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P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover … in most simulation settings. FPs however, are prone to artefacts due to the specific choice of the origin, while P …
Persistent link: https://www.econbiz.de/10008498109
Persistent link: https://www.econbiz.de/10005598078
features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover …
Persistent link: https://www.econbiz.de/10009736613
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …
Persistent link: https://www.econbiz.de/10012944869
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test … specification testing of the production frontier function even under heteroscedasticity. Simulation studies and a real data example …
Persistent link: https://www.econbiz.de/10011739112
Many empirical studies have analyzed the interations between the stock market and aggregate economic activity by examining either their short run or long run relationships, as the time series methodologies employed (cointegration analysis) may separate out just two time scales in economic time...
Persistent link: https://www.econbiz.de/10005537491
Literature has documented tremendous changes in classical regression analysis techniques since 1980s. The drawbacks of simple and multiple parametric regression analyses on model specifications and the non-robust assumption of error terms followed by the introduction of a series of diagnostic...
Persistent link: https://www.econbiz.de/10010686083
The specialization patterns of metropolitan areas are crucial in characterizing the effects of economic integration in Europe. This paper aims to provide and estimate an econometric model that explains both sectoral specialization and sectoral dissimilarity, measured with the GINI and the...
Persistent link: https://www.econbiz.de/10011048890
The specialization patterns of metropolitan areas are crucial in characterizing the effects of economic integration in Europe. This paper aims to provide and estimate an econometric model that explains both sectoral specialization and sectoral dissimilarity, measured with the GINI and the...
Persistent link: https://www.econbiz.de/10011141767
A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the...
Persistent link: https://www.econbiz.de/10010983799