Search Results - subject:"Nonlinear regression"

Non-linear unit root properties of crude oil production

Maslyuk, Svetlana; Smyth, Russell - 2007

Persistent link: https://www.econbiz.de/10003599238

Semiparametric Regression with Kernel Error Model

Yuan, Ao; Gooijer, Jan G. De - 2006

We propose and study a class of regression models, in which the mean function is specified parametrically as in the existing regression methods, but the residual distribution is modeled nonparametrically by a kernel estimator, without imposing any assumption on its distribution. This...

Persistent link: https://www.econbiz.de/10010325609

The Uniqueness of Extremum Estimation

Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006

exponential families and nonlinear regression models with independent disturbances as well as the maximum likelihood estimation of … important applications, the maximum likelihood estimation in curved exponential families and nonlinear regression models with … are treated. Keywords: Extremum estimation, Sard’s theorem, nonlinear regression, curved exponential families, Gumbel …

Persistent link: https://www.econbiz.de/10005489974

Semiparametric Regression with Kernel Error Model

Yuan, Ao; Gooijer, Jan G. De - Tinbergen Instituut - 2006

Persistent link: https://www.econbiz.de/10011257647

A Note on Numerical Estimation of Sato’s Two-Level CES Production Function

Mishra, SK - Volkswirtschaftliche Fakultät, … - 2006

In this paper Sato’s two-level CES production function has been estimated by nonlinear regression carried out through …

Persistent link: https://www.econbiz.de/10005621933

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Asymptotically Nuisance-Parameter-Free Consistent Tests of Lp-Functional Form

Hill, Jonathan - Department of Economics, Florida International University - 2006

We develop a consistent conditional moment test of Lp-best predictor functional form, 1p=2. Our main result is a reduction of the nuisance parameter space to the set of integers which greatly simplifies asymptotic theory, and allows for removal of the nuisance parameter in a mechanical fashion....

Persistent link: https://www.econbiz.de/10005190282

Nonlinear Impulse Response Functions

Potter, Simon M. - 2006

The standard linear technique of impulse response function analysis is extended to the nonlinear case by defining a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series

Persistent link: https://www.econbiz.de/10014193860

Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?

Koop, Gary; Potter, Simon M. - 2006

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g., a threshold autoregressive...

Persistent link: https://www.econbiz.de/10014193866

Forecast errors and the macroeconomy : a non-linear relationship?

Fritsche, Ulrich; Döpke, Jörg - 2006 - This version: February 2006

The paper analyses reasons for departures from strong rationality of growth and inflation forecasts based on annual observations from 1963 to 2004. We rely on forecasts from the joint forecast of the so-called "six leading" forecasting institutions in Germany and argue that violations of the...

Persistent link: https://www.econbiz.de/10010426366