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Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Chen, Xiaohong; Christensen, Timothy - 2013 - rev.

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Persistent link: https://www.econbiz.de/10010197046

Valid locally uniform edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations

Arvanitis, Stelios; Dēmos, Antōnēs A. - In: Journal of time series econometrics 6 (2014) 2, pp. 183-235

Persistent link: https://www.econbiz.de/10010401116

Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions

Chen, Xiaohong; Christensen, Timothy M. - 2014

Persistent link: https://www.econbiz.de/10010470615

Tail risk inference via expectiles in heavy-tailed time series

Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889

Persistent link: https://www.econbiz.de/10014448453

Extreme expectile estimation for short-tailed data, with an application to market risk assessment

Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2023

Persistent link: https://www.econbiz.de/10014227990

Impulse response analysis in a misspecified DSGE model : a comparison of full and limited information techniques

Giesen, Sebastian; Scheufele, Rolf - In: Applied economics letters 23 (2016) 1/3, pp. 162-166

Persistent link: https://www.econbiz.de/10011414505

Omitted variables and misspecified disturbances in the logit model

Cramer, Jan S. - 2005

In binary discrete regression models like logit or probit the omis-sion of a relevant regressor (even if it is orthogonal) depresses the re-maining b coefficients towards zero. For the probit model, Wooldridge(2002) has shown that this bias does not carry over to the effect ofthe regressor on...

Persistent link: https://www.econbiz.de/10011346477

On uniform asymptotic risk of averaging GMM estimators

Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979

zero, while the asymptotic upper bound is zero uniformly over any degree of misspecification. The results apply to …

Persistent link: https://www.econbiz.de/10012049321

Inference in dynamic discrete choice problems under local misspecification

Bugni, Federico A.; Ura, Takuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 67-103

, making them susceptible to model misspecification. This paper investigates how misspecification affects the results of … inference in these models. Specifically, we consider a local misspecification framework in which specification errors are … assumed to vanish at an arbitrary and unknown rate with the sample size. Relative to global misspecification, the local …

Persistent link: https://www.econbiz.de/10011994830

Learning and pricing with models that do not explicitly incorporate competition

Cooper, William L.; Homem-de-Mello, Tito; Kleywegt, Anton J. - In: Operations research 63 (2015) 1, pp. 86-103

Persistent link: https://www.econbiz.de/10010519511