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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
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Estimating state-price densities with nonparametric regression
Huynh, Kim; Kervella, Pierre; Zheng, Jun - 2002
Persistent link: https://www.econbiz.de/10009624851
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Estimation and testing for varying coefficients in additive models with marginal integration
Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … 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 …
Persistent link: https://www.econbiz.de/10009627286
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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
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Growth regression and counterfactual income dynamics
Desdoigts, Alain - 2000
Persistent link: https://www.econbiz.de/10009611551
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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
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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to...
Persistent link: https://www.econbiz.de/10009578577
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The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10009616780
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Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
Benkwitz, Alexander; Lütkepohl, Helmut; Wolters, Jürgen - 1999
It is argued that standard impulse response analysis based on vector autoregressive models has a number of shortcomings. Although the impulse responses are estimated quantities, measures for sampling variability such as confidence intervals are often not provided. If confidence intervals are...
Persistent link: https://www.econbiz.de/10009580485
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Was there a regime change in the German monetary transmission mechanism in 1983?
Candelon, Bertrand; Lütkepohl, Helmut - 2000
Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...
Persistent link: https://www.econbiz.de/10009583433