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Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility …

Persistent link: https://www.econbiz.de/10009719116

Nonparametric Generalized Least Squares in Applied Regression Analysis

O'Hara, Michael E. - 2013

variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs … various approaches to handling heteroscedasticity to data on professor rankings obtained from ratemyprofessor.com and find not … only heteroscedasticity to be prevalent but NPGLS and FGLS provide different insights and the statistical significance of …

Persistent link: https://www.econbiz.de/10013077989

A Multivariate Non-stationary Approach for Financial Returns with Nonparametric Heteroscedasticity

Gürtler, Marc - 2013

A non-stationary regression model for financial returns is examined theoretically. Volatility dynamics are modeled by nonparametric curve estimation on equidistant return vectors. We prove consistency and asymptotic normality of symmetric estimators and of one-sided estimators for variances and...

Persistent link: https://www.econbiz.de/10013095615

Applied Higher-Dimensional Nonparametric Regression

Frölich, Markus - 2001

ceteris paribus effects that is suppressed by parametric or semiparametric estimation …

Persistent link: https://www.econbiz.de/10014124582

Nonparametric identification and estimation of finite mixture models of dynamic discrete choices

Kasahara, Hiroyuki (contributor); … - 2006

In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for unobserved heterogeneity. This paper studies nonparametric identifiability of type probabilities and type-specific component...

Persistent link: https://www.econbiz.de/10003386574

Permutation entropy and information recovery in nonlinear dynamic economic time series

Henry, Miguel; Judge, George G. - In: Econometrics : open access journal 7 (2019) 1/10, pp. 1-16

The focus of this paper is an information theoretic-symbolic logic approach to extract information from complex economic systems and unlock its dynamic content. Permutation Entropy (PE) is used to capture the permutation patterns-ordinal relations among the individual values of a given time...

Persistent link: https://www.econbiz.de/10012025643

Estimating Treatment Effects from Counts of Binary Outcomes : A Conditional Likelihood Estimator of Relative Risk

Aisbett, Christopher - 2016

This paper introduces the conditional likelihood estimator of relative risk (CLERR). The CLERR estimates the relative risk of an outcome analogously to the way the conditional logit estimates an odds ratio. Aside from the fact that relative risk is often the preferred measure of association, the...

Persistent link: https://www.econbiz.de/10012978236

Rationalizable Counterfactual Choice Probabilities in Dynamic Binary Choice Processes

Tang, Xun - 2009

We address two issues in nonparametric structural analyses of dynamic binary choice processes (DBCP). First, the DBCP is not testable and decision makers’ single-period payoffs (SPP) cannot be identified even when the distribution of unobservable states (USV) is known. Numerical examples show...

Persistent link: https://www.econbiz.de/10014206587

Modeling structural equations with endogenous regressors and heterogeneity through derivative constraints

Rau, Tomás - In: Quantitative economics : QE ; journal of the … 4 (2013) 1, pp. 125-148

In this paper, I present a general modeling framework for nonparametric models with endogenous regressors and heterogeneity. I show that many existing models in the literature can be derived from a structural equation with unobserved heterogeneity by imposing constancy assumptions on the first...

Persistent link: https://www.econbiz.de/10011756871

Semiparametric selection models with binary outcomes

Klein, Roger; Shen, Chan; Vella, Francis - 2011

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and … a semiparametric setting, we develop estimators for both the marginal effects and the underlying model parameters. The …

Persistent link: https://www.econbiz.de/10010280691