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Smoothed influence function : another view at robust nonparametric regression

Tamine, Julien - 2001

In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...

Persistent link: https://www.econbiz.de/10009626684

Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data

Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002

Background: Studies from several countries have shown that self-rated health is an independent predictor of mortality … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … in self-rated health on predictions of mortality. Results: We find that, while currently self-rated health is shown to be …

Persistent link: https://www.econbiz.de/10009626677

Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

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 methodology assumes independent observations and is based on...

Persistent link: https://www.econbiz.de/10009578017

Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...

Persistent link: https://www.econbiz.de/10009612018

Robust estimation in nonlinear regression and limited dependent variable models

Čížek, Pavel - 2001

Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very sensitive to misspecification and data errors. On the other hand, semiparametric and nonparametric methods, which are not restricted by parametric assumptions, require more data...

Persistent link: https://www.econbiz.de/10009618360

A nonparametric regression estimator that adapts to error distribution of unknown form

Linton, Oliver; Xiao, Zhijie - 2001

We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...

Persistent link: https://www.econbiz.de/10009613602

A simple state space model of house prices

Schulz, Rainer; Werwatz, Axel - 2002

Persistent link: https://www.econbiz.de/10009622676

Adaptive wavelet Galerkin methods for linear inverse problems

Cohen, Albert; Hoffmann, Marc; Reiß, Markus - 2002

We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...

Persistent link: https://www.econbiz.de/10009624840

Real estate valuation according to standardized methods : an empirical analysis

Schulz, Rainer - 2002

Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...

Persistent link: https://www.econbiz.de/10009625798

A state space model for Berlin house prices

Schulz, Rainer; Werwatz, Axel - 2001

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Persistent link: https://www.econbiz.de/10009614878

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