Publication Type

Working Paper

Version

publishedVersion

Publication Date

6-2022

Abstract

This paper explores weak identification issues arising in commonly used models of economic and financial time series. Two highly popular configurations are shown to be asymptotically observationally equivalent: one with long memory and weak autoregressive dynamics, the other with antipersistent shocks and a near-unit autoregressive root. We develop a data-driven semiparametric and identification-robust approach to inference that reveals such ambiguities and documents the prevalence of weak identification in many realized volatility and trading volume series. The identification-robust empirical evidence generally favors long memory dynamics in volatility and volume, a conclusion that is corroborated using social-media news flow data.

Keywords

Realized volatility, Weak identification, Disjoint confidence sets, Trading volume, Long memory

Discipline

Econometrics | Economic Theory

Research Areas

Econometrics

First Page

1

Last Page

49

Publisher

SMU Economics and Statistics Working Paper Series Paper No. 08-2022

City or Country

Singapore

Copyright Owner and License

Authors

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