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The impact of microcredit borrowing on household consumption in Bangladesh
Schroeder, Elizabeth - In: Applied economics 52 (2020) 43, pp. 4765-4779
Persistent link: https://www.econbiz.de/10012298743
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Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar; Zhang, Hailiang; Kanwal, Samra; … - In: International journal of financial engineering 10 (2023) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
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A semiparametric model for binary response and continuous outcomes under index heteroscedasticity
Klein, Roger W. (contributor); Vella, Francis (contributor) - 2006
heteroscedasticity that depends on an index different from that underlying the mean-responseʺ. We show that such (multiplicative …) heteroscedasticity, whose form is not parametrically specified, effectively induces exclusion restrictions on the outcomes equation. The …
Persistent link: https://www.econbiz.de/10003481874
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A semiparametric model for binary response and continuous outcomes under index heteroscedasticity
Klein, Roger W.; Vella, Francis - In: Journal of applied econometrics 24 (2009) 5, pp. 735-762
Persistent link: https://www.econbiz.de/10003931578
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Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
Zhou, Yong; Wan, Alan T. K.; Xie, Shangyu; Wang, Xiaojing - In: Journal of econometrics 159 (2010) 1, pp. 183-201
Persistent link: https://www.econbiz.de/10008839929
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models
Grobys, Klaus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 55-67
This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...
Persistent link: https://www.econbiz.de/10009511728
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Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models
Liang, Hua; Härdle, Wolfgang; Werwatz, Axel - 1997
Persistent link: https://www.econbiz.de/10009659060
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Bayesian regression with heteroscedastic error density and parametric mean function
Pelenis, Justinas - In: Journal of econometrics 178 (2014) 1, pp. 624-638
Persistent link: https://www.econbiz.de/10010257372
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Efficient semiparametric instrumental variable estimation under conditional heteroskedasticity
Yao, Feng - In: Journal of quantitative economics : official journal of … 10 (2012) 1, pp. 32-55
Persistent link: https://www.econbiz.de/10010338431