Search Results - subject:"Nonparametric regression"

Nonparametric pseudo-Lagrange multiplier stationarity testing

Landajo, Manuel; Presno, María José - Volkswirtschaftliche Fakultät, … - 2010

The framework of stationarity testing is extended to allow a generic smooth trend function estimated nonparametrically. The asymptotic behavior of the pseudo-Lagrange Multiplier test is analyzed in this setting. The proposed implementation delivers a consistent test whose limiting null...

Persistent link: https://www.econbiz.de/10008685529

Living Standard and Economic Growth: A Fresh Look at the Relationship Through The Nonparametric Approach

Chakraborty, Indrani - eSocialSciences - 2010

methodological issues among which misspecification of the model is most crucial. An alternative approach, viz. the nonparametric … regression method, has been shown to be superior in taking care of this problem. Analysing the data for 88 developing countries …

Persistent link: https://www.econbiz.de/10008690939

Isobars and the efficient market hypothesis

Ivanková, Kristýna - 2010

Isobar surfaces, a method for describing the overall shape of multidimensional data, are estimated by nonparametric … regression and used to evaluate the efficiency of selected markets based on returns of their stock market indices. …

Persistent link: https://www.econbiz.de/10010322194

Isobars and the Efficient Market Hypothesis

Ivanková, Kristýna - Institut ekonomických studií, Univerzita Karlova v Praze - 2010

Persistent link: https://www.econbiz.de/10008455525

Estimating Dynamic Discrete Choice Models with Hyperbolic Discounting, with an Application to Mammography Decisions

Fang, Hanming - 2010

We extend the semi-parametric estimation method for dynamic discrete choice models using Hotz and Miller's (1993) conditional choice probability (CCP) approach to the setting where individuals may have hyperbolic discounting time preferences and may be naive about their time inconsistency. We...

Persistent link: https://www.econbiz.de/10013137310

Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation

Hoffmann, Marc - 2010

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial modeling, when the data are given on an...

Persistent link: https://www.econbiz.de/10013139169