Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance
نویسندگان
چکیده
منابع مشابه
Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance∗
High frequency inference has generated a wave of research interest among econometricians and practitioners, as indicated from the increasing number of estimators based on intra-day data. However, we also witness a scarcity of methodology to assess the uncertainty – standard error– of the estimator. The root of the problem is that whether with or without the presence of microstructure, standard ...
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Expressions for the variance of an estimated frequency function are necessary for many issues in model validation and experiment design. A general result is that a simple expression for this variance can be obtained asymptotically as the model order tends to infinity. This expression shows that the variance is inversely proportional to the signal-to-noise ratio frequency by frequency. Still, fo...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2017
ISSN: 0012-9682
DOI: 10.3982/ecta12501