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Phillips, Peter C.B.; Sun, Yixiao; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2005

Employing power kernels suggested in earlier work by the authors (2003), this paper shows how to re.ne methods of robust inference on the mean in a time series that rely on families of untruncated kernel estimates of the long-run parameters. The new methods improve the size properties of...

Persistent link: https://www.econbiz.de/10005464005

Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2008

We propose non-nested hypotheses tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

Persistent link: https://www.econbiz.de/10005464018

Threshold Regression with Endogeneity

Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

models in treatment effects evaluation in the presence of endogeneity. …

Persistent link: https://www.econbiz.de/10011096433

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Li, Degui; Phillips, Peter C.B.; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...

Persistent link: https://www.econbiz.de/10010817211

Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression

Chen, Xiaohong; Christensen, Timothy - Cowles Foundation for Research in Economics, Yale University - 2013

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Persistent link: https://www.econbiz.de/10010817225

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C.B.; Li, Degui; Gao, Jiti - Cowles Foundation for Research in Economics, Yale University - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

Persistent link: https://www.econbiz.de/10010895635

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

This paper studies a general class of nonlinear varying coefficient time series models with possible nonstationarity in both the regressors and the varying coffiecient components. The model accommodates a cointegrating structure and allows for endogeneity with contemporaneous correlation among...

Persistent link: https://www.econbiz.de/10010895669

Identification and Estimation in Two-Sided Matching Markets

Agarwal, Nikhil; Diamond, William - Cowles Foundation for Research in Economics, Yale University - 2013

We study estimation and non-parametric identification of preferences in two-sided matching markets using data from a … other that does not use information available in many-to-one matching. We also prove consistency of a method of moments … estimator for a parametric model under a data generating process in which the size of the matching market increases, but data …

Persistent link: https://www.econbiz.de/10010895674

Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2002

The local Whittle (or Gaussian semiparametric) estimator of long range dependence, proposed by Kunsch (1987) and analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this paper, we generalize the local Whittle estimator to...

Persistent link: https://www.econbiz.de/10004990777

Regression Asymptotics Using Martingale Convergence Methods

Ibragimov, Rustam; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2004

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and...

Persistent link: https://www.econbiz.de/10004990794