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Restricted Likelihood Ratio Tests in Predictive Regression
Phillips, Peter C.B.; Chen, Ye - Cowles Foundation for Research in Economics, Yale University
Chen and Deo (2009a) proposed procedures based on restricted maximum likelihood (REML) for estimation and inference in the context of predictive regression. Their method achieves bias reduction in both estimation and inference which assists in overcoming size distortion in predictive hypothesis...
Persistent link: https://www.econbiz.de/10011096426
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Optimal Sup-norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation
Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
This paper makes several contributions to the literature on the important yet difficult problem of estimating functions nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric instrumental variables (NPIV) estimation of...
Persistent link: https://www.econbiz.de/10011213862
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Using Subspace Methods for Estimating ARMA Models for Multivariate Time Series with Conditionally Heteroskedastic Innovations
Bauer, Dietmar - Cowles Foundation for Research in Economics, Yale University - 2004
This paper deals with the estimation of linear dynamic models of the ARMA type for the conditional mean for time series with conditionally heteroskedastic innovation process widely used in modelling financial time series. Estimation is performed using subspace methods which are known to have...
Persistent link: https://www.econbiz.de/10005093929
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Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression
Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...
Persistent link: https://www.econbiz.de/10010817211
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Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression
Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
Persistent link: https://www.econbiz.de/10010817225
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A Simple Test for Identification in GMM under Conditional Moment Restrictions
Bravo, Francesco; Escanciano, Juan Carlos; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011
This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global...
Persistent link: https://www.econbiz.de/10008872207
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Regression Asymptotics Using Martingale Convergence Methods
Ibragimov, Rustam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and...
Persistent link: https://www.econbiz.de/10004990794
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Estimating Smooth Structural Change in Cointegration Models
Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013
This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...
Persistent link: https://www.econbiz.de/10010895635
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Tilted Nonparametric Estimation of Volatility Functions
Phillips, Peter C.B.; Xu, Ke-Li - Cowles Foundation for Research in Economics, Yale University - 2007
the total volatility function in a continuous-time jump diffusion model. …
Persistent link: https://www.econbiz.de/10005093922
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Large Deviations of Realized Volatility
Kanaya, Shin; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency … financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … of the realized volatility. We also derive a moderate deviation rate function for a standardized realized volatility …
Persistent link: https://www.econbiz.de/10009003656