Showing 1 - 10 of 10
This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other weather outcomes over the last century. We work with the monthly averaged maximum and minimum temperatures observed at the twenty six Meteorological Office stations. The data is...
Persistent link: https://www.econbiz.de/10015221224
This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other weather outcomes over the last century. We work with the monthly averaged maximum and minimum temperatures observed at the twenty six Meteorological Office stations. The data is...
Persistent link: https://www.econbiz.de/10008552815
semiparametric dimension-reduction schemes. Numerical studies including both simulation and an empirical application are provided to …
Persistent link: https://www.econbiz.de/10013002099
factors. We provide a simulation study that illustrates the finite-sample performance of the developed methodology. We also …
Persistent link: https://www.econbiz.de/10012915138
Local linear fitting is a popular nonparametric method in nonlinear statistical and econometric modelling. Lu and Linton (2007) established the point wise asymptotic distribution (central limit theorem) for the local linear estimator of nonparametric regression function under the condition of...
Persistent link: https://www.econbiz.de/10013135542
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,▁X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These...
Persistent link: https://www.econbiz.de/10013148183
a consistent variance estimator. A simulation study to evaluate small sample performance is reported. We also apply our …
Persistent link: https://www.econbiz.de/10012771032
given market. We allow for three sources of error: the sampling error in estimating market shares, the simulation error in … estgimator is normal provided the size of the consumer sample and the number of simulation draws grow at a large enough rate …
Persistent link: https://www.econbiz.de/10012771052
We investigate a class of semiparametric ARCH(infinity) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We show that...
Persistent link: https://www.econbiz.de/10014073771
asymptotically mixed normal. Simulation evidence provided …
Persistent link: https://www.econbiz.de/10013246199