The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
A PDF file containing proofs and meta-analysis appendices for the manuscript.
This zip file contains the replication files for the manuscript.
This appendex discusses identification of the model in the paper. New results concerning the identification of parameters in a two-step Bajari, Benkard, and Levin (2007) setup are given. Under linearity of the unknown parameters, it is shown that identification obtains when an easily-verified rank and order condition on a matrix derived from estimated functions holds.
This zip file contains the replication files for the manuscript.
This appendix outlines the details of the manuscript's data construction (section S.1) and the implementation of the selection correction procedure described in the main text (section S.2). In addition, we examine the robustness of our results in a number of dimensions and provide some derivations of key equations in the main paper.
This zip file contains replication files for the manuscript.
This appendix consists of a shorter section describing the added details regarding the empirical work in the paper along with a longer section that presents asymptotic results for the Realized Laplace Transform for the case in which volatility has a deterministic intraday component.
This zip file contains the replication files for the manuscript.
This zip file contains replication files for the manuscript.
This PDF file contains proofs for the manuscript.
This zip file contains the replication files for the manuscript.
This PDF file contains proofs for the manuscript.
This document gives the proofs that were omitted from the main text, provide details for some of the arguments used in the proofs of the main results, and discuss some additional results concerning the assumption of real analyticity in the space variables and economies with terminal dividends, heterogenous discount rates and time-dependent aggregate consumption.
This appendix contains an omitted proof referenced in the paper.
