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Economic data are collected at various frequencies but econometric estimation typically uses the coarsest frequency. This article develops a Gibbs sampler for estimating vector autoregression (VAR) models with mixed and irregularly sampled data. The Gibbs sampler allows efficient likelihood inference and uses simple conjugate posteriors even in highdimensional parameter spaces, avoiding a no…
- Tahun Terbit
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A bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
A multivariate positive definite estimator of the integrated covariance matrix of noisy and asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear Model where microstructure noise is interpreted as measurement error, and asynchronous trading as missing observations in an otherwise synchronous series. Missing observations are treated as any other parameter, as typ…
- Tahun Terbit
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Most studies of the predictability of returns are based on time series data, and whenever panel data are used, the testing is almost always conducted in an unrestricted unit-by-unit fashion, which makes for a very heavy parametrization of the model. On the other hand, the few panel tests that exist are too restrictive in the sense that they are based on homogeneity assumptions that might no…
- Tahun Terbit
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This article analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and group-specific unobservable factors. The method allows consistent estimation of the beta coefficients in the p…
- Tahun Terbit
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Elly Nurlia Rustiani, Pengaruh Program Remedial Dan Gaya Kognitif Terhadap Hasil Belajar Matematika( Eksperimen di SMP Negeri 171 Jakarta ). Tesis. Program Studi Penelitian dan Evaluasi Pendidikan Sekolah Pascasarjana Universitas Muhammadiyah Prof. DR. HAMKA. Jakarta. Januari 2015. Tesis ini bertujuan mengungkapkan dan menganalisis perbedaan hasil belajar Matematika bagi siswa yang mengiku…
- Tahun Terbit
- 2015
- Deskripsi Fisik
- 238 hlm
