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• W1579682804 abstract "This paper identifies measurement error when using high-frequency transaction price data in the estimation of error correction models and cointegration analysis. Within the framework of price discovery analysis, we show that high-frequency transaction price variables are not relevant to the conceptual variables of interest, that discreteness and bid-ask bounce are the sources of the measurement error, and that this measurement error results in biased estimates. To deal with this bias, we endogenize a vector of bid-ask components, re-identify the error correction model, and propose a modified algorithm for the calculation of Johansen's (1988) full-information maximum likelihood estimator. Numerical examples show that our procedure essentially eliminates the bias and that the procedure is more robust to data error." @default.
• W1579682804 created "2016-06-24" @default.
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• W1579682804 date "2000-01-01" @default.
• W1579682804 modified "2023-09-23" @default.
• W1579682804 title "Inferring Price Discovery from Frictional Markets" @default.
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• W1579682804 doi "https://doi.org/10.2139/ssrn.194793" @default.
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