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Commuters' Preferences for Fast and Reliable Travel : A Semi-Parametric Estimation Approach

Koster, Paul - 2015

We employ a semi-parametric estimation approach to analyse observed and unobserved heterogeneity in the value of … savings in travel time and schedule delay. Our econometric approach allows for the estimation of unobserved and observed …, we illustrate the estimation approach and find that there is substantial heterogeneity in the value of savings in travel …

Persistent link: https://www.econbiz.de/10013035549

Additive Kernel Estimates of Returns to Schooling

Ozabaci, Deniz - 2014

In this paper, we employ a partially linear nonparametric additive regression estimator, with recent U.S. Current Population Survey data, to analyze returns to schooling. Similar to previous research, we find that blacks and Hispanics have higher rates of return on average. However, for married...

Persistent link: https://www.econbiz.de/10013039569

Non-Parametric Preprocessing for the Estimation of Equivalence Scales

Dudel, Christian - 2014

Empirically analyzing household behavior usually relies on informal data preprocessing. That is, before an econometric model is estimated, observations are selected in such a way that the resulting subset of data can be assumed to be sufficiently homogeneous with respect to the specific research...

Persistent link: https://www.econbiz.de/10013040004

Semiparametric Estimation of a Credit Rating Model

Jiang, Yixiao - 2018

This paper develops a semiparametric, ordered-response model of credit rating in which ratings are equilibrium outcomes of a stylized cheap-talk game. The proposed model allows the choice probability to be an unknown function of multiple indices permitting flexible interaction, non-monotonicity,...

Persistent link: https://www.econbiz.de/10012912196

Nonparametric Bootstrap Confidence Intervals for High-Quantiles of Heavy-Tailed Distributions

Litvinova, Svetlana - 2018

In risk management areas such as reinsurance, the need often arises to construct a confidence interval for a quantile in the tail of the distribution; for example, there is high probability that the sample maximum lies near or below the quantile. While different methods, including subsample...

Persistent link: https://www.econbiz.de/10012913183

Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator

Bhandari, Avishek - 2018

The estimation and the analysis of long memory parameters have mainly focused on the analysis of long-range dependence … memory requires major revisions in the standard estimation procedures without which the estimated results can be seriously …

Persistent link: https://www.econbiz.de/10012920334

Semiparametric Estimation of First-Price Auction Models

Aryal, Gaurab - 2019

In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first-step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second-step, we apply the method of moments...

Persistent link: https://www.econbiz.de/10012904820

Semiparametrically Efficient Estimation of the Average Linear Regression Function

Graham, Bryan S. - 2018

Let Y be an outcome of interest, X a vector of treatment measures, and W a vector of pre-treatment control variables. Here X may include (combinations of) continuous, discrete, and/or non-mutually exclusive “treatments”. Consider the linear regression of Y onto X in a subpopulation...

Persistent link: https://www.econbiz.de/10012908172

Nonparametric and Semiparametric Estimation and Hypothesis Testing with Nonstationary Time Series

Sun, Yiguo; Li, Qi - In: The Oxford handbook of applied nonparametric and …. 2014

Persistent link: https://www.econbiz.de/10012881209

Nonparametric and Semiparametric Estimation of a Set of Regression Equations

Ullah, Aman; Wang, Yun - In: The Oxford handbook of applied nonparametric and …. 2014

Persistent link: https://www.econbiz.de/10012881210