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A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom

Atak, Alev; Linton, Oliver B.; Xiao, Zhijie - Volkswirtschaftliche Fakultät, … - 2010

This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other …

Persistent link: https://www.econbiz.de/10008552815

Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models

Kim, Gunky; Silvapulle, Mervyn J.; Silvapulle, Paramsothy - Department of Econometrics and Business Statistics, … - 2007

A semiparametric method is studied for estimating the dependence parameter and the joint distribution of the error term … arguments that would be useful for other potential extensions of this semiparametric approach. It is shown that the proposed … in practice. In this simulation study, our proposed semiparametric method performed better than the well-known parametric …

Persistent link: https://www.econbiz.de/10005149050

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009

partof the model, we obtain the semiparametric efficiency bound. Our method isapplied to a bivariate stock index series. We …

Persistent link: https://www.econbiz.de/10008838734

The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series

Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more...

Persistent link: https://www.econbiz.de/10005593525

Nonparametric Censored Regression

Lewbel, Arthur; Linton, Oliver Linton - Cowles Foundation for Research in Economics, Yale University - 1998

The nonparametric censored regression model is y = max[c, m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown, but the fixed censoring point c is known. This paper provides a simple consistent estimator of the derivative of m(x) with respect to each...

Persistent link: https://www.econbiz.de/10005593534

Efficient Regression in Time Series Partial Linear Models

Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...

Persistent link: https://www.econbiz.de/10005593565

A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom

Xiao, Zhijie; Atak, Alev; Linton, Oliver - Department of Economics, Boston College - 2010

This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other …

Persistent link: https://www.econbiz.de/10008725946

Confidence Intervals for Estimates of Elasticities

Hirschberg, J. G.; Lye, J. N.; Slottje, D. J. - Department of Economics, Faculty of Business and Economics - 2008

estimation models. Parametric Engel curves are modelled using OLS, MM robust regression, and Tobit. Semiparametric Engel curves …

Persistent link: https://www.econbiz.de/10005574858

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

used in applied econometric work. Nonparametric and semiparametric estimation methods are proposed to estimate the varying … the conduct of semiparametric regression with nonstationary data. The results include some new asymptotic theory for …

Persistent link: https://www.econbiz.de/10010895669

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class …

Persistent link: https://www.econbiz.de/10008527073