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Efficient estimation of conditional risk measures in a semiparametric GARCH model
Yan, Yang; Shang, Dajing; Linton, Oliver - 2012
This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment …
Persistent link: https://www.econbiz.de/10009620388
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Nonparametric stochastic discount factor decomposition
Christensen, Timothy - 2015
We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the stochastic discount factor (SDF) in dynamic Markov environments. The approach is nonparametric in that it does not impose parametric restrictions on the law of motion of the...
Persistent link: https://www.econbiz.de/10010532537
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Nonparametric identification of positive eigenfunctions
Christensen, Timothy M. - 2014 - Rev. August 2014
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models....
Persistent link: https://www.econbiz.de/10010403496
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Random coefficients in static games of complete information
Dunker, Fabian; Hoderlein, Stefan; Kaido, Hiroaki - 2013
Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...
Persistent link: https://www.econbiz.de/10009725714
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on … is totally unspeci.ed whereas the short-run conditional volatility is a parametric semi-strong GARCH (1,1) process. We … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long …
Persistent link: https://www.econbiz.de/10009719116
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010336485
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Additive nonparametric models with time variable and both stationary and nonstationary regressions
Dong, Chaohua; Linton, Oliver - 2017
This paper considers nonparametric additive models that have a deterministic time trend and both stationary and integrated variables as components. The diverse nature of the regressors caters for applications in a variety of settings. In addition, we extend the analysis to allow the stationary...
Persistent link: https://www.econbiz.de/10011775349
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Conditional quantile processes based on series or many regressors
Belloni, Alexandre; Chernozhukov, Victor; … - 2011
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its functionals. In this paper we develop the nonparametric QR series framework, covering many regressors as a special...
Persistent link: https://www.econbiz.de/10009153247
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Understanding the effect of measurement error on quantile regressions
Chesher, Andrew - 2017
The impact of measurement error in explanatory variables on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related. A key factor is the distribution of the...
Persistent link: https://www.econbiz.de/10011644163
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Inference on counterfactual distributions
Chernozhukov, Victor; Fernández-Val, Iván; Melly, Blaise - 2013
Counterfactual distributions are important ingredients for policy analysis and decomposition analysis in empirical economics. In this article we develop modeling and inference tools for counterfactual distributions based on regression methods. The counterfactual scenarios that we consider...
Persistent link: https://www.econbiz.de/10009741375