Showing 1 - 10 of 191
We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series....
Persistent link: https://www.econbiz.de/10013148980
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. For these models it is often difficult to verify...
Persistent link: https://www.econbiz.de/10013055963
This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears...
Persistent link: https://www.econbiz.de/10013159222
This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is...
Persistent link: https://www.econbiz.de/10013031988
We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully...
Persistent link: https://www.econbiz.de/10014203070
This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem characterized by an integral transform. A new density estimator for the random coefficients is developed,...
Persistent link: https://www.econbiz.de/10014204704
A system of vector semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are strictly exogenous and represent...
Persistent link: https://www.econbiz.de/10013138227
Nonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes...
Persistent link: https://www.econbiz.de/10013127382
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. The technique is nonparametric and seeks to decompose a time series into a trend and a cyclical component unaided by economic theory or prior trend specification. Like all...
Persistent link: https://www.econbiz.de/10012863611
Nielsen (2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a co-explosive system extension and an illustrative example that helps to explain the finding, gives a...
Persistent link: https://www.econbiz.de/10014187185