Showing 1 - 10 of 49
In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions … respect to different education levels. -- Bootstrap ; Quantile Regression ; Confidence Bands ; Nonparametric Fitting ; Kernel …
Persistent link: https://www.econbiz.de/10003952788
This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The ….1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with … specifications of the Conditionally Autoregressive VaR (CAViaR) models. -- Value at Risk ; nonparametric quantile regression ; risk …
Persistent link: https://www.econbiz.de/10003952845
A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is … completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each …. Simulations for different univariate median regression models show good finite sample properties, also in comparison to …
Persistent link: https://www.econbiz.de/10009125532
as well as quantile regression to weather risk indicators that are relevant from the viewpoint of agricultural production …
Persistent link: https://www.econbiz.de/10009379509
This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non-stationary regressors. It … applicable nonparametric estimation technique before. Additive regression allows to circumvent the usual nonparametric curse of …
Persistent link: https://www.econbiz.de/10009379521
prior distributions such as a normal distribution or a Laplace distribituion for regression coefficients, which may be … suitable for median regression and exhibit no robustness to outliers. This paper develops a quantile regression on linear panel …
Persistent link: https://www.econbiz.de/10010253468
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
likelihood ratio test statistic for checking the stability of the regression coefficients. We derive both the exact and the …
Persistent link: https://www.econbiz.de/10009767261
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/10009767269
We consider a varying coefficient regression model for sparse functional data, with time varying response variable …
Persistent link: https://www.econbiz.de/10010225740