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Shape constrained estimators in inverse regression models with convolution-type operator

Birke, Melanie; Bissantz, Nicolai - 2007

In this paper we are concerned with shape restricted estimation in inverse regression problems with convolution …) unconstrained estimate of the unknown regression function. An advantage of our approach is that it is not necessary that prior shape … information is known to be valid on the complete domain of the regression function. Instead, it is sufficient if it holds on some …

Persistent link: https://www.econbiz.de/10010298216

Nonparametric estimation of large covariance matrices with conditional sparsity

Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72

Persistent link: https://www.econbiz.de/10012619958

Local linear GMM estimation of functional coefficient IV model with an application to estimating the rate od return to schooling

Su, Liangjun; Murtazashvili, Irina; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 184-207

Persistent link: https://www.econbiz.de/10009754005

A new approach in non-parametric estimation of returns in mean-downside risk portfolio frontier

Ben Salah, Hanene; Gannoun, Ali; Ribatet, Mathieu - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 169-197

Persistent link: https://www.econbiz.de/10012253633

Stressed portfolio optimization with semiparametric method

Han, Chuan-Hsiang; Wang, Kun - In: Financial innovation : FIN 8 (2022), pp. 1-34

Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean-variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and...

Persistent link: https://www.econbiz.de/10013170237

More on confidence intervals for partially identified parameters

Stoye, Jörg - 2008

This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the result's...

Persistent link: https://www.econbiz.de/10010288438

Isotonic regression discontinuity designs

Babii, Andrii; Kumar, Rohit - In: Journal of econometrics 234 (2023) 2, pp. 371-393

Persistent link: https://www.econbiz.de/10014434339

Partial linear quantile regression and bootstrap confidence bands

Härdle, Wolfgang Karl; Ritov, Ya'acov; Song, Song - 2010

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions …

Persistent link: https://www.econbiz.de/10010270724

Estimating a convex function in nonparametric regression

Dette, Holger; Birke, Melanie - 2005

A new nonparametric estimate of a convex regression function is proposed and its stochastic properties are studied. The … method starts with an unconstrained estimate of the derivative of the regression function, which is firstly isotonized and … equivalent to the initial unconstrained estimate if the regression function is in fact convex. If convexity is not present the …

Persistent link: https://www.econbiz.de/10010296683

Imposing and testing curvature conditions on a Box-Cox function

Koebel, Bertrand M.; Falk, Martin; Laisney, François - 2000

We present a new method for imposing and testing concavity of a cost function using asymptotic least squares, which can easily be implemented even for cost functions which are nonlinear in parameters. We provide an illustration on the basis of a (generalized) Box-Cox cost function with six...

Persistent link: https://www.econbiz.de/10010297734