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The specification of dynamic discrete-time two-state panel data models

Gørgens, Tue; Hyslop, Dean Robert - In: Econometrics : open access journal 7 (2019) 1/1, pp. 1-16

models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus … on transitions between states and typically allow for state-specific duration dependence. We show that the former … show that these restrictions are severely rejected against the more flexible multi-spell duration models. …

Persistent link: https://www.econbiz.de/10012025722

Functional-coefficient spatial Durbin models with nonparametric spatial weights : an application to economic growth

Koroglu, Mustafa; Sun, Yiguo - In: Econometrics : open access journal 4 (2016) 1, pp. 1-16

This paper considers a functional-coefficient spatial Durbin model with nonparametric spatial weights. Applying the series approximation method, we estimate the unknown functional coefficients and spatial weighting functions via a nonparametric two-stage least squares (or 2SLS) estimation...

Persistent link: https://www.econbiz.de/10011504611

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...

Persistent link: https://www.econbiz.de/10011506243

Testing symmetry of unknown densities via smoothing with the generalized gamma kernels

Hirukawa, Masayuki; Sakudo, Mari - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...

Persistent link: https://www.econbiz.de/10011506402

A joint specification test for response probabilities in unordered multinomial choice models

Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697

Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...

Persistent link: https://www.econbiz.de/10011410669

Interpretation and semiparametric efficiency in quantile regression under misspecification

Lee, Ying-ying - In: Econometrics : open access journal 4 (2016) 1, pp. 1-14

Allowing for misspecification in the linear conditional quantile function, this paper provides a new interpretation and the semiparametric efficiency bound for the quantile regression parameter β ( τ ) in Koenker and Bassett (1978). The first result on interpretation shows that under a...

Persistent link: https://www.econbiz.de/10011411323

Plug-in bandwidth selection for kernel density estimation with discrete data

Chu, Chi-yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics : open access journal 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that...

Persistent link: https://www.econbiz.de/10011296735

A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise

Zu, Yang - In: Econometrics : open access journal 3 (2015) 3, pp. 561-576

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

Persistent link: https://www.econbiz.de/10011297541

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011297654

An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

Persistent link: https://www.econbiz.de/10012805047

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