Before revision:  Substantial differences are discerned in the performance of alternative methods in certain dimensions, with inference being sensitive to these differences in some cases. Accounting for measurement error when using measures constructed from high frequency data to conduct inference on dynamic jump models is also shown to have an impact . The sensitivity of inference to test and measurement construction is documented using both artificially generated data and empirical data on both the S P500 stock index and the IBM stock price .
After revision:  Substantial differences are discerned in the performance of P500 stock index and the IBM stock price .