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Nonparametric estimation of structural change points in volatility models for time series

Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114

Persistent link: https://www.econbiz.de/10002538638

Semiparametric estimation in time series regressioon with long range dependence

Nielsen, Morten Ørregaard (contributor) - 2004 - [Elektronische Resource]

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Robust and consistent estimation of nonlinear errors-in-variables models

Li, Tong - In: Journal of econometrics 110 (2002) 1, pp. 1-26

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The specification of conditional expectations

Harvey, Campbell R. - In: Journal of empirical finance 8 (2001) 5, pp. 573-637

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Nonparametric generalized least squares in applied regression analysis

O'Hara, Michael E.; Parmeter, Christopher F. - In: Pacific economic review 18 (2013) 4, pp. 456-474

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Specification and estimation of rating scale models : with an application to the determinants of life satisfaction

Studer, Raphael; Winkelmann, Rainer - 2011

This article proposes a new class of rating scale models, which merges advantages and overcomes shortcomings of the traditional linear and ordered latent regression models. Both parametric and semi-parametric estimation is considered. The insights of an empirical application to satisfaction data...

Persistent link: https://www.econbiz.de/10009738618

Specification and estimation of rating scale models : with an application to the determinants of life satisfaction

Studer, Raphael; Winkelmann, Rainer - 2011

Rating variables indicate the extent to which a quality is present, or absent, in a unit of observation. In this paper, we discuss a class of non-linear regression models for rating dependent variables and their estimation by parametric and semiparametric methods. An application to life...

Persistent link: https://www.econbiz.de/10009124255

Is integration I(d) applicable to observed economics and finance time series?

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: International review of financial analysis 18 (2009) 3, pp. 101-108

Persistent link: https://www.econbiz.de/10003880011

Martingale limit theorem revisited and nonlinear cointegrating regression

Wang, Qiying - In: Econometric theory 30 (2014) 3, pp. 509-535

Persistent link: https://www.econbiz.de/10010500889

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - 2003

statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U ….F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10011332818