Search Results - subject:"Kernel estimation"

Nonparametric Regression with a Latent Time Series

Linton, Oliver; Nielsen, Søren Feodor; Nielsen, Jens Perch - Suntory and Toyota International Centres for Economics … - 2009

In this paper we investigate a class of semiparametric models for panel datasetswhere the cross-section and time dimensions are large. Our model contains alatent time series that is to be estimated and perhaps forecasted along with anonparametric covariate effect. Our model is motivated by the...

Persistent link: https://www.econbiz.de/10008838724

Nonparametric Estimation of a Polarization Measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-Jae - Suntory and Toyota International Centres for Economics … - 2009

Anderson, Ge, and Leo(2006) based on kernel estimation techniques. We give the asymptoticdistribution theory of our estimator … (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some … the study of polarization within China in recent years. Key words: Kernel Estimation; Inequality; Overlap …

Persistent link: https://www.econbiz.de/10008838731

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian M.; Linton, Oliver - Suntory and Toyota International Centres for Economics … - 2009

We propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and...

Persistent link: https://www.econbiz.de/10008838734

A finite sample improvement of the fixed effects estimator applied to technical inefficiency

Wikström, Daniel - In: Journal of Productivity Analysis 43 (2015) 1, pp. 29-46

and kernel estimation lead to very different conclusions about technical inefficiency among Indonesian rice farmers …

Persistent link: https://www.econbiz.de/10011154962

Hybrid wild bootstrap for nonparametric trend estimation in locally stationary time series

Krampe, J.; Kreiss, J.-P.; Paparoditis, E. - In: Statistics & Probability Letters 101 (2015) C, pp. 54-63

Based on consistency and asymptotic normality of a nonparametric kernel trend estimation in the context of locally stationary processes, validity of a hybrid wild bootstrap approach for estimating the distribution of the nonparametric estimator is established. Simulations are presented.

Persistent link: https://www.econbiz.de/10011263156

Forecasting wind power quantiles using conditional kernel estimation

Taylor, James W.; Jeon, Jooyoung - In: Renewable Energy 80 (2015) C, pp. 370-379

The efficient management of wind farms and electricity systems benefit greatly from accurate wind power quantile forecasts. For example, when a wind power producer offers power to the market for a future period, the optimal bid is a quantile of the wind power density. An approach based on...

Persistent link: https://www.econbiz.de/10011263801

Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches

Bolancé, Catalina; Bahraoui, Zuhair; Alemany, Ramon - Xarxa de Referència en Economia Aplicada (XREAP) - 2015

We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing … show that our proposed kernel estimation improves alternative approaches when the variable has an extreme value …

Persistent link: https://www.econbiz.de/10011124481

Multivariate local polynomial kernel estimators : leading bias and asymptotic distribution

Gu, Jingping; Li, Qi; Yang, Jui-Chung - In: Econometric reviews 34 (2015) 6/10, pp. 979-1010

Persistent link: https://www.econbiz.de/10011483447

A flexible semiparametric forecasting model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 187 (2015) 1, pp. 345-357

Persistent link: https://www.econbiz.de/10011499465

Nonparametric identification and estimation of transformation models

Chiappori, Pierre-André; Komunjer, Ivana; Kristensen, … - In: Journal of econometrics 188 (2015) 1, pp. 22-39

Persistent link: https://www.econbiz.de/10011500244