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Year of publication
Subject
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CAPM 2 Estimation 2 Estimation theory 2 Factor analysis 2 Faktorenanalyse 2 Portfolio selection 2 Portfolio-Management 2 Schätztheorie 2 Schätzung 2 Spline estimator 2 Statistical test 2 Statistischer Test 2 generalized propensity score 2 kernel estimator 2 penalized spline estimator 2 weak unconfoundedness 2 Alpha tests 1 Capital income 1 Conditional alpha test 1 Conditional factor model 1 High dimensionality 1 High-dimensional data 1 Kapitaleinkommen 1 Mean-variance efficiency 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Regression analysis 1 Regressionsanalyse 1 Sparse alternatives 1 Time series analysis 1 Time-varying coefficient. 1 Zeitreihenanalyse 1 dose-response function 1 dose–response function 1 drf 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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Alessandra, MATTEI 1 Alfonso, FLORES-LAGUNES 1 Bao, Jigang 1 Bia, Michela 1 FLORES Carlos A. 1 Feng, Long 1 Flores, Carlos A. 1 Flores-Lagunes, Alfonso 1 Lan, Wei 1 Ma, Huifang 1 Ma, Shujie 1 Mattei, Alessandra 1 Michela, BIA 1 Su, Liangjun 1 Tsai, Chih-Ling 1 Wang, Zhaojun 1
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Institution
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Luxembourg Institute of Socio-Economic Research (CEPS/INSTEAD) 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 LISER Working Paper Series 1 Stata Journal 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Adaptive testing for alphas in conditional factor models with high dimensional assets
Ma, Huifang; Feng, Long; Wang, Zhaojun; Bao, Jigang - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 4, pp. 1356-1366
Persistent link: https://www.econbiz.de/10015533794
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Testing alphas in conditional time-varying factor models with high-dimensional assets
Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227
Persistent link: https://www.econbiz.de/10012179549
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A Stata package for the application of semiparametric estimators of dose-response functions
Michela, BIA; FLORES Carlos A.; Alfonso, FLORES-LAGUNES; … - Luxembourg Institute of Socio-Economic Research … - 2013
In many observational studies the treatment may not be binary or categorical, but rather continuous in nature, so focus is on estimating a continuous dose-response function. In this paper we propose a set of Stata programs to semiparametrically estimate the dose-response function of a continuous...
Persistent link: https://www.econbiz.de/10011098296
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A Stata package for the application of semiparametric estimators of dose–response functions
Bia, Michela; Flores, Carlos A.; Flores-Lagunes, Alfonso; … - In: Stata Journal 14 (2014) 3, pp. 580-604
In many observational studies, the treatment may not be binary or categorical but rather continuous, so the focus is on estimating a continuous dose– response function. In this article, we propose a set of programs that semiparametrically estimate the dose–response function of a continuous...
Persistent link: https://www.econbiz.de/10010934065
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