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Confidence Corridors for Multivariate Generalized Quantile Regression
Chao, Shih-Kang; Proksch, Katharina; Dette, Holger; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
coverage for small sample sizes, a simple bootstrap procedure is designed based on the leading term of the Bahadur … demonstrated that the bootstrap procedure considerably outperforms the asymptotic bands in terms of coverage accuracy. Finally, the … bootstrap confidence corridors are used to study the efficacy of the National Supported Work Demonstration, which is a …
Persistent link: https://www.econbiz.de/10010772306
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Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines
Chen, Haiqiang; Fang, Ying; Li, Yingxing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...
Persistent link: https://www.econbiz.de/10011277263
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Testing Missing at Random using Instrumental Variables
Breunig, Christoph - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...
Persistent link: https://www.econbiz.de/10011212947
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Measuring the impact of critical incidents on brand personality
Tischer, Sven - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
To evaluate how occurring critical incidents change customer perceptions of brand personality, this study measures the impact on the basis of an online experiment. For this purpose, 1,132 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different...
Persistent link: https://www.econbiz.de/10010607135
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Brand equity – how is it affected by critical incidents and what moderates the effect
Tischer, Sven; Hildebrandt, Lutz - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
To explore how occurring critical incidents affect customer-brand relations, this study measures the impact on the basis of an online experiment. For this purpose, 1,122 usable responses are gathered considering the smartphone brands of Apple and Nokia as well as different scenarios. The...
Persistent link: https://www.econbiz.de/10011277261
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itˆo semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...
Persistent link: https://www.econbiz.de/10011277298
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Robust Estimation and Inference for Threshold Models with Integrated Regressors
Chen, Haiqiang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper studies the robust estimation and inference of threshold models with integrated regres- sors. We derive the asymptotic distribution of the profiled least squares (LS) estimator under the diminishing threshold effect assumption that the size of the threshold effect converges to zero....
Persistent link: https://www.econbiz.de/10010678251
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Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...
Persistent link: https://www.econbiz.de/10010691293
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Sharp deviation bounds for quadratic forms
Spokoiny, Vladimir; Zhilova, Mayya - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector Xi with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The results are stated under general conditions and do not suppose...
Persistent link: https://www.econbiz.de/10011277270
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Testing Multiplicative Error Models Using Conditional Moment Tests
Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We suggest a robust form of conditional moment test as a constructive test for func- tional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....
Persistent link: https://www.econbiz.de/10005652786