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Does the constraint matter? : a note on the asymptotic properties of nonparametric instrumental variable estimation under monotonicity shape constraint
Bonev, Petyo - In: Applied economics letters 25 (2018) 9, pp. 588-591
Persistent link: https://www.econbiz.de/10011855055
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Stressed portfolio optimization with semiparametric method
Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34
Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...
Persistent link: https://www.econbiz.de/10013170237
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Nonparametric autoregression with multiplicative volatility and additive mean
Yang, Lijian; Härdle, Wolfgang; Nielsen, Jens Perch - 1998
Persistent link: https://www.econbiz.de/10000168636
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Instrumental variable estimation of nonlinear errors-in-variables models
Schennach, Susanne M. - In: Econometrica : journal of the Econometric Society, an … 75 (2007) 1, pp. 201-239
Persistent link: https://www.econbiz.de/10003410479
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Confidence sets and non-parametric regression
Davies, P. Laurie (contributor); Kovac, Arne (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003483262
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Theoretical and practical aspects of penalized spline smoothing
Krivobokova, Tatyana - 2006
Persistent link: https://www.econbiz.de/10003448656
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Nonparametric estimation of econometric models with categorical variables
Ouyang, Desheng - 2005
Persistent link: https://www.econbiz.de/10003973958
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Oracally efficient two-step estimation of generalized additive model
Liu, Rong; Yang, Lijian; Härdle, Wolfgang - 2011
Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....
Persistent link: https://www.econbiz.de/10008905999
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Difference based ridge and Liu type estimators in semiparametric regression models
Duran, Esra Akdeniz; Härdle, Wolfgang; Osipenko, Maria - 2011
We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the … partial linear semiparametric regression model, y = Xβ + f + Both estimators are analysed and compared in the sense of mean … ; Differencing matrix ; Liu estimator ; Liu type estimator ; Multicollinearity ; Ridge regression estimator ; Semiparametric model …
Persistent link: https://www.econbiz.de/10008906011
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Non-parametric identification and estimation of truncated regression models
Chen, Songnian - In: The review of economic studies 77 (2010) 1, pp. 127-153
Persistent link: https://www.econbiz.de/10003950520