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A score-driven filter for causal regression models with time-varying parameters and endogenous regressors
Blasques, Francisco; Stegehuis, Noah - 2024
in the presence of regressor endogeneity which may arise as a result of simultaneity, omitted variables, or measurement …
Persistent link: https://www.econbiz.de/10014496538
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
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Non-parametric estimation for non-homogeneous Semi-Markov processes: an application to credit bank
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
Persistent link: https://www.econbiz.de/10003300926
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A nonparametric method for predicting survival probabilities
Klaauw, Bas van der; Vriend, Sandra - 2015
Public programs often use statistical profiling to assess the risk that applicants will become long-term dependent on the program. The literature uses linear probability models and (Cox) proportional hazard models to predict duration outcomes. These either focus on one threshold duration or...
Persistent link: https://www.econbiz.de/10011391532
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Identifying reduced-form relations with panel data
Vollebergh, Herman R. J.; Melenberg, Bertrand; … - 2007 - This version: September 13, 2007
The literature that tests for U-shaped relationships using panel data, such as those between pollution and income or inequality and growth, reports widely divergent (parametric and non-parametric) empirical findings. We explain why lack of identification lies at the root of these differences. To...
Persistent link: https://www.econbiz.de/10011372978
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Mean and bold?
De Witte, Kristof; Dijkgraaf, Elbert - 2007
The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly, in 1997, the sector association started with a voluntary benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly, merger activity arose. This paper develops a tailored...
Persistent link: https://www.econbiz.de/10011373828
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
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Estimating firms' demand for agglomeration
Koster, Hans; Ommeren, Jos van; Rietveld, Piet - 2010
nonparametric control function approach that corrects for endogeneity. The results show that agglomeration benefits are capitalised …
Persistent link: https://www.econbiz.de/10011381817
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Kernel-smoothed conditional quantiles of correlated bivariate discrete data
Gooijer, Jan G. de; Yuan, Ao - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the … results show excellent estimation accuracy in terms of bias, mean squared error, and confidence interval coverage. Typically …)conditional quantile kernel estimation of multivariate data. With this in mind, we illustrate the proposed methodology with an application …
Persistent link: https://www.econbiz.de/10011382707
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Robust inference for non-Gaussian SVAR models
Hoesch, Lukas; Lee, Adam; Mesters, Geert - 2022
identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification. …
Persistent link: https://www.econbiz.de/10013417421