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Local polynomial regression with truncated or censored response
Karlsson, Maria; Cantoni, Eva; de Luna, Xavier - 2009
Truncation or censoring of the response variable in a regression model is a problem in many applications, e.g. when the response is insurance claims or the durations of unemployment spells. We introduce a local polynomial regression estimator which can deal with such truncated or censored...
Persistent link: https://www.econbiz.de/10010273938
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Treatment evaluation in the case of interactions within markets
Ferracci, Marc; Jolivet, Grégory; van den Berg, Gerard J. - 2010
We extend the standard evaluation framework to allow for interactions between individuals within segmented markets. An individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of treatments in his market. To evaluate how the distribution...
Persistent link: https://www.econbiz.de/10010273977
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Identifying the returns to lying when the truth is unobserved
Hu, Yingyao; Lewbel, Arthur - 2007
Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...
Persistent link: https://www.econbiz.de/10010277518
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Nonparametric learning rules from bandit experiments: The eyes have it!
Hu, Yingyao; Kayaba, Yutaka; Shum, Matt - 2010
How do people learn? We assess, in a distribution-free manner, subjects' learning and choice rules in dynamic two-armed bandit (probabilistic reversal learning) experiments. To aid in identification and estimation, we use auxiliary measures of subjects' beliefs, in the form of their...
Persistent link: https://www.econbiz.de/10010277527
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Empirical likelihood in count data models: The case of endogenous regressors
Boes, Stefan - 2004
Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper...
Persistent link: https://www.econbiz.de/10010315608
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Covariate selection for non-parametric estimation of treatment effects
DeLuna, Xavier; Waernbaum, Ingeborg - 2005
In observational studies, the non-parametric estimation of a binary treatment effect is often performed by matching each treated individual with a control unit which is similar in observed characteristics (covariates). In practical applications, the reservoir of covariates available may be...
Persistent link: https://www.econbiz.de/10010317922
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Uniform bias study and Bahadur representation for local polynomial estimators of the conditional quantile function
Guerre, Emmanuel; Sabbah, Camille - 2009
This paper investigates the bias and the Bahadur representation of a local polynomial estimator of the conditional quantile function and its derivatives. The bias and Bahadur remainder term are studied uniformly with respect to the quantile level, the covariates and the smoothing parameter. The...
Persistent link: https://www.econbiz.de/10010280769
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …
Persistent link: https://www.econbiz.de/10010282869
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Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
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Measuring Integrated Variance with Extreme-Value based Estimators
Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006
various assumptions about the underlying price process including large drifts, stochastic volatility with leverage effects and … futures data sampled at a 5-minute frequency. A state-space framework reveals the latent stochastic volatility process and …
Persistent link: https://www.econbiz.de/10005858502