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Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10009736613
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Specification Testing of Production in a Stochastic Frontier Model
Guo, Xu - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …
Persistent link: https://www.econbiz.de/10012944869
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Specification testing of production in a stochastic frontier model
Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …
Persistent link: https://www.econbiz.de/10011739112
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Implied volatility string dynamics
Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003
A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...
Persistent link: https://www.econbiz.de/10010310798
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Normal Reference Bandwidths for the General Order, Multivariate Kernel Density Derivative Estimator
Henderson, Daniel J.; Parmeter, Christopher F. - Department of Economics, School of Business - 2011
This note derives the general form of the approximate mean integrated squared error for the q-variate, th-order kernel density r th derivative estimator. This formula allows for normal reference rule-of-thumb bandwidths to be derived. We give tables for some of the most common cases in the...
Persistent link: https://www.econbiz.de/10009367485
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Long-term forecasts of age-specific labour market participation rates with functional data models
Url, Thomas; Hyndman, Rob J.; Dokumentov, Alexander - 2016
Many countries have implemented social programmes providing long-term financial or in-kind entitlements. These programmes often focus on specific age-groups and consequently their expenditure streams are subject to demographic change. Given the strains already existing on public budgets,...
Persistent link: https://www.econbiz.de/10011630389
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Weighted Kernel regression
Delicado, Pedro; Rio, Manuel del - Department of Economics and Business, Universitat … - 1996
In the fixed design regression model, additional weights are considered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators. We study their asymptotic behavior and the relationships between new and classical estimators. For a simple family of weights, and considering the IMSE as...
Persistent link: https://www.econbiz.de/10005772276
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Trend Extraction From Time Series With Missing Observations
Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem.
Persistent link: https://www.econbiz.de/10005187274
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Trend Extraction From Time Series With Structural Breaks
Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...
Persistent link: https://www.econbiz.de/10005187327
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Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010420341