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Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10009736613
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When did the 2001 recession really start?
Polzehl, Jörg; Spokoiny, Vladimir; Stărică, Cătălin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual …
Persistent link: https://www.econbiz.de/10005861467
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Nonparametric learning rules from bandit experiments: The eyes have it!
Hu, Yingyao; Kayaba, Yutaka; Shum, Matt - 2010
How do people learn? We assess, in a distribution-free manner, subjects' learning and choice rules in dynamic two-armed bandit (probabilistic reversal learning) experiments. To aid in identification and estimation, we use auxiliary measures of subjects' beliefs, in the form of their...
Persistent link: https://www.econbiz.de/10010277527
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Testing for nonparametric identification of causal effects in the presence of a quasi-instrument
de Luna, Xavier; Johansson, Per - 2012
power. We perform a simulation study and apply the results to a case study where the interest lies in evaluating the effect …
Persistent link: https://www.econbiz.de/10010321134
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Simulated ML estimation of financial agent-based models
Baruník, Jozef; Kukačka, Jiří - 2016
This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel...
Persistent link: https://www.econbiz.de/10011448663
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A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests
Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999
This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...
Persistent link: https://www.econbiz.de/10011300549
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Nonparametric learning rules from bandit experiments : the eyes have it!
Hu, Yingyao; Kayaba, Yutaka; Shum, Matthew - 2010
How do people learn? We assess, in a distribution-free manner, subjects' learning and choice rules in dynamic two-armed bandit (probabilistic reversal learning) experiments. To aid in identification and estimation, we use auxiliary measures of subjects' beliefs, in the form of their...
Persistent link: https://www.econbiz.de/10008652140
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Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation
Fortin, Ines - 1999
comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method …. -- window width ; bandwidth ; non-parametric spectral estimation ; simulation …
Persistent link: https://www.econbiz.de/10009711652
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A specification test for nonparametric instrumental variable regression
Gagliardini, Patrick (contributor);  … - 2007
distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values …
Persistent link: https://www.econbiz.de/10003550675
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Testing for equality between two copulas
Remillard, Bruno (contributor);  … - 2007
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...
Persistent link: https://www.econbiz.de/10003550857