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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
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A Computational Implementation of GMM
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
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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
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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
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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
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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
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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
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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
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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
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Semi-Parametric Single-Index Predictive Regression Models with Cointegrated Regressors
Zhou, Weilun - 2020
This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear … stationarity properties of asset returns but also avoids the curse of dimensionality associated with non-parametric regression … and the linear predictive regression model …
Persistent link: https://www.econbiz.de/10012822931