Search Results - subject:"kernel regression"

Semiparametric Estimation of Single-Index Transition Intensities

Gørgens, Tue - Økonomisk Institut, Københavns Universitet - 1999

This research develops semiparametric kernel-based estimators of state-specific conditional transition intensitiesm, hs (y|x), for duration models with right-censoring and/or multiple destinations (competing risks). Both discrete and continous duration data are considered. The maintained...

Persistent link: https://www.econbiz.de/10005543524

Nonparametric estimation of multifactor continuous time interest rate models

Downing, Chris - 1999

Persistent link: https://www.econbiz.de/10001450729

Robust nonparametric estimation of the intensity function of point data

Grillenzoni, Carlo - In: AStA Advances in Statistical Analysis 92 (2008) 2, pp. 117-134

Persistent link: https://www.econbiz.de/10005598101

A bootstrap detection for operational determinism

Yao, Qiwei; Tong, Howell - London School of Economics (LSE) - 1998

We propose a bootstrap detection for operationally deterministic versus stochastic nonlinear modelling and illustrate the method with both simulated and real data sets.

Persistent link: https://www.econbiz.de/10010928722

Nonstationary Density Estimation and Kernel Autoregression

Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1998

An asymptotic theory is developed for the kernel density estimate of a random walk and the kernel regression estimator … and in part by initial conditions. The kernel regression estimator is shown to be consistent and to have a mixed normal … with the sample size n, in contrast to the case of a stationary autoregression. However, the convergence rate of the kernel …

Persistent link: https://www.econbiz.de/10005593428

Bandwidth Selection and the Estimation of Treatment Effects with Unbalanced Data

Galdo, Jose; Smith, Jeffrey Andrew; Black, Dan - Institute for the Study of Labor (IZA) - 2007

This paper addresses the selection of smoothing parameters for estimating the average treatment effect on the treated using matching methods. Because precise estimation of the expected counterfactual is particularly important in regions containing the mass of the treated units, we define and...

Persistent link: https://www.econbiz.de/10005822100

An Alternative Methodology for Combining Different Forecasting Models

Tsangari, Haritini - In: Journal of Applied Statistics 34 (2007) 4, pp. 403-421

Many economic and financial time series exhibit heteroskedasticity, where the variability changes are often based on recent past shocks, which cause large or small fluctuations to cluster together. Classical ways of modelling the changing variance include the use of Generalized Autoregressive...

Persistent link: https://www.econbiz.de/10005278995

Local linear regression for generalized linear models with missing data

Wang, C.Y.; Wang, Soujin; Carroll, Raymond J.; … - 1997

Fan, Heckman and Wand (1995) proposed locally weighted kernel polynomial regression methods for generalized linear models and quasilikelihood functions. When the covariate variables are missing at random, we propose a weighted estimator based on the inverse selection probability weights....

Persistent link: https://www.econbiz.de/10010310756

Estimating covariance matrices using estimating functions in nonparametric and semiparametric regression

Carroll, Raymond J.; Iturria, Stephen J.; Gutierrez, … - 1997

We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric regressions.

Persistent link: https://www.econbiz.de/10010310772

Estimating covariance matrices using estimating functions in nonparametric and semiparametric regression

Carroll, Raymond J.; Iturria, Stephen J.; Gutierrez, … - Sonderforschungsbereich 373, Quantifikation und … - 1997

Persistent link: https://www.econbiz.de/10010956344