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High Dimensional Semiparametric Moment Restriction Models
Dong, Chaohua - 2018
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...
Persistent link: https://www.econbiz.de/10012932681
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A Quantilogram Approach to Evaluating Directional Predictability
Linton, Oliver B.; Whang, Yoon-Jae - 2004
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...
Persistent link: https://www.econbiz.de/10014073928
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The Cross-Quantilogram : Measuring Quantile Dependence and Testing Directional Predictability between Time Series
Han, Heejoon - 2014
nuisance parameters. To construct consistent confidence intervals we employ the stationary bootstrap procedure; we show the … consistency of this bootstrap. Also, we consider the self-normalized approach, which is shown to be asymptotically pivotal under … cross-quantilogram to detect predictability from stock variance to excess stock return. Compared to existing tools used in …
Persistent link: https://www.econbiz.de/10013062560
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Nonparametric Estimation of a Polarization Measure
Anderson, Gordon; Linton, Oliver B.; Whang, Yoon-Jae - 2009
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...
Persistent link: https://www.econbiz.de/10014206206
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An Improved Bootstrap Test of Stochastic Dominance
Linton, Oliver B.; Song, Kyungchul; Whang, Yoon-Jae - 2009
We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap … the variables are allowed to be residuals from nonparametric and semiparametric models. The proposed bootstrap tests have … in general. The improvement stems from the design of the bootstrap test whose limiting behavior mimics the discontinuity …
Persistent link: https://www.econbiz.de/10014206207
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A Smoothed Least Squares Estimator for Threshold Regression Models
Linton, Oliver B. - 2008
standard errors or standard bootstrap for the threshold parameters themselves. We compare our con dence intervals with those of …
Persistent link: https://www.econbiz.de/10012770910
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An Almost Closed Form Estimator for the EGARCH Model
Hafner, Christian - 2015
The exponential GARCH (EGARCH) model introduced by Nelson (1991) is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference is usually done via maximum likelihood....
Persistent link: https://www.econbiz.de/10013036557
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Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case
Hafner, Christian - 2018
We propose a Kronecker product model for correlation or covariance matrices in thelarge dimensional case. The number of parameters of the model increases logarithmicallywith the dimension of the matrix. We propose a minimum distance (MD) estimator basedon a log-linear property of the model, as...
Persistent link: https://www.econbiz.de/10012936141
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Consistent Testing for Stochastic Dominance : A Subsampling Approach
Linton, Oliver B.; Maasoumi, Esfandiar; Whang, Yoon-Jae - 2003
We study a very general setting, and propose a procedure for estimating the critical values of the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance due to McFadden (1989) in the general k-prospect case. We allow for the observations to be generally serially...
Persistent link: https://www.econbiz.de/10014119623
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Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary
Linton, Oliver B. - 2009
We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or … results show that our tests are indeed more powerful than the existing subsampling and recentered bootstrap …
Persistent link: https://www.econbiz.de/10013159967