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Prewhitened kernel estimators of 2π times the spectral density at frequency zero of nonparametric regression errors

Jeong, Kiho - In: Journal of economic theory and econometrics : journal … 3 (1997) 2, pp. 107-122

Persistent link: https://www.econbiz.de/10001560709

A consistent nonparametric test for nonlinear causality : specification in time series regression

Nishiyama, Yoshihiko; Hitomi, Kohtaro; Kawasaki, Yoshinori - In: Journal of econometrics 165 (2011) 1, pp. 112-127

Persistent link: https://www.econbiz.de/10009374481

Model misspecification tests of regression functions

Jeong, Kiho - 1991

Persistent link: https://www.econbiz.de/10000850891

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Persistent link: https://www.econbiz.de/10010303679