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Estimating multiplicative and additive hazard functions by kernel methods
Linton, Oliver; Perch Nielsen, Jens; van de Geer, Sara - London School of Economics (LSE) - 2001
right censoring. Our procedures are based on kernels and on the idea of marginal integration. We provide a central limit …
Persistent link: https://www.econbiz.de/10010745292
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Studentization in Edgworth expansions for estimates of semiparametric index models
Nishiyama, Y; Robinson, Peter - London School of Economics (LSE) - 1999
We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.
Persistent link: https://www.econbiz.de/10010928726
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Edgeworth expansions for semiparametric averaged derivatives
Nishiyama, Y; Robinson, Peter M. - London School of Economics (LSE) - 1999
A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged derivative estimates of single index models. The leading term that corrects the normal limit varies in magnitude, depending on the choice of bandwidth and kernel order. In general...
Persistent link: https://www.econbiz.de/10011071403
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Nonparametric estimation with aggregated data
Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2000
We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from different families be in dependent. We establish consistency and asymptotic...
Persistent link: https://www.econbiz.de/10010928627
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A nonparametric regression estimator that adapts to error distribution of unknown form
Linton, Oliver; Xiao, Zhijie - London School of Economics (LSE) - 2001
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...
Persistent link: https://www.econbiz.de/10010745013
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Nonparametric censored and truncated regression
Lewbel, Arthur; Linton, Oliver - London School of Economics (LSE) - 2000
The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m …
Persistent link: https://www.econbiz.de/10010745070
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The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
Nishiyama, Yoshihiko; Robinson, Peter M. - London School of Economics (LSE) - 2005
In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of...
Persistent link: https://www.econbiz.de/10010745614
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Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach
Hodgson, Douglas J; Linton, Oliver; Vorkink, Keith - London School of Economics (LSE) - 2000
We develop new tests of the capital asset pricing model which are valid under the assumption that the distribution generating returns is elliptically symmetric; this assumption is necessary and sufficient for the validity of the CAPM. Our test is based on semiparametric efficient estimation...
Persistent link: https://www.econbiz.de/10010746304
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The spatial sorting and matching of skills and firms
Mion, Giordano; Naticchioni, Paolo - London School of Economics (LSE) - 2009
In this paper we make use of a matched employer-employee database for Italy to look at the spatial distribution of wages. Using this rich database we aim to open up the black box of agglomeration economies exploiting the micro dimension of interaction among economic agents, both individuals and...
Persistent link: https://www.econbiz.de/10010745274
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Identifying sorting: in theory
Eeckhout, Jan; Kircher, Philipp - London School of Economics (LSE) - 2011
Assortative Matching is positive or negative. Even though we cannot identify the sign of the sorting, we can identify the strength … worker is non-monotonic in the type of his employer. This is due to the fact that in a sorting model, wages re ect the … with the true type of the form. We then propose an alternative procedure that measures the strength of sorting in the …
Persistent link: https://www.econbiz.de/10010746670