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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Gao, Jiti; Kanaya, Shin; Li, Degui; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2013
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...
Persistent link: https://www.econbiz.de/10010851296
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Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009
A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...
Persistent link: https://www.econbiz.de/10008527073
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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...
Persistent link: https://www.econbiz.de/10009003125
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Unstable volatility functions: the break preserving local linear estimator
Casas, Isabel; Gijbels, Irene - School of Economics and Management, University of Aarhus - 2009
unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in … where the volatility function has a break and it may even report negative values for finite samples. The estimator presented … and the boundary estimation, it estimates the breaks consistently and it ensures that the volatility estimates are always …
Persistent link: https://www.econbiz.de/10008577798
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Semiparametric Inference in a GARCH-in-Mean Model
Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - School of Economics and Management, University of Aarhus - 2008
a GARCH process for the underlying volatility is introduced. The estimator does not rely on any initial parametric …
Persistent link: https://www.econbiz.de/10005114137
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
of the drift and volatility. As a solution to this, tests that directly compare drift and volatility estimators under the …
Persistent link: https://www.econbiz.de/10008462024
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Edgeworth expansion for functionals of continuous diffusion processes
Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013
This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...
Persistent link: https://www.econbiz.de/10010851189
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Goodness-of-fit testing for fractional diffusions
Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012
This paper presents a goodness-of-fit test for the volatility function of a SDE driven by a Gaussian process with … whether the unknown volatility function lies in a given linear functional space or not. This testing problem is highly non …-trivial, because the volatility function is not identifiable in our model. The underlying fractional diffusion is assumed to be …
Persistent link: https://www.econbiz.de/10010851227
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A test for the rank of the volatility process: the random perturbation approach
Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô …
Persistent link: https://www.econbiz.de/10010851228
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Are University Admissions Academically Fair?
Bhattacharya, Debopam; Kanaya, Shin; Stevens, Margaret - School of Economics and Management, University of Aarhus - 2014
High-profile universities often face public criticism for undermining academic merit and promoting social elitism through their admissions-process. In this paper, we develop an empirical test for whether access to selective universities is meritocratic. If so, then the academic potential of...
Persistent link: https://www.econbiz.de/10010851242