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Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10003747376
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A consistent nonparametric test for causality in quantile
Jeong, Kiho (contributor); Härdle, Wolfgang (contributor) - 2008
Persistent link: https://www.econbiz.de/10003636023
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Semiparametric cointegrating rank selection
Cheng, Xu (contributor); Phillips, Peter C. B. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003767412
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A k-sample homogeneity test based on the quantification of the p-p plot : the harmonic weighted mass index
Hinloopen, Jeroen; Wagenvoort, Rien; Marrewijk, Charles van - 2008
Persistent link: https://www.econbiz.de/10003787143
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A consistent nonparametric equality test of conditional quantile functions
Sun, Yiguo (contributor) - 2003
Persistent link: https://www.econbiz.de/10003357944
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Optimal test for parameter instability when the unstable process and the error distribution are unknown
Lee, Dong Jin - 2008
Persistent link: https://www.econbiz.de/10003866760
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Jump testing and the speed of market adjustment
Rasmussen, Torben B. - 2009
Persistent link: https://www.econbiz.de/10003849503
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Testing conditional factor models
Kristensen, Dennis; Ang, Andrew - 2009
Persistent link: https://www.econbiz.de/10003849517
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Robust data-driven inference for density-weighted average derivatives
Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2009
Persistent link: https://www.econbiz.de/10003883600
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A new diagnostic test for cross-section independence in nonparametric panel data models
Chen, Jia; Gao, Jiti; Li, Degui - 2009
Persistent link: https://www.econbiz.de/10003871164