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partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We …
Persistent link: https://www.econbiz.de/10008838734
heteroscedasticity. We also extend the estimator to the nonparametric truncated regression model, in which only uncensored data points …
Persistent link: https://www.econbiz.de/10005310378
In semiparametric binary response models, support conditions on the regressors are required to guarantee point … these semiparametric models when the continuous support condition is not satisfied and all regressors have discrete support …
Persistent link: https://www.econbiz.de/10010658810
In semiparametric binary response models, support conditions on the regressors are required to guarantee point … these semiparametric models when the continuous support condition is not satisfied and all regressors have discrete support …
Persistent link: https://www.econbiz.de/10010559864
An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross … are covered, and conditional heteroscedasticity is allowed. …
Persistent link: https://www.econbiz.de/10011003914
heteroscedasticity. A simple nonparametric estimate is shown to be dominated by a GLS-type one. Asymptotically optimal bandwidth choices …
Persistent link: https://www.econbiz.de/10011003916
A new way of constructing efficient semiparametric instrumental variableestimators is proposed. The method involves the …
Persistent link: https://www.econbiz.de/10008838716
results of this paper will beof widely potential interest in time series semiparametric modelling. …
Persistent link: https://www.econbiz.de/10008838720
This paper develops methodology for nonparametric estimation of apolarization measure due to Anderson (2004) and Anderson, Ge, and Leo(2006) based on kernel estimation techniques. We give the asymptoticdistribution theory of our estimator, which in some cases is nonstandard dueto a boundary...
Persistent link: https://www.econbiz.de/10008838731
Efficient semiparametric and parametric estimates are developed for aspatial autoregressive model, containing …
Persistent link: https://www.econbiz.de/10005151138