Showing 1 - 10 of 59
A semiparametric method is developed for estimating the dependence parameter and the joint distribution of the error term in the multivariate linear regression model. The nonparametric part of the method treats the marginal distributions of the error term as unknown, and estimates them by...
Persistent link: https://www.econbiz.de/10005125276
In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in Chernozhukov and Hong (2003) and Creel and Kristensen (2011) and that combines simulation with nonparametric regression in the...
Persistent link: https://www.econbiz.de/10011093867
This paper presents a Markov chain Monte Carlo (MCMC) algorithm to estimate parameters and latent stochastic processes in the asymmetric stochastic volatility (SV) model, in which the Box-Cox transformation of the squared volatility follows an autoregressive Gaussian distribution and the...
Persistent link: https://www.econbiz.de/10005149031
We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its consistency and asymptotic normality in the interior of the observed data and obtain its rates of convergence. This result is used to obtain practical direct plug-in bandwidth...
Persistent link: https://www.econbiz.de/10005149087
A semiparametric model is proposed in which a parametric filtering of a non-stationary time series, incorporating fractionally differencing with short memory correction, removes correlation but leaves a nonparametric deterministic trend. Estimates of the memory parameter and other dependence...
Persistent link: https://www.econbiz.de/10010702336
This research proposes that, in cases where threshold covariates are either unavailable or difficult to observe, practitioners should treat these characteristics as latent, and use simulated maximum likelihood techniques to control for them. Two econometric frameworks for doing so in a more...
Persistent link: https://www.econbiz.de/10010860407
We study methods for constructing confidence intervals, and confidence bands, for estimators of receiver operating characteristics. Particular emphasis is placed on the way in which smoothing should be implemented, when estimating either the characteristic itself or its variance. We show that...
Persistent link: https://www.econbiz.de/10005427623
Poskitt and Skeels (2003) provide a new approximation to the sampling distribution of the IV estimator in a simultaneous equations model, the approximation is appropriate when the concentration parameter associated with the reduced form model is small. A basic purpose of this paper is to provide...
Persistent link: https://www.econbiz.de/10005427639
Statistical models can play a crucial role in decision making. Traditional model validation tests typically make restrictive parametric assumptions about the model under the null and the alternative hypotheses. The majority of these tests examine one type of change at a time. This paper presents...
Persistent link: https://www.econbiz.de/10011141012
In the absence of uniformly most powerful (UMP) tests or uniformly most powerful invariant (UMPI) TESTS, King (1987c) suggested the use of Point Optimal (PO) tests, which are most powerful at a chosen point under the alternative hypothesis. This paper surveys the literature and major...
Persistent link: https://www.econbiz.de/10011262823