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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

Persistent link: https://www.econbiz.de/10008657774

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

Trend extraction from time series with structural breaks and missing observations

Schlicht, Ekkehart - 2008

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...

Persistent link: https://www.econbiz.de/10003951479

Trend extraction from time series with structural breaks

Schlicht, Ekkehart - 2007

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...

Persistent link: https://www.econbiz.de/10003470549

Trend extraction from time series with missing observations

Schlicht, Ekkehart - 2007

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when some data points are missing. This note proposes a method for coping with this problem

Persistent link: https://www.econbiz.de/10003470551

Semiparametric Bayesian Inference for Time Series with Mixed Spectra

Carter, Chris K.; Kohn, Robert - 2008

A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of...

Persistent link: https://www.econbiz.de/10014029563

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

Nonparametric tests of stochastic dominance in bivariate distributions, with an application to UK data

Crawford, Ian - 1999

Persistent link: https://www.econbiz.de/10001432892

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10001751669

Adaptive estimation of the dynamic linear model with fixed effects

Woutersen, Tiemen (contributor); … - 2002 - [Elektronische Ressource]

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Persistent link: https://www.econbiz.de/10001714098