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Nonstandard Estimation of Inverse Conditional Density-Weighted Expectations
Goh, Chuan - University of Toronto, Department of Economics - 2009
This paper is concerned with the semiparametric estimation of function means that are scaled by an unknown conditional … procedure proposed here to a semiparametric binary-choice model are suggestive of good small-sample performance. …
Persistent link: https://www.econbiz.de/10008566421
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Parametric and Semiparametric Estimation of the Adoption of Work Teams
Nandi, Tushar Kanti - Dipartimento di Economia Politica e Statistics, … - 2006
parametric and semiparametric estimation methods are used to estimate the association of these factors with team adoption. A … assumption of the parametric probit model. The semiparametric estimates show that trade union density is not associated with team …
Persistent link: https://www.econbiz.de/10005704503
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Efficient Estimation of a Multivariate Multiplicative Volatility Model
Hafner, Christian M.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009
partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We …
Persistent link: https://www.econbiz.de/10008838734
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Let's get LADE: Robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …
Persistent link: https://www.econbiz.de/10010318677
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Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009
A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …
Persistent link: https://www.econbiz.de/10008527073
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Semiparametric Modelling and Estimation: A Selective Overview
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009
Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they … developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators … increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and …
Persistent link: https://www.econbiz.de/10008506834
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …
Persistent link: https://www.econbiz.de/10008462024
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The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series
Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997
This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...
Persistent link: https://www.econbiz.de/10005593525
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Nonparametric Censored Regression
Lewbel, Arthur; Linton, Oliver Linton - Cowles Foundation for Research in Economics, Yale University - 1998
The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown, but the fixed censoring point c is known. This paper provides a simple consistent estimator of the derivative of m(x) with respect to each...
Persistent link: https://www.econbiz.de/10005593534
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Efficient Regression in Time Series Partial Linear Models
Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002
This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...
Persistent link: https://www.econbiz.de/10005593565