Search Results - subject:"Nonparametric regression"

Immigration and Heterogeneous Labour in Western Germany: A Labour Market Classification Based on Nonparametric Estimation

Fröhlich, Markus; Puhani, Patrick A - C.E.P.R. Discussion Papers - 2002

markets on the basis of nonparametric regression. We show how this approach can be used to make suggestions for immigration … policy in economies with labour market rigidities. In an application to western Germany it is demonstrated that nonparametric … regression is feasible in higher dimensions with only a few thousand observations. In sum, labour markets able to absorb …

Persistent link: https://www.econbiz.de/10005666760

Variable data driven bandwidth choice in nonparametric quantile regression

Abberger, Klaus - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

The choice of a smoothing parameter or bandwidth is crucial when applying non- parametric regression estimators. In nonparametric mean regression various meth- ods for bandwidth selection exists. But in nonparametric quantile regression band- width choice is still an unsolved problem. In this...

Persistent link: https://www.econbiz.de/10005741232

Local Linear Smoothers Using Asymmetric Kernels

Chen, Song - In: Annals of the Institute of Statistical Mathematics 54 (2002) 2, pp. 312-323

Persistent link: https://www.econbiz.de/10005616309

Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors

Beran, Jan; Feng, Yuanhua - In: Annals of the Institute of Statistical Mathematics 54 (2002) 2, pp. 291-311

Persistent link: https://www.econbiz.de/10005616375

Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors

Beran, Jan; Yuanhua.Feng - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

This paper summarizes recent developments in non- and semiparametric regres- sion with stationary fractional time series errors, where the error process may be short-range, long-range dependent or antipersistent. The trend function in this model is estimated nonparametrically, while the...

Persistent link: https://www.econbiz.de/10005562301

Modelling Different Volatility Components in High-Frequency Financial Returns

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency financial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...

Persistent link: https://www.econbiz.de/10005562306

Immigration and Heterogeneous Labor in Western Germany A Labor Market Classification Based on Nonparametric Estimation

Frölich, Markus; Puhani, Patrick A. - Institute for the Study of Labor (IZA) - 2002

markets on the basis of nonparametric regression. We show how this approach can be used to make suggestions for immigration … policy in economies with labor market rigidities. In an application to western Germany it is demonstrated that nonparametric … regression is feasible in higher dimensions with only a few thousand observations. In sum, labor markets able to absorb …

Persistent link: https://www.econbiz.de/10005822846

Monte Carlo Pricing of American Options Using Nonparametric Regression

Claudio, Pizzi; Paolo, Pellizzari - EconWPA - 2002

estimate by nonparametric regression the continuation value of the option or the optimal exercise policy and the value … functions can then be computed by backward induction. The flexibility of nonparametric regression allows to obtain accurate …

Persistent link: https://www.econbiz.de/10005134676

Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

Persistent link: https://www.econbiz.de/10005357901

Simultaneously Modelling Conditional Heteroskedasticity and Scale Change

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

This paper proposes a semiparametric approach by introducing a smooth scale function into the standard GARCH model so that conditional heteroskedasticity and scale change in a financial time series can be modelled simultaneously. An estimation procedure combining kernel estimation of the scale...

Persistent link: https://www.econbiz.de/10005357914