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Nonparametric estimation of first price auctions via density-quantile function

Zhang, Yu Yvette - In: Economics letters 216 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013448332

Sequential Bayesian bandwidth selection for multivariate kernel regression with applications

Li, Yong; Zhang, Mingzhi; Zhang, Yonghui - In: Economic modelling 112 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013349100

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10013539471

When bias contributes to variance : true limit theory in functional coefficient cointegrating regression

Phillips, Peter C. B.; Wang, Ying - In: Journal of econometrics 232 (2023) 2, pp. 469-489

Persistent link: https://www.econbiz.de/10014340035

Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement

Liu, Xiaoyu; Yan, Xing; Zhang, Kun - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1168-1177

Persistent link: https://www.econbiz.de/10014456483

Bandwidth selection for nonparametric regression with errors-in-variables

Dong, Hao; Otsu, Taisuke; Taylor, Luke - In: Econometric reviews 42 (2023) 4, pp. 393-419

Persistent link: https://www.econbiz.de/10014305525

Optimal minimax rates of specification testing with data-driven bandwidth

Hitomi, Kohtaro; Iwasawa, Masamune; Nishiyama, Yoshihiko - In: Econometric reviews 42 (2023) 6, pp. 487-512

Persistent link: https://www.econbiz.de/10014305572

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2009

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

Persistent link: https://www.econbiz.de/10008459760

Un Pronóstico no Paramétrico de la Inflación Colombiana

Norberto Rodríguez N.; Patricia Siado C. - Banco de la Republica de Colombia

This paper contains the results of a non parametric multi-step ahead forecast for the monthly Colombian inflation, using Mean conditional Kernel estimation over inflation changes, with no inclusion of exogenous variables. The results are compared with those from an ARIMA and a nonlinear STAR....

Persistent link: https://www.econbiz.de/10005783908

A Frequency-domain Based Test for Non-correlation between Stationary Time Series

Eichler, Michael - In: Metrika 65 (2007) 2, pp. 133-157

Persistent link: https://www.econbiz.de/10005756194