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Wavelet transform for regression estimation of non-stationary fractional time series

Lee, Jin - Econometric Society - 2004

We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non …

Persistent link: https://www.econbiz.de/10005342229

Wavelet transform for log periodogram regression in long memory stochastic volatility model

Lee, Jin - Econometric Society - 2004

We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long …

Persistent link: https://www.econbiz.de/10005130237

Estimation of Average Treatment Effects With Misclassification

Lewbel, Arthur - Econometric Society - 2004

This paper provides conditions for identification and estimation of the conditional or unconditional average effect of a binary treatment or policy on a scalar outcome in models where treatment may be misclassified. Misclassification probabilities and the true probability of treatment are also...

Persistent link: https://www.econbiz.de/10005063591

Finite-Sample Inference Methods for Quantile Regression Models

Hansen, Christian; Chernozhukov, Victor - Econometric Society - 2004

Finite-sample inference methods are developed for quantile regression models. The methods are conservative in that (i) they apply to arbitrary sample sizes without the liberal assumption that sample sizes approach infinity, (ii) they apply when the quantiles are partially or set identified,...

Persistent link: https://www.econbiz.de/10005063611

Confidence bounds for the extremum determined by a quadratic regression

Lye, Jenny; Hirschberg, Joe - Econometric Society - 2004

A quadratic function is frequently used in regression to infer the existence of an extremum in a relationship. Examples abound in fields such as economics, epidemiology and environmental science. However, most applications provide no formal test of the extremum. Here we compare the Delta method...

Persistent link: https://www.econbiz.de/10005063624

Robustness of a semiparametric estimator of a copula

Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004

the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of … parametric form. However, a standard concern about semiparametric methods is the possibility that it may be substantially less … investigate the efficiency-robustness properties of the foregoing semiparametric method by simulation; in particular, we evaluate …

Persistent link: https://www.econbiz.de/10005063630

The Impact of Measurement Error on Evaluation Methods Based on Strong Ignorability

Chesher, Andrew; Battistin, Erich - Econometric Society - 2004

When selection bias can purely be attributed to observables, several estimators have been discussed in the literature to estimate the average effect of a binary treatment or policy on a scalar outcome. Identification typically exploits the unconfoundedness of the treatment, which is verified if...

Persistent link: https://www.econbiz.de/10005063735

Comparing Nonparametric Regression Quantiles

Huse, Cristian - Econometric Society - 2004

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

Persistent link: https://www.econbiz.de/10005699609

Which Extreme Values are Really Extremes?

Olmo, Jose; Gonzalo, Jesus - Econometric Society - 2004

The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...

Persistent link: https://www.econbiz.de/10005699657

Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR

Morimoto, Takayuki - Econometric Society - 2004

In order to forecast one-step ahead volatility, we calculated jump intensity by using estimated parameters of a duration model of price change. In this procedure, we do not assume any distribution on log-return. Although we do not make any distributional assumption, we may practically choose a...

Persistent link: https://www.econbiz.de/10005702699

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