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Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
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Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82
Persistent link: https://www.econbiz.de/10013441915
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Kernel-based testing with skewed and heavy-tailed data : evidence from a nonparametric test for heteroskedasticity
Henderson, Daniel J.; Sheehan, Alice - In: Economics letters 172 (2018), pp. 8-11
Persistent link: https://www.econbiz.de/10012022060
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A simple and trustworthy asymptotic t test in difference-in-differences regressions
Liu, Cheng; Sun, Yixiao - In: Journal of econometrics 210 (2019) 2, pp. 327-362
Persistent link: https://www.econbiz.de/10012303533
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Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Chen, Yu; Ma, Mengyuan; Sun, Hongfang - In: Insurance / Mathematics & economics 111 (2023), pp. 142-162
Persistent link: https://www.econbiz.de/10014317142
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Adaptive nonparametric regression with conditional heteroskedasticity
Jin, Sainan; Su, Liangjun; Xiao, Zhijie - In: Econometric theory 31 (2015) 6, pp. 1153-1191
Persistent link: https://www.econbiz.de/10011545532
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Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
Linton, Oliver; Xiao, Zhijie - In: Journal of econometrics 213 (2019) 2, pp. 608-631
Persistent link: https://www.econbiz.de/10012304598
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Bayesian two-stage regression with parametric heteroscedasticity
Luoma, Arto; Luoto, Jani - In: Bayesian econometrics, (pp. 309-328). 2008
. Our choice for modeling heteroscedasticity is a fully Bayesian parametric approach. As an application, we present a cross …
Persistent link: https://www.econbiz.de/10015383636
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Fully nonparametric Bayesian additive regression trees
George, Edward; Laud, Purushottam W.; Logan, Brent; … - 2019
Persistent link: https://www.econbiz.de/10012244171
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Tail forecasting with multivariate bayesian additive regression trees
Clark, Todd E.; Huber, Florian; Koop, Gary; Marcellino, … - 2022
Persistent link: https://www.econbiz.de/10013281184