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Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

Estimation …

Persistent link: https://www.econbiz.de/10009574875

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10009627286

Growth regression and counterfactual income dynamics

Desdoigts, Alain - 2000

Persistent link: https://www.econbiz.de/10009611551

Estimating yield curves by Kernel smoothing methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …

Persistent link: https://www.econbiz.de/10009580489

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Estimating state-price densities with nonparametric regression

Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10009624851

Additive and generalized additive models : a survey

Schimek, Michael G.; Turlach, Berwin A. - 1998

This paper is the attempt to summarize the state of art in additive and generalized additive models (GAM). The emphasis is on approaches and numerical procedures which have emerged since the monograph of Hastie and Tibshirani (1990) although reconsidering certain aspects of their work. Apart...

Persistent link: https://www.econbiz.de/10009578569

An equality test across nonparametric regressions

Lavergne, Pascal - 1998 - Rev.

A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...

Persistent link: https://www.econbiz.de/10009578576

Semiparametric regression analysis under imputation for missing response data

Wang, Qihua; Härdle, Wolfgang; Linton, Oliver - 2002

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

Persistent link: https://www.econbiz.de/10009620774

M robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

reducing the problem of estimating a multivariate regression function to the estimation of its univariate components …. Estimation of these univariate functions, however, can suffer inaccuracy if the data set is contaminated with extreme …

Persistent link: https://www.econbiz.de/10009626746