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Some Estimation Methods for a Random Coefficient Model

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  • Hsiao, Cheng

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  • Hsiao, Cheng, 1975. "Some Estimation Methods for a Random Coefficient Model," Econometrica, Econometric Society, vol. 43(2), pages 305-325, March.
  • Handle: RePEc:ecm:emetrp:v:43:y:1975:i:2:p:305-25
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    1. Bollen, Bernard & Inder, Brett, 2002. "Estimating daily volatility in financial markets utilizing intraday data," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 551-562, December.
    2. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
    3. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    4. Fabienne Comte & Eric Renault, 1998. "Long memory in continuous-time stochastic volatility models," Mathematical Finance, Wiley Blackwell, vol. 8(4), pages 291-323.
    5. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(1), pages 1-30.
    6. Kalnina, Ilze & Linton, Oliver, 2006. "Estimating quadratic variation consistently in the presence of correlated measurement error," LSE Research Online Documents on Economics 4413, London School of Economics and Political Science, LSE Library.
    7. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
    8. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
    9. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    10. Meddahi, Nour & Mykland, Per & Shephard, Neil, 2011. "Realized Volatility," Journal of Econometrics, Elsevier, vol. 160(1), pages 1-1, January.
    11. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2003. "Long Run Variance Estimation Using Steep Origin Kernels without Truncation," Cowles Foundation Discussion Papers 1437, Cowles Foundation for Research in Economics, Yale University.
    12. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    13. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
    14. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", pages 125-132.
    15. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 68-104.
    16. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    17. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
    18. Peter Hansen & Jeremy Large & Asger Lunde, 2008. "Moving Average-Based Estimators of Integrated Variance," Econometric Reviews, Taylor & Francis Journals, vol. 27(1-3), pages 79-111.
    19. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
    20. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    21. Asger Lunde & Peter Reinhard Hansen, 2004. "Realized Variance and IID Market Microstructure Noise," Econometric Society 2004 North American Summer Meetings 526, Econometric Society.
    22. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(4), pages 525-554.
    23. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series 2005fe05, Oxford Financial Research Centre.
    24. Renault, E. & Werker, B.J.M., 2004. "Stochatic Volatility Models with Transaction Time Risk," Discussion Paper 2004-24, Tilburg University, Center for Economic Research.
    25. Sílvia Gonçalves & Nour Meddahi, 2009. "Bootstrapping Realized Volatility," Econometrica, Econometric Society, vol. 77(1), pages 283-306, January.
    26. Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
    27. Hansen, Peter R. & Lunde, Asger, 2006. "Realized Variance and Market Microstructure Noise," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 127-161, April.
    28. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    29. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    30. Shephard, Neil (ed.), 2005. "Stochastic Volatility: Selected Readings," OUP Catalogue, Oxford University Press, number 9780199257201.
    31. Griffin, Jim E. & Oomen, Roel C.A., 2011. "Covariance measurement in the presence of non-synchronous trading and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 58-68, January.
    32. Back, Kerry, 1991. "Asset pricing for general processes," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 371-395.
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    Cited by:

    1. Ward, Ronald W. & Tilley, Daniel S., 1980. "Time Varying Parameters With Random Components: The Orange Juice Industry," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 12(02), December.
    2. Buchinsky, Moshe, 1995. "Quantile regression, Box-Cox transformation model, and the U.S. wage structure, 1963-1987," Journal of Econometrics, Elsevier, vol. 65(1), pages 109-154, January.
    3. Michael Fung, 2004. "Technological Opportunity and Productivity of R&D Activities," Journal of Productivity Analysis, Springer, vol. 21(2), pages 167-181, March.
    4. Georges Bresson & Cheng Hsiao & Alain Pirotte, 2011. "Assessing the contribution of R&D to total factor productivity—a Bayesian approach to account for heterogeneity and heteroskedasticity," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(4), pages 435-452, December.
    5. Horváth, Lajos & Trapani, Lorenzo, 2016. "Statistical inference in a random coefficient panel model," Journal of Econometrics, Elsevier, vol. 193(1), pages 54-75.
    6. Junankar, P.N. & Madsen, J.B., 1996. "Unemployment in the OECD: models and mysteries," Discussion Paper Series In Economics And Econometrics 9648, Economics Division, School of Social Sciences, University of Southampton.
    7. Cho, Guedae & Sheldon, Ian M. & McCorriston, Steve, 2000. "Exchange Rate Misalignment And Agricultural Trade," 2000 Annual meeting, July 30-August 2, Tampa, FL 21824, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    8. Hsiao, C. & Pesaran, M.H., 2004. "‘Random Coefficient Panel Data Models’," Cambridge Working Papers in Economics 0434, Faculty of Economics, University of Cambridge.
    9. Obwana, M.B. & Kalirajan, K.P. & Shand, R.T., 1997. "On Measuring Farmer-Specific and Input-Specific Allocative Efficiency," Occasional Paper Series No. 7 198063, International Association of Agricultural Economists.
    10. repec:eee:finsta:v:33:y:2017:i:c:p:187-206 is not listed on IDEAS
    11. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, April.
    12. Alain Trognon, 2003. "L'économétrie des panels en perspective," Revue d'économie politique, Dalloz, vol. 113(6), pages 727-748.
    13. Erik Biørn, 2014. "Estimating SUR system with random coefficients: the unbalanced panel data case," Empirical Economics, Springer, vol. 47(2), pages 451-468, September.
    14. Erik Biørn & Kjersti-Gro Lindquist & Terje Skjerpen, 2002. "Heterogeneity in Returns to Scale: A Random Coefficient Analysis with Unbalanced Panel Data," Journal of Productivity Analysis, Springer, vol. 18(1), pages 39-57, July.
    15. Kwan, Simon H., 1996. "Firm-specific information and the correlation between individual stocks and bonds," Journal of Financial Economics, Elsevier, vol. 40(1), pages 63-80, January.
    16. Biorn,E., 1999. "Random coefficients in regression equation systems : the case with unbalanced panel data," Memorandum 27/1999, Oslo University, Department of Economics.

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