Narrow search
Showing 1 - 10 of 746
Cover Image
Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10011450892
Cover Image
Nonparametric regression estimation for multivariate null recurrent processes
Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288
This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...
Persistent link: https://www.econbiz.de/10011297654
Cover Image
Measuring Conditional Persistence in Time Series
Kapetanios, George - 2005
The persistence properties of economic time series has been a primary object of investigation in a variety of guises … since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their … its lags maybe a useful indicator of the variation in persistence with respect to its past history. We discuss in detail …
Persistent link: https://www.econbiz.de/10014099012
Cover Image
Homogenous vs. heterogenous transition functions in smooth transition regressions : a LM-type test
Demetrescu, Matei; Leppin, Julian Sebastian; Reitz, Stefan - 2017
(Panel) Smooth Transition Regressions substantially gained in popularity due to their flexibility in modeling regression coefficients as homogeneous or heterogeneous functions of transition variables. In the estimation process, however, researchers typically face a trade-off in the sense that a...
Persistent link: https://www.econbiz.de/10011749886
Cover Image
Machine learning advances for time series forecasting
Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - 2020
In this paper we survey the most recent advances in supervised machine learning and highdimensional models for time series forecasting. We consider both linear and nonlinear alternatives. Among the linear methods we pay special attention to penalized regressions and ensemble of models. The...
Persistent link: https://www.econbiz.de/10012390030
Cover Image
Understanding persistence
Kelly, Morgan - 2020
A large literature on persistence finds that many modern outcomes strongly reflect characteristics of the same places … strategies tend to perform no better than naive regressions. Although the focus here is on historical persistence, the methods …
Persistent link: https://www.econbiz.de/10012285404
Cover Image
Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence
Dunker, Fabian - 2015
In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates of the risk for the iteratively regularized Newton method applied to these problems....
Persistent link: https://www.econbiz.de/10011392754
Cover Image
Tie the straps : uniform bootstrap con fidence bands for bounded influence curve estimators
Härdle, Wolfgang; Ritov, Ya'acov; Wang, Weining - 2013
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
Cover Image
Additive nonparametric regression in the presence of endogenous regressors
Ozabaci, Deniz; Henderson, Daniel J.; Su, Liangjun - 2014
In this paper we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient and free from the curse of dimensionality. Monte...
Persistent link: https://www.econbiz.de/10010350365
Cover Image
Goodness-of-fit tests based on series estimators in nonparametric instrumental regression
Breunig, Christoph - 2012
This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the...
Persistent link: https://www.econbiz.de/10011489959