Showing 81 - 90 of 618
We consider estimation of a functional-coefficient panel data model. This model is useful for modelling time varying and cross-sectionally heterogeneous relationships between economic variables. We allow for arbitrary serial correlation and heteroskedasticity in the model. When the number of...
Persistent link: https://www.econbiz.de/10012971308
We propose semiparametric model averaging schemes for nonlinear dynamic time series regression models with a very large (ultra) number of covariates including exogenous regressors and auto-regressive lags. Our purpose is to obtain accurate forecasts of a response variable making use of a large...
Persistent link: https://www.econbiz.de/10013002099
We study a random design regression model generated by dependent observations, when the regression function itself (or its [nu]-th derivative) may have a change or discontinuity point. A method based on the local polynomial fits with one-sided kernels to estimate the location and the jump size...
Persistent link: https://www.econbiz.de/10005153058
This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size). We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance...
Persistent link: https://www.econbiz.de/10012915138
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice with multiple conditioning variables, where the number of the conditioning variables can be either fixed or di- verging...
Persistent link: https://www.econbiz.de/10013028386
This paper considers the nonparametric M-estimator in a nonlinear cointegration type model. The local time density argument, which was developed by Phillips and Park (1998) [6] and Wang and Phillips (2009) [9], is applied to establish the asymptotic theory for the nonparametric...
Persistent link: https://www.econbiz.de/10008550981
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice with multiple conditioning variables, where the number of the conditioning variables can be either fixed or diverging...
Persistent link: https://www.econbiz.de/10011166134
In this article, we study a partially linear single-index model for longitudinal data under a general framework which includes both the sparse and dense longitudinal data cases. A semiparametric estimation method based on the combination of the local linear smoothing and generalized estimation...
Persistent link: https://www.econbiz.de/10011086671
In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...
Persistent link: https://www.econbiz.de/10010958955
In this paper, we consider a model selection issue in semiparametric panel data models with fixed effects. The modelling framework under investigation can accommodate both nonlinear deterministic trends and cross-sectional dependence. And we consider the so-called "large panels" where both the...
Persistent link: https://www.econbiz.de/10014145864