Search Results - subject:"Smoothing parameter"

Why we should use high values for the smoothing parameter of the Hodrick-Prescott filter

Flaig, Gebhard - 2012

. Many researchers consider the smoothing parameter lambda = 1600 as something like an universal constant. It is well known … components by using the HP filter with a much higher smoothing parameter than commonly used. In addition, a new method - based on … the properties of the differences of the estimated trend - is proposed for the selection of the smoothing parameter. …

Persistent link: https://www.econbiz.de/10010281937

SMOOTHED ESTIMATING EQUATIONS FOR INSTRUMENTAL VARIABLES QUANTILE REGRESSION

Kaplan, David M.; Sun, Yixiao - Department of Economics, University of California-San … - 2012

Persistent link: https://www.econbiz.de/10010817503

Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter

Flaig, Gebhard - CESifo - 2012

. Many researchers consider the smoothing parameter ë = 1600 as something like an universal constant. It is well known that … by using the HP filter with a much higher smoothing parameter than commonly used. In addition, a new method - based on … the properties of the differences of the estimated trend - is proposed for the selection of the smoothing parameter. …

Persistent link: https://www.econbiz.de/10010548563

Online Variable Kernel Estimator: Application to Microarray Data Analysis

Lakhdar, Yissam; Sbai, El Hassan - In: International Journal of Operations Research and … 8 (2017) 1, pp. 58-92

the choice of the bandwidth. The authors present in this article a new technique for determining the optimal smoothing … parameter of OVKE based on the maximum entropy principle (MEP). The robustness and performance of the proposed approach are …

Persistent link: https://www.econbiz.de/10012046926

A fixed-bandwidth view of the pre-asymptotic inference for kernel smoothing with time series data

Kim, Min Seong; Sun, Yixiao; Yang, Jingjing - In: Journal of econometrics 197 (2017) 2, pp. 298-322

Persistent link: https://www.econbiz.de/10011818361

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Sun, Yixiao; Phillips, Peter C.B.; Jin, Sainan - Cowles Foundation for Research in Economics, Yale University - 2010

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...

Persistent link: https://www.econbiz.de/10008493456

Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter

Flaig, Gebhard - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 518-538

series. Many researchers consider the smoothing parameter λ = 1600 as something like a universal constant. It is well known … components by using the HP filter with a much higher smoothing parameter than commonly used. In addition, a new method - based on … the properties of the differences of the estimated trend - is proposed for the selection of the smoothing parameter. …

Persistent link: https://www.econbiz.de/10014609545

Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion

Kaplan, David M. - In: Journal of Econometrics 185 (2015) 1, pp. 20-32

To estimate a sample quantile’s variance, the quantile spacing method involves smoothing parameter m. When m,n→∞, the …

Persistent link: https://www.econbiz.de/10011190724

Why we should use high values for the smoothing parameter of the Hodrick-Prescott filter

Flaig, Gebhard - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 6, pp. 518-538

Persistent link: https://www.econbiz.de/10011431777

Improved quantile inference via fixed-smoothing asymptotics and Edgeworth expansion

Kaplan, David M. - In: Journal of econometrics 185 (2015) 1, pp. 20-32

Persistent link: https://www.econbiz.de/10011339909