Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review
Year of publication: |
2011
|
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Authors: | Chen, Xiaohong |
Publisher: |
London : Centre for Microdata Methods and Practice (cemmap) |
Subject: | Zeitreihenanalyse | Nichtparametrisches Verfahren | VAR-Modell | ARCH-Modell | Nonlinear time series | Temporal dependence | Tail dependence | Penalized sieve M estimation | Penalized sieve minimum distance | Semiparametric two-step | Nonlinear ill-posed inverse | Mixtures | Conditional moment restrictions | Nonparametric endogeneity | Dynamic asset pricing | Varying coefficient VAR | GARCH | Copulas | Value-at-risk |
Series: | cemmap working paper ; CWP23/11 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.1920/wp.cem.2011.2311 [DOI] 664326005 [GVK] hdl:10419/64736 [Handle] RePEc:ifs:cemmap:23/11 [RePEc] |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C20 - Econometric Methods: Single Equation Models. General |
Source: |
-
Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review
Chen, Xiaohong, (2011)
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Penalized sieve estimation and inference of semi-nonparametric dynamic models : a selective review
Chen, Xiaohong, (2011)
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Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models : A Selective Review
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