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Gao, Jiti; Hong, Han - Department of Econometrics and Business Statistics, … - 2014

combines simulation with nonparametric regression in the computation of GMM models. We provide formal conditions under which … this setting, local linear kernel regression methods have theoretical advantages over local kernel methods that are also …

Persistent link: https://www.econbiz.de/10011093867

A Computational Implementation of GMM

Gao, Jiti; Hong, Han - 2015

models, that is motivated by the ideas proposed in the literature that combines simulation with nonparametric regression in … demonstrate the validity of the use of posterior quantiles. We also show that in this setting, local linear regression methods …

Persistent link: https://www.econbiz.de/10014141979

Specification Testing in Nonstationary Time Series Models

Chen, Jia; Gao, Jiti; Li, Degui; Lin, Zhengyan - Department of Economics and Related Studies, University … - 2014

. In order to implement the proposed test in practice, we introduce a bootstrap procedure to approximate the critical …

Persistent link: https://www.econbiz.de/10010932928

Nonparametric Specification Testing in Nonlinear and Nonstationary Time Series Models : Theory and Practice

Chen, Jia - 2013

propose using a nonparametric kernel test for specifying whether the regression function is of a known parametric nonlinear … computer-intensive bootstrap simulation procedure is introduced and asymptotic approximations for both the size and power …

Persistent link: https://www.econbiz.de/10013084965

Model Specification Testing for Nonlinear Multivariate Cointegrating Regressions

Dong, Chaohua - 2016

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...

Persistent link: https://www.econbiz.de/10013006720

Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models

Cheng, Tingting - 2013

to simultaneously estimate the bandwidths for local linear estimators in the regression function and the bandwidth for …-density assumption is a data-driven choice and helps gain robustness in terms of different specification of the true error density …

Persistent link: https://www.econbiz.de/10013086871

Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects

Xu, Ruofan; Gao, Jiti; Oka, Tatsushi; Whang, Yoon-jae - 2022

We study the estimation of heterogeneous effects of group-level policies, using quantile regression with interactive …

Persistent link: https://www.econbiz.de/10014079207

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Li, Degui - 2013

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression …

Persistent link: https://www.econbiz.de/10013072455

Functional Coefficient Nonstationary Regression

Gao, Jiti - 2013

the conduct of semiparametric regression with nonstationary data. The results include some new asymptotic theory for …

Persistent link: https://www.econbiz.de/10013075943

Nonparametric kernel estimation of the impact of tax policy on the demand for private health insurance in Australia

Gong, Xiaodong; Gao, Jiti - 2015

-convolution kernel estimator for the location and size of regression discontinuities. We also propose a bootstrapping procedure for …

Persistent link: https://www.econbiz.de/10011309141