Showing 51 - 60 of 475
This article proposes an omnibus test for monotonicity of nonparametric conditional distributions and its moments. Unlike previous proposals, our method does not require smooth estimation of the derivatives of nonparametric curves and it can be implemented even when the probability densities do...
Persistent link: https://www.econbiz.de/10008605858
Persistent link: https://www.econbiz.de/10008739850
Asymptotically efficient estimates for the multiple equations nonlinear regression model are obtained in the presence of heteroskedasticity of unknown form. The proposed estimator is a generalized least squares based on nonparametric nearest neighbor estimates of the conditional variance...
Persistent link: https://www.econbiz.de/10008739932
This article proposes bootstrap-based stochastic dominance tests for nonparametric conditional distributions and their moments. We exploit the fact that a conditional distribution dominates the other if and only if the difference between the marginal joint distributions is monotonic in the...
Persistent link: https://www.econbiz.de/10010606681
We propose an asymptotically distribution-free transform of the sample autocorrelations of residuals in general parametric time series models, possibly non-linear in variables. The residuals autocorrelation function is the basic model checking tool in time series analysis, but it is useless when...
Persistent link: https://www.econbiz.de/10008470228
We derive an optimal kernel K([lambda]) for spectral averaging in the neighbourhood of a spectral peak corresponding to long-range dependence. Unusually, K([lambda]) --> 0 as [lambda] --> 0.
Persistent link: https://www.econbiz.de/10005319375
Persistent link: https://www.econbiz.de/10001447114
Persistent link: https://www.econbiz.de/10001463555
Persistent link: https://www.econbiz.de/10001466747
Persistent link: https://www.econbiz.de/10000902813