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Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter.
Kaiser, Regina; Maravall, Agustín - Banco de España - 1999
Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...
Persistent link: https://www.econbiz.de/10005155249
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More Efficient Estimation under Non-Normality when Higher Moments do not Depend on the Regressors, using Residual-Augmented Lease Squares.
Im. K.S.; Schmidt, P. - Economics Department, Michigan State University - 1999
In this paper we show how the assumption that higher moments do not depend on the regressors can be exploited in a GMM framework, and we provide very simple estimators that are equivalent to GMM estimators. These simple estimators can be calculated by linear regressions which have been augmented...
Persistent link: https://www.econbiz.de/10005256218
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The Unbiased Estimation Theory and the Multidimensional Bhattachryya Bounds.
Pommeret, D. - 1999
Five decades ago, Bhattacharyya established a series of lower bounds for the variance of an unbiased estimator, since … to the variance of the best unbiased estimator. In this paper, we give an explicit formula of the minimum variance … unbiase d estimator for a multidimensional parametric function and we obtain a multidimensional extension of Blight and Rao …
Persistent link: https://www.econbiz.de/10005035861
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Exact Asymptotics for Nonparametric Density Estimation from Dependent Data.
Butucea, C.; Neumann, M.H. - 1999
We derive sharp asymptotic minimax bounds (that is, bounds which concern the exact asymptotic constant of the risk) for nonparametric density estimation based on weakly dependent observations. We study two particular problems for which there already exist such results in the case of independent...
Persistent link: https://www.econbiz.de/10005641142
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Nonparametric Estimation of Hazard Rate under the Constraint of Monotonicity.
Gifford, J.A.; Gijbels, I.; Hall, P.; Huang, L.-S. - Catholique de Louvain - Institut de statistique - 1999
takes a variety of forms, depending on the choice of kernel estimator and on the distance function used to defie a certain …
Persistent link: https://www.econbiz.de/10005625670
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Performance of the Bootstrap for DEA Estimators and Iterating the Principle.
Simar, L.; Wilson, P.W. - Catholique de Louvain - Institut de statistique - 2000
This paper further examines the bootstrap method proposed by Simar and Wilson (1998) for DEA efficiency estimators. Some simplifications are provided, and we provide Monte Carlo evidence on the coverage probabilities of confidence intervals estimated by the method.
Persistent link: https://www.econbiz.de/10005625683
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A Simple GCV Method of Span Selection for Periodigram Smoothing.
Ombao, H.C.; Raz, J.A.; Strawderman, R.L.; von Sachs, R. - Catholique de Louvain - Institut de statistique - 1999
A consistent estimator for the spectral density of a stationary random process can be obtained by smoothing the …
Persistent link: https://www.econbiz.de/10005625686
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Performance of the Bootstrap for DEA Estimators and Iterating the Principle.
Simar, L.; Wilson, P.W. - Catholique de Louvain - Institut de statistique - 1999
This paper further examines the bootstrap method proposed by Simar and Wilson (1998) for DEA efficiency estimators. Some simplifications are provided, and we provide Monte Carlo evidence on the coverage probabilities of confidence intervals estimated by the method.
Persistent link: https://www.econbiz.de/10005625687
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Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter.
Kaiser, R.; Maravall, A. - 1999
Hodrick-Prescott (HP) Filter of (most often, seasonally adjusted) quaterly series is analysed. Some of the criticism to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations. It is argued that the criticism that HP...
Persistent link: https://www.econbiz.de/10005474552
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Principal Component Analysis Based on Robust Estimators of the Covariance or Correlation Matrix: Influence Functions and Efficiencies.
Croux, C.; Haesbroeck, G. - Centre de Méthodes Quantitatives et Operations … - 1999
estimator of the covariance or correlation matrix. In this paper the authors derive the influence functions and the …
Persistent link: https://www.econbiz.de/10005479093