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An adaptive, rate-optimal test of a parametric model against a nonparametric alternative

Horowitz, Joel; Spokojnyj, Vladimir G. - 1999

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

Persistent link: https://www.econbiz.de/10009579179

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

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

Non-uniformity of job-matching in a transition economy : a nonparametric analysis for the Czech Republic

Profit, Stefan; Sperlich, Stefan - 1998

We consider problems in modelling job-matching in the Czech Republic during the transition to a market economy. Special interest is devoted to functional form considerations and the analysis of returns to scale of the matching function. This explorative study aims to shed some light into the...

Persistent link: https://www.econbiz.de/10009574874

Neoclassical convergence versus technological catch-up : a contribution for reaching a consensus

Desdoigts, Alain - 2000

New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics. Formal statistical hypothesis tests allow us to discriminate between two competing growthmodels: (i) the standard neoclassical growth model...

Persistent link: https://www.econbiz.de/10009583880

Job stability trends and labor market (re-)entry in West Germany 1984 - 1997

Mertens, Antje - 1999

termination. -- job stability ; labor mobility ; duration analysis …

Persistent link: https://www.econbiz.de/10009580458

Modeling the learning from repeated samples : a generalized cross entropy approach

Bernardini Papalia, Rosa (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919508

Alternative GMM methods for nonlinear panel data models

Breitung, Jörg; Lechner, Michael - 1998

Persistent link: https://www.econbiz.de/10009578574

Hazard regression

Grund, Birgit; Yang, Lijian - 1999

Persistent link: https://www.econbiz.de/10009581089

Semiparametric lack-of-fit tests in an additive hazard regression model

Grund, Birgit; Polzehl, Jörg - 1999

In the semiparametric additive hazard regression model of McKeague and Sasieni (1994), the hazard contributions of some covariates are allowed to change over time, without parametric restrictions (Aalen model), while the contributions of other covariates are assumed to be constant. In this...

Persistent link: https://www.econbiz.de/10009582408