Search Results - subject:"Kernel"

Time-varying income elasticities of healthcare expenditure for the OECD and Eurozone

Casas, Isabel; Gao, Jiti; Peng, Bin; Xie, Shangyu - 2019

Persistent link: https://www.econbiz.de/10012606723

Identification and estimation of differentiated products models

Byrne, David P.; Imai, Susumu; Jain, Neelam; Sarafidis, … - 2019

Persistent link: https://www.econbiz.de/10012606747

Nonparametric homogeneity pursuit in functional-coefficient models

Chen, Jia; Li, Degui; Wei, Lingling; Zhang, Wenyang - 2019

Persistent link: https://www.econbiz.de/10011978838

Testing market efficiency with the pricing kernel

Barone-Adesi, Giovanni; Sala, Carlo - 2019

Market efficiency and the pricing kernel are closely related. A non-monotonic decreasing pricing kernel implies the … kernel find non-monotonicity, apparently ruling out market efficiency. However, these results are often unreliable, because … the pricing measures of the pricing kernel are estimated using differing filtration sets. We show this effect both …

Persistent link: https://www.econbiz.de/10012179592

SuperMix: sparse regularization for mixture

Castro, Yohann de; Gadat, Sébastien; Marteau, Clément; … - 2019 - Reprint version of July 20, 2019

Persistent link: https://www.econbiz.de/10012182227

A semi-parametric approach to the Oaxaca–Blinder decomposition with continuous group variable and self-selection

Rios-Avila, Fernando - In: Econometrics : open access journal 7 (2019) 2/28, pp. 1-29

This paper presents an extension to the Oaxaca–Blinder decomposition with continuous groups using a semiparametric approach known as varying coefficients model. To account for potential self-selection into the continuum of groups, the use of inverse mills ratios is expanded upon following the...

Persistent link: https://www.econbiz.de/10012025729

Threshold regression with endogeneity for short panels

Gørgens, Tue; Würtz, Allan H. - In: Econometrics : open access journal 7 (2019) 2/23, pp. 1-8

This paper considers the estimation of dynamic threshold regression models with fixed effects using short panel data. We examine a two-step method, where the threshold parameter is estimated nonparametrically at the N-rate and the remaining parameters are estimated by GMM at the √N-rate. We...

Persistent link: https://www.econbiz.de/10012025781

A study on volatility spurious almost integration effect : a threshold realized GARCH approach

Xu, Dinghai - 2019

Persistent link: https://www.econbiz.de/10012137575

Nonparametric regression with selectively missing covariates

Breunig, Christoph; Haan, Peter - 2019

We consider the problem of regressions with selectively observed covariates in a nonparametric framework. Our approach relies on instrumental variables that explain variation in the latent covariates but have no direct e ffect on selection. The regression function of interest is shown to be a...

Persistent link: https://www.econbiz.de/10012138698

Nonparametric testing for information asymmetry in the mortgage servicing market

Jedidi, Helmi; Dionne, Georges - 2019

Persistent link: https://www.econbiz.de/10012139162