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Imposing Monotonicity Nonparametrically in First-Price Auctions
Henderson, Daniel J.; List, John A.; Millimet, Daniel L.; … - Volkswirtschaftliche Fakultät, … - 2008
Monotonicity of the equilibrium bidding strategy is a key property of structural auction models. Traditional nonparametric estimators provide a flexible means of uncovering salient features of auction data, but do not formally impose the monotonicity assumption that is inherent in the models...
Persistent link: https://www.econbiz.de/10005260097
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Empirical implementation of nonparametric first-price auction models
Henderson, Daniel J.; List, John A.; Millimet, Daniel L.; … - In: Journal of Econometrics 168 (2012) 1, pp. 17-28
nonparametric estimation. We further develop methods for automatic bandwidth selection. Finally, we discuss how to impose …
Persistent link: https://www.econbiz.de/10010574086
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Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels
FERNANDES, Marcelo; MENDES, Eduardo F.; SCAILLET, Olivier
We derive nonparametric tests of symmetry using asymmetric kernels with either shrinking or fixed bandwidths. We show … how to extend the approach to examine conditional symmetry by deriving conditions under which our tests are applicable to … tests perform well even in very small samples, entailing better size and power properties than some of the existing symmetry …
Persistent link: https://www.econbiz.de/10010550296
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A nonparametric test for seasonal unit roots
Kunst, Robert M. - 2009
We consider a nonparametric test for the null of seasonal unit roots in quarterly time series that builds on the RUR (records unit root) test by Aparicio, Escribano, and Sipols. We find that the test concept is more promising than a formalization of visual aids such as plots by quarter. In order...
Persistent link: https://www.econbiz.de/10010294023
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut; Xu, Fang - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10010296279
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10010298783
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Dependence of stock returns in bull and bear markets
Dobrić, Jadran; Frahm, Gabriel; Schmid, Friedrich - 2007
Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...
Persistent link: https://www.econbiz.de/10010304417
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Robust estimation of integrated variance and quarticity under flat price and no trading bias
Schulz, Frowin C. - 2010
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...
Persistent link: https://www.econbiz.de/10010304602
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Nonparametric inference for second order stochastic dominance
Schmid, Friedrich; Trede, Mark - 1996
This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are in uenced by sampling errors. We establish...
Persistent link: https://www.econbiz.de/10010304646
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Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...
Persistent link: https://www.econbiz.de/10010306228