Search Results - subject:"Nonparametric kernel"

The relationship between oil and agricultural commodity prices in South Africa : a quantile causality approach

Balcilar, Mehmet; Chang, Shinhye; Gupta, Rangan; … - In: The journal of developing areas 50 (2016) 3, pp. 93-107

Persistent link: https://www.econbiz.de/10011612028

A nonparametric kernel regression approach for pricing options on stock market index

Kung, James J. - In: Applied economics 48 (2016) 10/12, pp. 902-913

Persistent link: https://www.econbiz.de/10011432797

Bandwidth Selection in Nonparametric Kernel Testing

GAO, Jiti; Gijbels, Irene - School of Economics, University of Adelaide - 2009

We propose a sound approach to bandwidth selection in nonparametric kernel testing. The main idea is to find an …

Persistent link: https://www.econbiz.de/10008462876

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

Persistent link: https://www.econbiz.de/10011317144

Bank characteristics and the interbank money market : a distributional approach

Iori, Giulia; Kapar, Burcu; Olmo, Jose - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 3, pp. 249-283

Persistent link: https://www.econbiz.de/10011317162

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

<Para ID="Par1">The fixed effects (‘FE’) estimator of technical inefficiency performs poorly when N (the ’number of firms’) is large and T (the ‘number of time observations’) is small. We propose kernel estimators, which includes the FE estimator as a special case. In terms of criteria based on...</para>

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

A Nonparametric Examination of Capital-Skill Complementarity

Henderson, Daniel J. - Institute for the Study of Labor (IZA) - 2008

This paper uses nonparametric kernel methods to construct observation-specific elasticities of substitution for a … paper uses nonparametric kernel methods to construct observation-specific elasticities of substitution for a balanced panel … is to use nonparametric kernel methods. In addition, these methods have the luxury of not having to assume a specific …

Persistent link: https://www.econbiz.de/10005703173

A Test for Multimodality of Regression Derivatives with an Application to Nonparametric Growth Regressions

Henderson, Daniel J. - Volkswirtschaftliche Fakultät, … - 2008

This paper presents a method to test for multimodality of an estimated kernel density of parameter estimates from a local-linear least-squares regression derivative. The procedure is laid out in seven simple steps and a suggestion for implementation is proposed. A Monte Carlo exercise is used to...

Persistent link: https://www.econbiz.de/10005260194

A nonparametric examination of capital-skill complementarity

Henderson, Daniel J. - 2008

This paper uses nonparametric kernel methods to construct observation-specific elasticities of substitution for a …

Persistent link: https://www.econbiz.de/10010269310

Pricing and Inference with Mixtures of Conditionally Normal Processes.

Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2007

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

Persistent link: https://www.econbiz.de/10004998849