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A powerful tuning parameter free test of the autoregressive unit root hypothesis
Nielsen, Morten - 2008
This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing … nonparametric test is relatively close to the parametric power envelope, particularly in the case with a linear timetrend …
Persistent link: https://www.econbiz.de/10010292072
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On Conditional Density Estimation
de Gooijer, Jan G.; Zerom, Dawit - 2002
With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...
Persistent link: https://www.econbiz.de/10010324908
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Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
de Gooijer, Jan G.; Yuan, Ao - 2011
from this basic requirement by presenting an algorithm for nonparametric estimation of conditional quantiles when both the …
Persistent link: https://www.econbiz.de/10010325868
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On the Phase Dependence in Time-Varying Correlations Between Time-Series
Blasques, Francisco - 2013
This paper proposes the use of a double correlation coefficient as a nonpara- metric measure of phase-dependence in time-varying correlations. An asymp- totically Gaussian test statistic for the null hypothesis of no phase-dependence is derived from the proposed measure. Finite-sample...
Persistent link: https://www.econbiz.de/10010326284
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Nonparametric estimation of a compensating variation: The cost of disability
Hancock, Ruth; Morciano, Marcello; Pudney, Stephen - 2013
We propose a nonparametric matching approach to estimation of implicit costs based on the compensating variation (CV …. We compare the nonparametric approach with the standard parametric method, finding that the latter tends to generate … large overestimates unless conditions are ideal. The nonparametric approach has much to recommend it. …
Persistent link: https://www.econbiz.de/10010331240
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Identification and estimation of preference distributions when voters are ideological
Merlo, Antoine; de Paula, Áureo - 2013
This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological …
Persistent link: https://www.econbiz.de/10010368181
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On the identification of structural linear functionals
Escanciano, Juan Carlos; Li, Wei - 2013
This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified …
Persistent link: https://www.econbiz.de/10010368214
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Estimating nonlinear intergenerational income mobility with correlation curves
Nilsson, Jan Olof William - 2018
A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income status is related between parents and adult child. The method overcomes the shortcomings of the elasticity of children's income with respect to parents' income (i.e. its...
Persistent link: https://www.econbiz.de/10011896809
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Specification Testing in Random Coefficient Models
Breunig, Christoph; Hoderlein, Stefan - 2018
. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We provide formal power …
Persistent link: https://www.econbiz.de/10011932942
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Estimating nonlinear intergenerational income mobility with correlation curves
Nilsson, William - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-7, pp. 1-20
A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income status is related between parents and adult child. The method overcomes the shortcomings of the elasticity of children's income with respect to parents' income (i.e. its...
Persistent link: https://www.econbiz.de/10011959170