Search Results - subject:"Kernel estimation"

Time-varying panel data models with an additive factor structure

Liu, Fei; Gao, Jiti; Yang, Yanrong - 2020

Persistent link: https://www.econbiz.de/10012610885

In-sample hazard forecasting based on survival models with operational time

Bischofberger, Stephan M. - In: Risks : open access journal 8 (2020) 1/3, pp. 1-17

We introduce a generalization of the one-dimensional accelerated failure time model allowing the covariate effect to be any positive function of the covariate. This function and the baseline hazard rate are estimated nonparametrically via an iterative algorithm. In an application in non-life...

Persistent link: https://www.econbiz.de/10012204339

Nonparametric estimation in panel data models with heterogeneity and time-varyingness

Liu, Fei; Gao, Jiti; Yang, Yanrong - 2019

Persistent link: https://www.econbiz.de/10012606705

Nonparametric testing for information asymmetry in the mortgage servicing market

Jedidi, Helmi; Dionne, Georges - 2019

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

Nonparametric mean-lower partial moment model and enhanced index investment

Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Computers & operations research : and their … 144 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013264891

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

This paper studies a model with both a parametric global trend and a nonparametric local trend. This model may be of interest in a number of applications in economics, finance, ecology, and geology. The model nests the parametric global trend model considered in Phillips (2007) and Robinson...

Persistent link: https://www.econbiz.de/10011941426

Interval estimation of value-at-risk based on nonparametric models

Khraibani, Hussein; Nehme, Bilal; Strauss, Olivier - In: Econometrics 6 (2018) 4, pp. 1-30

nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel …

Persistent link: https://www.econbiz.de/10011995231

Inference on a semiparametric model with global power law and local nonparametric trends

Gao, Jiti; Linton, Oliver; Peng, Bin - 2018

Persistent link: https://www.econbiz.de/10011775194

Estimating latent group structure in time-varying coefficient panel data models

Chen, Jia - 2018 - Version: October 24, 2018

Persistent link: https://www.econbiz.de/10011941321