lagged
Would this be enough to guarantee that the stan- dard parametric bootstrap method is valid for both the testing and the interval estimation for those parameters, avoiding
We present the asymptotic properties of the proposed estimator in Section 3 and present the finite sample performance of our estimator via some numerical simulations both in the iid
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
In particular, working with a specification of unobservables that allows correlated time- invariant individual-specific random effects, but no further gen- erality in the
Applying our approach to S&P500 index daily returns and option data, we show that one- and two- factor SVS models provide a better fit for both the historical and the
