Blar i Publikasjoner fra CRIStin - BI på tidsskrift "Journal of business & economic statistics"

Viser treff 1-2 av 2

    • Measurement Error Without the Proxy Exclusion Restriction 

      Chalak, Karim; Kim, Daniel (Journal article; Peer reviewed, 2019)
      This article studies the identification of the coefficients in a linear equation when data on the outcome, covariates, and an error-laden proxy for a latent variable are available. We maintain that the measurement error ...

    • Volatility Estimation When the Zero-Process is Nonstationary 

      Francq, Christian; Sucarrat, Genaro (Journal article; Peer reviewed, 2021)
      Financial returns are frequently nonstationary due to the nonstationary distribution of zeros. In daily stock returns, for example, the nonstationarity can be due to an upwards trend in liquidity over time, which may lead ...