Similar Search Results

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 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

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-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

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 … variable could be an instrument or a second mismeasure of treatment. Estimation takes the form of either ordinary GMM or a … local GMM that is proposed, which can be used generally to nonparametrically estimate functions from conditional moment …

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

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...

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

to estimate the average effect of a binary treatment or policy on a scalar outcome. Identification typically exploits the … identification and estimation of treatment effects when observable covariates relevant to unconfoundedness are measured with error …

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

1
2
3
4
5
6
7
8
9
10
Next
Last