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Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

Persistent link: https://www.econbiz.de/10009578570

Error reduction in density estimation under shape restrictions

Rychlik, Tomasz - 1999

For the problems of nonparametric estimation of nonincreasing and symmetric unimodal density functions with bounded … density classes satisfying some general moment conditions. The method of projections reduces the estimation errors for all … properties of the parent densities. -- error reduction ; Nonparametric density estimation ; monotone density ; symmetric unimodal …

Persistent link: https://www.econbiz.de/10009579180

Asymptotic normality of parametric part in partially linear models with measurement error in the nonparametric part

Liang, Hua - 1997

We consider the partially linear model relating a response Y to predictors (X,T) with mean function XT β + g(T) when the T's are measured with additive error. We derive an estimator of β by modification local-likelihood method. The resulting estimator of β is shown to be asymptotically...

Persistent link: https://www.econbiz.de/10009657894

Errors in variables models

Liang, Hua - 1999

Persistent link: https://www.econbiz.de/10009581095

Theoretical properties of two estimators in partially linear single-index measurement error models

Liang, Hua; Wang, Naisyin - 1999

Considering partially linear single-index errors-in-variables model which can be described as Y = n(X T a) + ZT ßo + e when the Z' s are measured with additive errors. The general estimators established in literature are biased when ignoring the measurement errors. We proposed two estimators in...

Persistent link: https://www.econbiz.de/10009582402

Cai, Zongwu (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919034

Design aspects of calibration studies in nutrition, with analysis of missing data in linear measurement error models

Carroll, Raymond J.; Freedman, Laurence; Pee, David - 1997

Motivated by an example in nutritional epidemiology, we investigate some design and analysis aspects of linear measurement error models with missing surrogate data. The specific problem investigated consists of an initial large sample in which the response (a food frequency questionnaire, FFQ)...

Persistent link: https://www.econbiz.de/10009631748

Nonparametric kernel and regression spline estimation in the presence of measurement error

Maca, J. D.; Carroll, Raymond J.; Ruppert, David - 1997

techniques, regression splines and kernel estimation, of which both can be used in the presence of measurement error. Within the … ; Bandwidth Selection ; Regression Splines ; Sandwich Estimation …

Persistent link: https://www.econbiz.de/10009631749

Polynomial regression and estimation function in the presence of multiplication measurement error, with application to nutrition

Iturria, Stephen J.; Carroll, Raymond J.; Firth, David - 1997

In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...

Persistent link: https://www.econbiz.de/10009631750

Measurement error, biases, and the validation of complex models

Carroll, Raymond J.; Galindo, Christian D. - 1997

There are three major points to this article: 1. Measurement error causes biases in regression fits. The line one would obtain if one could accurately measure exposure to environmental lead media will differ in important ways when one measures exposure with error. 2. The effects of measurement...

Persistent link: https://www.econbiz.de/10009631751

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