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Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2008

The main uniform convergence results of Hansen (2008) are generalized in two directions: Data is allowed to (i) be heterogenously dependent and (ii) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems involving time-inhomogenous models...

Persistent link: https://www.econbiz.de/10005440077

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Kristensen, Dennis; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2010

In this paper, we consider a general class of vector error correction models which allow for asymmetric and non …-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General … of new (uniform) weak convergence results. These results are potentially useful in general for analysis of non …

Persistent link: https://www.econbiz.de/10008677954

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Kanaya, Shin; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen (2010, Econometric Theory 26). In the second step, standard estimation methods for fully observed diffusion...

Persistent link: https://www.econbiz.de/10008677955

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Kristensen, Dennis; Shin, Yongseok - School of Economics and Management, University of Aarhus - 2008

efficient. NPSML is applicable to general classes of models and is easy to implement in practice. …

Persistent link: https://www.econbiz.de/10005114113

Testing Conditional Factor Models

Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009

We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor...

Persistent link: https://www.econbiz.de/10005198853