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Adaptive pointwise estimation in time-inhomogeneous time-series models

Čížek, Pavel; Härdle, Wolfgang Karl; Spokoiny, Vladimir - 2008

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10010274136

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Persistent link: https://www.econbiz.de/10010274148

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel L.; Lee, Sokbae - 2010

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...

Persistent link: https://www.econbiz.de/10010292807

Treatment evaluation in the case of interactions within markets

Ferracci, Marc; Jolivet, Grégory; van den Berg, Gerard J. - 2010

We extend the standard evaluation framework to allow for interactions between individuals within segmented markets. An individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of treatments in his market. To evaluate how the distribution...

Persistent link: https://www.econbiz.de/10010273977

Treatment evaluation in the case of interactions within markets

Ferracci, Marc; Jolivet, Grégory; van den Berg, Gerard J. - 2010

We extend the standard evaluation framework to allow for interactions between individuals within segmented markets. An individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of the assigned treatments in his market. To evaluate how the...

Persistent link: https://www.econbiz.de/10010277334

Identifying the returns to lying when the truth is unobserved

Hu, Yingyao; Lewbel, Arthur - 2007

Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...

Persistent link: https://www.econbiz.de/10010277518

Regression discontinuity design with covariates

Frölich, Markus - 2007

In this paper, the regression discontinuity design (RDD) is generalized to account for differences in observed covariates X in a fully nonparametric way. It is shown that the treatment effect can be estimated at the rate for one-dimensional nonparametric regression irrespective of the dimension...

Persistent link: https://www.econbiz.de/10010318461

Identifying the returns to lying when the truth is unobserved

Hu, Yingyao; Lewbel, Arthur - 2007

Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved...

Persistent link: https://www.econbiz.de/10010318502

Estimating average marginal effects in nonseparable structural systems

Schennach, Susanne; White, Halbert; Chalak, Karim - 2007

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...

Persistent link: https://www.econbiz.de/10010318554

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

Horowitz, Joel L.; Lee, Sokbae - 2009

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally distributed. The asymptotic normality result holds in...

Persistent link: https://www.econbiz.de/10010288414

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