Publications
49 results found
Abadir KM, Distaso W, Giraitis L, 2007, Nonstationarity-extended local Whittle estimation, Journal of Econometrics, Vol: 141, Pages: 1353-1384
Corradi V, Distaso W, 2006, Semi-parametric comparison of stochastic volatility models using realized measures, REV ECON STUD, Vol: 73, Pages: 635-667, ISSN: 0034-6527
This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis.We first provide primitive conditions on the measurement error associated with the realized measure, which allow to construct asymptotically valid specification tests.Then we establish regularity conditions under which the considered realized measures, namely, realized volatility, bipower variation, and modified subsampled realized volatility, satisfy the given primitive assumptions.Finally, we provide an empirical illustration based on three stocks from the Dow Jones Industrial Average.
Distaso W, Lupi P, Manenti FM, 2006, Platform competition and broadband uptake: Theory and empirical evidence from the European union, Vol: 18, Pages: 87-106
Abadir K, Distaso W, Giraitis L, 2005, Semiparametric estimation and inference for trending I(d) and related processes
This paper deals with estimation and hypothesis testing in stationary and nonstationary models with a linear trend. Using semiparametric estimators, we obtain asymptotic confidence intervals for mean, trend, and memory parameters. The confidence intervals are applicable for a wide class of processes (including some nonlinear processes), exhibit high coverage accuracy and are easy to implement. We also develop joint hypothesis testing for these parameters, when the alternative for the memory parameter is one-sided, but the ones for the deterministic components are two-sided. We use our results to show that US GDP has less memory than is implied by a unit root, and that it evolves around a deterministic trend. This result has important implications for macroeconomic stabilization policies.
Abadir K, Distaso W, Giraitis L, 2005, Local Whittle estimation, fully extended for nonstationarity
We extend the classical local Whittle estimation procedure to fractionally integrated I(d) processes, where d>-3/2, thus covering stationary and non-stationary regions. Asymptotic properties of the bias of the estimator are investigated. It is shown that in a wider region than previously considered in the literature, the estimator exhibits the same asymptotic properties as in the stationary case. When the generating process is linear, existence of a Gaussian asymptotic distribution is shown. It is demonstrated that the estimator is consistent in the case of a signal plus noise process. Conditions characterizing trends which do not affect the consistency are provided and asymptotic properties of the estimator for detrended series are analysed. The performance of the estimator is illustrated by a simulation study.
Abadir K, Distaso W, 2005, Testing joint hypotheses when one of the alternatives is one-sided
We propose a class of statistics where the direction of one of the alternatives is incorporated. We modify a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to compute, they do not require the re-estimation of models subject to one-sided inequality restrictions, and their distributions do not require bounds-based inference. We derive exact explicit distributions, then prove some desirable properties of our class of modified tests. We then illustrate the relevance of the method by applying it to devising an improved test of random walks in autoregressive models with deterministic components. In this example, the usual alternative to a unit root is one-sided in the direction of stable roots, while deterministic components are allowed to go either way, and we show that it is beneficial to take the partially one-sided nature of the alternative into account.
Abadir K, Distaso W, Giraitis L, 2005, Two estimators of the long-run variance
We deal with the important question of estimating the long-run variance of a stationary sequence. We derive the asymptotic properties of a generalized Newey-West type of estimator in the case of a linear I(d) process. The results show that the bias and asymptotic distribution of the generalized Newey-West estimator depend on the memory parameter d. If the series has long memory then the estimator might even have a non-Gaussian limit distribution. The optimal bandwidth parameter q minimising MSE is derived. Theoretical results explain the large bias observed in simulation studies with arbitrarily chosen q. An alternative estimator is suggested. It has an asymptotic Gaussian distribution and bias which do not depend on d. The estimator is easy to apply and can be used to construct confidence intervals. Simulations confirm the theoretical findings.
Distaso W, Lupi P, Manenti FM, 2005, Platform Competition and Broadband Uptake: Theory and Empirical Evidence from the European Union
Broadband access provides users with high speed, always-on connectivity to the Internet. Due to its superiority, broadband is seen as the way for consumers and firms to exploit the great potentials of new applications. This has generated a policy debate on how to stimulate adoption of broadband technology. One of the most disputed issues is about competition policies: these may be intended to promote competition in the Digital Subscriber Line (DSL) segment of the market (intra- platform competition), or to stimulate entry into the market for alternative platforms such as cable access or fiber optics (inter- platform competition). Using a model of oligopoly competition between differentiated products, our paper explicitly studies the effect of inter and intra platform competition on the diffusion of broadband access. The implications of the model are then tested using data from 14 European countries. The econometric evidence confirms the results of the theoretical model and indicates that while inter-platform competition drives broadband adoption, competition in the market for DSL services does not play a significant role. The results also confirm that lower unbundling prices stimulate broadband uptake.
Distaso W, Awartani B, Corradi V, 2004, Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model free measures of volatility, such as realized volatility. In this paper we suggest two test statistics. The first is used to test for the null hypothesis of no microstructure noise. If the null is rejected, we proceed to perform a test for the hypothesis that the microstructure noise variance is independent of the sampling frequency at which data are recorded. We provide empirical evidence based on the stocks included in the Dow Jones Industrial Average, for the period 1997-2002. Our findings suggest that, while the presence of microstructure induces a severe bias when estimating volatility using high frequency data, such a bias grows less than linearly in the number of intraday observatio
Distaso W, Lupi P, 2004, Platform Competition and Broadband Adoption in Europe: Theory and Empirical Evidence from the European Union
Broadband access provides users with high speed, always-on connectivity to the Internet. Due to its superiority, broadband is seen as the way for consumers and firms to exploit the great potentials of new applications. This has generated a policy debate on how to stimulate adoption of broadband technology. One of the most disputed issues is about competition policies: these may be intended to promote competition in the Digital Subscriber Line (DSL) segment of the market (intra- platform competition), or to stimulate entry into the market for alternative platforms such as cable access or fiber optics (inter- platform competition). Using a model of oligopoly competition between differentiated products, our paper explicitly studies the effect of inter and intra platform competition on the diffusion of broadband access. The implications of the model are then tested using data from 14 European Countries. The econometric evidence confirms the results of the theoretical model and indicates that while inter-platform competition drives broadband adoption, competition in the market for DSL services does not play a significant role.
Distaso W, Corradi V, 2004, Testing for One-Factor Models versus Stochastic Volatility Models
Distaso W, Corradi V, Awartani B, 2004, Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Distaso W, Corradi V, 2004, Estimating and Testing Sochastic Volatility Models using Realized Measures
Distaso W, 2003, ARMA representation of squared Markov switching heteroskedastic models - Solution, ECONOMETRIC THEORY, Vol: 19, Pages: 412-413, ISSN: 0266-4666
Baiocchi G, Distaso W, 2003, GRETL: Econometric software for the GNU generation, JOURNAL OF APPLIED ECONOMETRICS, Vol: 18, Pages: 105-110, ISSN: 0883-7252
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- Citations: 57
Distaso W, 2003, 01.2.1. ARMA Representation of Squared Markov Switching Heteroskedastic Models—Solution, Econometric Theory, Vol: 19, Pages: 412-413, ISSN: 0266-4666
Baiocchi G, Distaso W, 2002, Visual econometrics: Teaching and practising econometrics using ViSta, JOURNAL OF APPLIED ECONOMETRICS, Vol: 17, Pages: 405-414, ISSN: 0883-7252
Baiocchi G, Distaso W, 1999, Regression specification error test as a Gauss-Newton regression - Solution, ECONOMETRIC THEORY, Vol: 15, Pages: 634-635, ISSN: 0266-4666
Abadir KM, Distaso W, Dastoor NK, 1998, Order invariability of idempotent matrix, ECONOMETRIC THEORY, Vol: 14, Pages: 385-386, ISSN: 0266-4666
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