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Panel Nonparametric Regression with Fixed Effects
Lee, Jungyoon; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2013
Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal dependence and conditional heteroscedasticity. A simple nonparametric...
Persistent link: https://www.econbiz.de/10011003916
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Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns
Connor, Gregory; Hagmann, Matthias; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2007
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...
Persistent link: https://www.econbiz.de/10005151151
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Binary Choice Models with Discrete Regressors: Identification and Misspecification
Komarova, Tatiana - Suntory and Toyota International Centres for Economics … - 2012
In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...
Persistent link: https://www.econbiz.de/10010658810
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Binary Choice Models with Discrete Regressors: Identification and Misspecification
Komarova, Tatiana - Suntory and Toyota International Centres for Economics … - 2012
In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...
Persistent link: https://www.econbiz.de/10010559864
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Are People Inequality Averse, and Do They Prefer Redistribution by the State?: Evidence from German Longitudinal Data on Life Satisfaction ; A Revised Version
Schwarze, Johannes; Härpfer, Marco - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004
We link life-satisfaction data to inequality of the pre- and post-government income distribution at the regional level …, to estimate the degree of inequality aversion. Three different inequality measures are used. In addition, we investigate … whether a reduction in inequality by the state increases individual well-being. We find only weak evidence that Germans are …
Persistent link: https://www.econbiz.de/10005068871