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We consider a semiparametric log periodogram regression estimation of memory parameter $d$ for non-stationary fractional time series using wavelet transformation. We propose wavelet-based log periodogram regression estimator, and obtain the asymptotic mean squared error, consistency and...
Persistent link: https://www.econbiz.de/10005342229
We consider semiparametric log periodogram regression estimation of memory parameter for the latent process in long memory stochastic volatility models. It is known that though widely used among researchers, the Geweke and Porter-Hudak (1983; GPH) LP estimator violates the Gaussian or Martingale...
Persistent link: https://www.econbiz.de/10005130237
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 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
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
by empirical distribution functions. Thus, this method does not require any marginal distribution to have a known …
Persistent link: https://www.econbiz.de/10005063630
correction procedure is also presented, which uses non-parametric estimates of functionals of the distribution of observed …
Persistent link: https://www.econbiz.de/10005063735
This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional …
Persistent link: https://www.econbiz.de/10005699609
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 parameter of this Pareto type distribution is the tail index of the data … distribution. The estimator of the threshold is anchored in the Kolmogorov-Smirnov distance between consistent estimates of those …
Persistent link: https://www.econbiz.de/10005699657
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 suitable distribution e.g. Normal, student, etc, including empirical density …, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …
Persistent link: https://www.econbiz.de/10005702699