A Hausman test for the presence of market microstructure noise in high frequency data

DOI10.1016/j.jeconom.2018.12.013zbMath1452.62873OpenAlexW3122810692MaRDI QIDQ2000858

Yacine Aït-Sahalia, Dacheng Xiu

Publication date: 1 July 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.12.013

zbMATH Keywords

super-efficiencymarket microstructure noiserealized volatilityQMLEHausman testlocal powerpre-averagingTSRV

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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