Narrow search
Showing 1 - 10 of 1,434
Cover Image
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
Cover Image
On the phase dependence in time-varying correlations between time-series
Blasques, Francisco - 2013
Persistent link: https://www.econbiz.de/10010191407
Cover Image
On conditional density estimation
Gooijer, Jan G. de; Zerom Godefay, Dawit - 2002
With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...
Persistent link: https://www.econbiz.de/10011326400
Cover Image
Efficient estimation of an additive quantile regression
Cheng, Yebin; Gooijer, Jan G. de; Zerom Godefay, Dawit - 2009
In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive …
Persistent link: https://www.econbiz.de/10011379443
Cover Image
A new approach to identifying generalized competing risks models with application to second-price auctions
Komarova, Tatiana - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 269-328
This paper proposes an approach to proving nonparametric identification for distributions of bidders’ values in …
Persistent link: https://www.econbiz.de/10011757066
Cover Image
Panel experiments and dynamic causal effects : a finite population perspective
Bojinov, Iavor; Rambachan, Ashesh; Shephard, Neil G. - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1171-1196
nonparametric estimator that is unbiased over the randomization distribution and derive its finite population limiting distribution …
Persistent link: https://www.econbiz.de/10012795665
Cover Image
Estimating nonlinear intergenerational income mobility with correlation curves
Nilsson, Jan Olof William - 2018
A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income status is related between parents and adult child. The method overcomes the shortcomings of the elasticity of children's income with respect to parents' income (i.e. its...
Persistent link: https://www.econbiz.de/10011896785
Cover Image
Estimating nonlinear intergenerational income mobility with correlation curves
Nilsson, Jan Olof William - 2019
A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income status is related between parents and adult child. The method overcomes the shortcomings of the elasticity of children’s income with respect to parents’ income (i.e. its...
Persistent link: https://www.econbiz.de/10011958888
Cover Image
A nonparametric approach to evaluating inflation-targeting regimes
Razzak, Weshah A.; Nasser, Rabie - 2008
We use a variety of nonparametric test statistics to evaluate the inflation- targeting regimes of Australia, Canada … them parametric and nonparametric econometric methods, for robustness and completeness. Our evaluation strategy is based on … nonparametric univariate and multivariate statistical methods to test whether the first and second moments of a variety of real …
Persistent link: https://www.econbiz.de/10011523636
Cover Image
Macroeconomic development and stock market performance : a non-parametric approach
Adu, George; Marbuah, George; Mensah, Justice Tei; … - 2013
This paper applies a local-linear non-parametric kernel regression technique to examine the effect of macroeconomic …
Persistent link: https://www.econbiz.de/10011526923