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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

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

Semiparametric Localized Bandwidth Selection in Kernel Density Estimation

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014

difficult issue is how we can consistently estimate a localized bandwidth. In this paper, we propose a semiparametric estimation … return under conditional heteroscedasticity, demonstrate the effectiveness and competitiveness of the proposed semiparametric …

Persistent link: https://www.econbiz.de/10010958940

Semiparametric Single-Index Panel Data Models with Cross-Sectional Dependence

Peng, Bin; Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

In this paper, we consider a semiparametric single index panel data mode with cross-sectional dependence, high …

Persistent link: https://www.econbiz.de/10010958943

Semiparametric Model Selection in Panel Data Models with Deterministic Trends and Cross-Sectional Dependence

Chen, Jia; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2014

In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The … semiparametric estimator are established by the joint limit approach. The developed semiparametric model selection methodology is …

Persistent link: https://www.econbiz.de/10010958955

Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014

Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...

Persistent link: https://www.econbiz.de/10010958956

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