This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent … regression function depending on explanatory variables and for the prediction of values of the dependent variable. The … minimization of a cross-validation criterion. In the prediction case the window contains only actual and past observations. It is …

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model … models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …

. Alternatively to the direct local linear estimators of the k-step prediction functions which enter the GIR estimator the use of … multi-stage prediction techniques is suggested. Simulation experiments show the latter estimator to perform best. For …

paper extends this approach to the simultaneous estimation of both the function and its derivatives by combining the … integration procedure with a local polynomial approach. Finally the merits of this procedure with respect to the estimation of a … ; Additive Models ; Derivative Estimation ; Production Function …

In this paper a Canonical Correlation Analysis (CCA) is used to test the hypothesis r = r0 against the alternative r …