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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010
Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based …
Persistent link: https://www.econbiz.de/10008462024
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Semiparametric Modelling and Estimation: A Selective Overview
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009
Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they … developed that exhibit standard parametric convergence rates. These two features have made semiparametric models and estimators … increasingly popular in applied economics. We give a partial overview over the literature on semiparametric modelling and …
Persistent link: https://www.econbiz.de/10008506834
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Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Kristensen, Dennis - Økonomisk Institut, Københavns Universitet - 2010
We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the …
Persistent link: https://www.econbiz.de/10008512968
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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
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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
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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
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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
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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
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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
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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