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An equality test across nonparametric regressions
Lavergne, Pascal - 1998 - Rev.
A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...
Persistent link: https://www.econbiz.de/10009578576
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Statistics and finance : an introduction
Ruppert, David - 2004
regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …
Persistent link: https://www.econbiz.de/10001805902
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An equality test across nonparametric regressions
Lavergne, Pascal - In: Journal of econometrics 103 (2001) 1/2, pp. 307-344
Persistent link: https://www.econbiz.de/10001585369
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Semiparametric testing with highly persistent predictors
Werker, Bas J. M.; Zhou, Bo - In: Journal of econometrics 227 (2022) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10013442061
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Subject-to-group statistical comparison for open banking-type data
Svetlošák, A.; Carvalho, Miguel de; Calabrese, R. - In: Journal of the Operational Research Society 74 (2023) 3, pp. 703-718
Persistent link: https://www.econbiz.de/10014332012
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Goldilocks vs. Robin Hood : using shape-constrained regression to evaluate U-shaped (or inverse U-shaped) theories in data
Ganz, Scott C. - 2022 - Updated December 2022
Persistent link: https://www.econbiz.de/10014375370
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The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
Racine, Jeffrey (ed.) - 2014
Persistent link: https://www.econbiz.de/10010337797
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The Oxford handbook of applied nonparametric and semiparametric econometrics and statistics
Racine, Jeffrey (ed.) - 2014
This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical...
Persistent link: https://www.econbiz.de/10012669710
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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
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Comparing sequential forecasters
Choe, Yo Joong; Ramdas, Aaditya - In: Operations research 72 (2024) 4, pp. 1368-1387
Persistent link: https://www.econbiz.de/10015045380