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Nonparametric Inference For Unbalanced Time Series Data

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  • Linton, Oliver

Abstract

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data are unbalanced or incomplete. In this case, one can work with only the common sample, to which a standard HAC bootstrap theory applies, but at the expense of throwing away data and perhaps losing efficiency. An alternative is to use some sort of imputation method, but this requires additional modeling assumptions, which we would rather avoid. We show how the sampling theory changes and how to modify the resampling algorithms to accommodate the problem of missing data. We also discuss efficiency and power. Unbalanced data of the type we consider are quite common in financial panel data; see, for example, Connor and Korajczyk (1993, Journal of Finance 48, 1263 1291). These data also occur in cross-country studies.I thank Greg Connor, Esfandiar Maasoumi, Peter Phillips, Peter Robinson, Yoon Whang, and two referees for helpful comments.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 01 (February)
Pages: 143-157

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Handle: RePEc:cup:etheor:v:21:y:2005:i:01:p:143-157_05

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  1. Connor, Gregory & Korajczyk, Robert A, 1993. " A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, American Finance Association, vol. 48(4), pages 1263-91, September.
  2. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  3. Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
  4. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2003. "Consistent testing for stochastic dominance under general sampling schemes," LSE Research Online Documents on Economics 2208, London School of Economics and Political Science, LSE Library.
  5. Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-72, July.
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Cited by:
  1. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(01), pages 3-20, February.

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