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Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity

Cai, Biqing - 2015

This paper considers a nonlinear time series model associated with both nonstationarity and endogeneity. The proposed …

Persistent link: https://www.econbiz.de/10013014831

Forecasting with Dynamic Pane Data Models

Liu, Laura - 2017

This paper considers the problem of forecasting a collection of short time series using cross sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coeffcients under a correlated random effects distribution. This...

Persistent link: https://www.econbiz.de/10012964303

Forecasting Distribution of Inflation Rates : Functional Autoregressive Approach

Chaudhuri, Kausik - 2015

In line with the recent developments on the statistical analysis of functional data, we develop the semiparametric … functional autoregressive (FAR) modeling approach to the density forecasting analysis of national inflation rates using sectoral … their statistical validity. The fan-chart analysis and the probability event forecasting exercise provide a further support …

Persistent link: https://www.econbiz.de/10013039117

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B. - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time … usual (√nh) rate for nonlinear models with smoothly changing coefficients and local stationarity. Hence two types of super …

Persistent link: https://www.econbiz.de/10013075944

Estimating Smooth Structural Change in Cointegration Models

Phillips, Peter C. B. - 2013

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time … usual rate for nonlinear models with smoothly changing coefficients and local stationarity. Hence two types of super …

Persistent link: https://www.econbiz.de/10013075992

Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

Chen, Xiangjin Bruce - 2013

This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...

Persistent link: https://www.econbiz.de/10013076694

Unstable Volatility Functions : The Break Preserving Local Linear Estimator

Casas, Isabel - 2009

The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989) and...

Persistent link: https://www.econbiz.de/10013155274

Understanding Limit Theorems for Semimartingales : A Short Survey

Podolskij, Mark - 2009

This paper presents a short survey on limit theorems for certain functionals of semimartingales, which are observed at high frequency. Our aim is to explain the main ideas of the theory to a broader audience. We introduce the concept of stable convergence, which is crucial for our purpose. We...

Persistent link: https://www.econbiz.de/10013155852

The Half-Half Plot

Einmahl, John H. J. - 2009

The Half-Half (HH) plot is a new graphical method to investigate qualitatively the shape of a regression curve. The empirical HH-plot counts observations in the lower and upper quarter of a strip that moves horizontally over the scatter plot. The plot displays jumps clearly and reveals further...

Persistent link: https://www.econbiz.de/10013155990

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...

Persistent link: https://www.econbiz.de/10013156186