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estimation method to estimate the single-index model without under-smoothing. Under some conditions, our estimator of the single … estimator and use them to define an optimal bandwidth for the purposes of index estimation. As a result we obtain a practically …
Persistent link: https://www.econbiz.de/10003835181
estimation method to estimate the single-index model without under-smoothing. Under some conditions, our estimator of the single … estimator and use them to define an optimal bandwidth for the purposes of index estimation. As a result we obtain a practically …
Persistent link: https://www.econbiz.de/10010274155
-neutral density estimator and the subjective density estimator. The former density can be represented as the second derivative w …
Persistent link: https://www.econbiz.de/10003952791
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010238365
We consider theoretical bootstrap "coupling" techniques for nonparametric robust smoothers and quantile regression, and verify the bootstrap improvement. To cope with curse of dimensionality, a variant of "coupling" bootstrap techniques are developed for additive models with both symmetric error...
Persistent link: https://www.econbiz.de/10010195959
nonparametrically by using the ratio of the risk-neutral density estimator and the subjective density estimator. The risk …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for different observations, and … the subjective density is approximated by a kernel density estimator with equal weights. We represent the European call …
Persistent link: https://www.econbiz.de/10010462645
binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for …
Persistent link: https://www.econbiz.de/10012966282
-step approaches under a consistency approximation for the long run variance estimator. Based on these results we introduce modified PP …. -- nonparametric kernel estimator ; long run variance ; detrending ; one-step ; two-step …
Persistent link: https://www.econbiz.de/10009686209
-step approaches under a consistency approximation for the long run variance estimator. Based on these results we introduce modified PP …
Persistent link: https://www.econbiz.de/10009267787
penalized sieve minimum distance (SMD) estimator of the unknown functions that are identified via the conditional moment models … important applications: root-n asymptotic normality of the plug-in penalized SMD estimator of a weighted average derivative of a …
Persistent link: https://www.econbiz.de/10003739667