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Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models

Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007

A semiparametric method is studied for estimating the dependence parameter and the joint distribution of the error term … arguments that would be useful for other potential extensions of this semiparametric approach. It is shown that the proposed … in practice. In this simulation study, our proposed semiparametric method performed better than the well-known parametric …

Persistent link: https://www.econbiz.de/10005149050

Local Linear Forecasts Using Cubic Smoothing Splines

Hyndman, Rob J; King, Maxwell L.; Pitrun, Ivet; Billah, Baki - Department of Econometrics and Business Statistics, … - 2002

We show how cubic smoothing splines fitted to univariate time series data can be used to obtain local linear forecasts. Our approach is based on a stochastic state space model which allows the use of a likelihood approach for estimating the smoothing parameter, and which enables easy...

Persistent link: https://www.econbiz.de/10005087585

Expansion of Lévy Process Functionals and Its Application in Statistical Estimation

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012

In this paper, expansions of functionals of Lévy processes are established under some Hilbert spaces and their orthogonal bases. From practical standpoint, both time-homogeneous and time-inhomogeneous functionals of Lévy processes are considered. Several expansions and rates of convergence are...

Persistent link: https://www.econbiz.de/10009650287

Identification, Estimation and Specification in a Class of Semiparametic Time Series Models

Gao, Jiti - Department of Econometrics and Business Statistics, … - 2012

In this paper, we consider some identification, estimation and specification problems in a class of semiparametric time … estimation methods and establish some new results for a new class of semiparametric autoregressive models. In addition, we …

Persistent link: https://www.econbiz.de/10010539086

Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Gao, Jiti; Li, Degui; Tjøstheim, Dag - Department of Econometrics and Business Statistics, … - 2011

This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the...

Persistent link: https://www.econbiz.de/10009318806

Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates

Li, Degui; Lu, Zudi; Linton, Oliver - Department of Econometrics and Business Statistics, … - 2011

results of this paper will be of wide potential interest in time series semiparametric modelling. …

Persistent link: https://www.econbiz.de/10009318809

Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves

Hall, Peter G.; Hyndman, Rob J.; Fan, Yanan - Department of Econometrics and Business Statistics, … - 2003

We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that...

Persistent link: https://www.econbiz.de/10005427623

Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption

Chen, Haotian; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014

A partially linear model is often estimated in a two-stage procedure, which involves estimating the nonlinear component conditional on initially estimated linear coefficients. We propose a sampling procedure that aims to simultaneously estimate the linear coefficients and bandwidths involved in...

Persistent link: https://www.econbiz.de/10011105011

Nonparametric Kernel Estimation of the Impact of Tax Policy on the Demand for Private Health Insurance in Australia

Gong, Xiaodong; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2015

This paper is motivated by our attempt to answer an empirical question: how is private health insurance take-up in Australia affected by the income threshold at which the Medicare Levy Surcharge (MLS) kicks in? We propose a new difference de-convolution kernel estimator for the location and size...

Persistent link: https://www.econbiz.de/10011262824

Partially Linear Panel Data Models with Cross-Sectional Dependence and Nonstationarity

Dong, Chaohua; Gao, Jiti; Peng, Bin - Department of Econometrics and Business Statistics, … - 2015

In this paper, we consider a partially linear panel data model with cross-sectional dependence and non-stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then...

Persistent link: https://www.econbiz.de/10011262825