Narrow search
Showing 1 - 10 of 137
Cover Image
The shape of the risk premium: evidence from a semiparametric GARCH model
Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000
We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...
Persistent link: https://www.econbiz.de/10010745701
Cover Image
Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric …
Persistent link: https://www.econbiz.de/10011071447
Cover Image
A quantilogram approach to evaluating directional predictability
Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the … stock index return data. The empirical results suggest some directional predictability in returns, especially in mid …
Persistent link: https://www.econbiz.de/10010928727
Cover Image
Semiparametric regression analysis under imputation for missing response data
Hardle, Wolfgang; Linton, Oliver; Wang, Qihua - London School of Economics (LSE) - 2003
We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator, a marginal average estimator and a (marginal) propensity score weighted estimator are defined. All the estimators are proved to be asymptotically normal,...
Persistent link: https://www.econbiz.de/10010928736
Cover Image
Nonparametric estimation of a polarization measure
Anderson, Gordon; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2009
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...
Persistent link: https://www.econbiz.de/10010745188
Cover Image
A smoothed least squares estimator for threshold regression models
Linton, Oliver; Seo, Myunghwan - London School of Economics (LSE) - 2005
We propose a smoothed least squares estimator of the parameters of a threshold regression model. Our model generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter. We also do not assume...
Persistent link: https://www.econbiz.de/10011071260
Cover Image
Nonparametric test for causality with long-range dependence
Hidalgo, Javier - London School of Economics (LSE) - 2000
This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test...
Persistent link: https://www.econbiz.de/10011071140
Cover Image
Efficient inference on fractionally integrated panel data models with fixed effects
Robinson, Peter M.; Velasco, Carlos - London School of Economics (LSE) - 2015
A dynamic panel data model is considered that contains possibly stochastic individual components and a common stochastic time trend that allows for stationary and nonstationary long memory and general parametric short memory. We propose four different ways of coping with the individual effects...
Persistent link: https://www.econbiz.de/10011171755
Cover Image
Consistent testing for stochastic dominance under general sampling schemes
Linton, Oliver; Maasoumi, Esfandiar; Whang, Yoon-Jae - London School of Economics (LSE) - 2003
Persistent link: https://www.econbiz.de/10010928652
Cover Image
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary
Linton, Oliver; Song, Kyungchul; Whang, Yoon-Jae - London School of Economics (LSE) - 2008
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...
Persistent link: https://www.econbiz.de/10010745043