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Nonparametric regression with common shocks

Souza-Rodrigues, Eduardo A. - In: Econometrics 4 (2016) 3, pp. 1-17

the common shocks. I also establish the rate of convergence and the asymptotic distribution of the kernel estimator. …

Persistent link: https://www.econbiz.de/10011755340

Including Covariates in the Regression Discontinuity Design

Frölich, Markus; Huber, Martin - 2017

proposed method may decrease bias and restore identification by controlling for discontinuities in the covariate distribution …

Persistent link: https://www.econbiz.de/10011786988

Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can … recent crises. Overestimated risk, on the other side, may have negative effects on a company's capital requirements …. Companies as well as national authorities thus have a strong interest in developing market risk models that correctly quantify …

Persistent link: https://www.econbiz.de/10010309829

A nonparametric regression estimator that adapts to error distribution of unknown form

Linton, Oliver Bruce; Xiao, Zhijie - 2001

kernel estimators when the error distribution is not normal. We investigate the finite sample performance of our procedure on …

Persistent link: https://www.econbiz.de/10010310396

Smoothed influence function: Another view at robust nonparametric regression

Tamine, Julien - 2001

In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...

Persistent link: https://www.econbiz.de/10010310591

Using proxy variables to control for unobservables when estimating productivity: A sensitivity analysis

Ornaghi, Carmine; Van Beveren, Ilke - 2011

The use of proxy variables to control for unobservables when estimating a production function has become increasingly popular in empirical works in recent years. The present paper aims to contribute to this literature in three important ways. First, we provide a structured review of the...

Persistent link: https://www.econbiz.de/10010313402

Total factor productivity estimation: A practical review

Van Beveren, Ilke - 2007

This paper aims to provide empirical researchers with an overview of the methodological issues that arise when estimating total factor productivity at the establishment level, as well as of the existing techniques designed to overcome them. Apart from the well-known simultaneity and selection...

Persistent link: https://www.econbiz.de/10010313412

Peaks or tails: What distinguishes financial data?

Krämer, Walter; Runde, Ralf - 1999

We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from ‘normal’ variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data...

Persistent link: https://www.econbiz.de/10010316596

Efficient information theoretic inference for conditional moment restrictions

Smith, Richard J. - 2005

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

Persistent link: https://www.econbiz.de/10010318448

Regression discontinuity design with covariates

Frölich, Markus - 2007

In this paper, the regression discontinuity design (RDD) is generalized to account for differences in observed covariates X in a fully nonparametric way. It is shown that the treatment effect can be estimated at the rate for one-dimensional nonparametric regression irrespective of the dimension...

Persistent link: https://www.econbiz.de/10010318461