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On the choice of the number of Monte Carlo iterations and bootstrap replicates in Empirical Best Prediction

Chwila, Adam; Żądło, Tomasz - In: Statistics in Transition New Series 21 (2020) 2, pp. 35-60

Empirical Best Predictors (EBPs) are widely used for small area estimation purposes. In the case of longitudinal surveys, this class of predictors can be used to predict any given population or subpopulation characteristic for any time period, including future periods. Generally, the value of an...

Persistent link: https://www.econbiz.de/10012600227

Semiparametric time-series model using local polynomial: An application on the effects of financial risk factors on crop yield

Ahmed, Syed E.; Aydin, Dursun; Yilmaz, Ersin - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-12

This paper proposes a semiparametric local polynomial estimator for modelling agricultural time-series. We consider the modelling of the crop yield variable according to determined financial risk factors in Turkey. The derivation of a semiparametric local polynomial estimator is provided with...

Persistent link: https://www.econbiz.de/10013201444

Business cycle estimation with high-pass and band-pass local polynomial regression

Álvarez, Luis J. - In: Econometrics 5 (2017) 1, pp. 1-11

Filters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference of a series and its long-run LPR component and...

Persistent link: https://www.econbiz.de/10011755360

Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

Arai, Yoichi; Ichimura, Hidehiko - In: Quantitative Economics 9 (2018) 1, pp. 441-482

A new bandwidth selection method that uses different bandwidths for the local linear regression estimators on the left … treatment effect at the cut-off point. The asymptotic mean squared error of the estimator using the proposed bandwidth selection … method is shown to be smaller than other bandwidth selection methods proposed in the literature. The approach that the …

Persistent link: https://www.econbiz.de/10011995521

Policy discontinuity and duration outcomes

van den Berg, Gerard J.; Bozio, Antoine; Dias, Mónica Costa - In: Quantitative Economics 11 (2020) 3, pp. 871-916

Causal effects of a policy change on hazard rates of a duration outcome variable are not identified from a comparison of spells before and after the policy change if there is unobserved heterogeneity in the effects and no model structure is imposed. We develop a discontinuity approach that...

Persistent link: https://www.econbiz.de/10013189714

Growth and debt: An endogenous smooth coefficient approach

Koroglu, Mustafa - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-22

The new growth theories with an emphasis on fundamental determinants such as institutions suggest a non-linear cross-country growth process. In this paper, we investigate the public debt and economic growth relationship using the semi-parametric smooth coefficient approach that allows democracy...

Persistent link: https://www.econbiz.de/10012611175

Functional-coefficient spatial Durbin models with nonparametric spatial weights: An application to economic growth

Koroglu, Mustafa; Sun, Yiguo - In: Econometrics 4 (2016) 1, pp. 1-16

This paper considers a functional-coefficient spatial Durbin model with nonparametric spatial weights. Applying the series approximation method, we estimate the unknown functional coefficients and spatial weighting functions via a nonparametric two-stage least squares (or 2SLS) estimation...

Persistent link: https://www.econbiz.de/10011755314

Fixed-b inference for testing structural change in a time series regression

Cho, Cheol-Keun; Vogelsang, Timothy J.; Montañés, Antonio - In: Econometrics 5 (2017) 1, pp. 1-26

statistics depend on the break fraction and the bandwidth tuning parameter as well as on the kernel. When the break date is …

Persistent link: https://www.econbiz.de/10011755355

Investigating the Relationship Between Central Bank Transparency and Stock Market Volatility in a Nonparametric Framework

Papadamou, Stephanos; Sidiropoulos, Moise; Tzeremes, … - In: Credit and Capital Markets – Kredit und Kapital 50 (2017) 1, pp. 63-83

This study investigates whether any non-linear relationship exists between central bank transparency and stock market variability in a non-parametric framework for a large number of countries. Our findings imply that a high level of transparency can significantly reduce historical as well as...

Persistent link: https://www.econbiz.de/10014522708

Simple and honest confidence intervals in nonparametric regression

Armstrong, Timothy B.; Kolesár, Michal - In: Quantitative Economics 11 (2020) 1, pp. 1-39

, and derive the optimal bandwidth for constructing honest CIs. We show that using the bandwidth that minimizes the maximum …

Persistent link: https://www.econbiz.de/10012215412