Narrow search
Showing 1 - 10 of 73
Cover Image
A nonparametric test of a strong leverage hypothesis
Linton, Oliver; Whang, Yoon-Jae; Yen, Yu-Min - Centre for Microdata Methods and Practice (CEMMAP) - 2013
The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...
Persistent link: https://www.econbiz.de/10010827516
Cover Image
A nonparametric test of the leverage hypothesis
Linton, Oliver; Whang, Yoon-Jae; Yen, Yu-Min - Centre for Microdata Methods and Practice (CEMMAP) - 2012
The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...
Persistent link: https://www.econbiz.de/10010570554
Cover Image
Estimating average marginal effects in nonseparable structural systems
Schennach, Susanne; White, Halbert; Chalak, Karim - Centre for Microdata Methods and Practice (CEMMAP) - 2007
<p><p>We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...</p></p>
Persistent link: https://www.econbiz.de/10005509545
Cover Image
Identifying the returns to lying when the truth is unobserved
Hu, Yingyao; Lewbel, Arthur - Centre for Microdata Methods and Practice (CEMMAP) - 2008
variable Y . This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0 …
Persistent link: https://www.econbiz.de/10005509568
Cover Image
Optimal uniform convergence rates for sieve nonparametric instrumental variables regression
Chen, Xiaohong; Christensen, Timothy - Centre for Microdata Methods and Practice (CEMMAP) - 2013
We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...
Persistent link: https://www.econbiz.de/10010827532
Cover Image
Identification and shape restrictions in nonparametric instrumental variables estimation
Freyberger, Joachim; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013
This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...
Persistent link: https://www.econbiz.de/10010827553
Cover Image
Adaptive nonparametric instrumental variables estimation: empirical choice of the regularisation parameter
Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2013
In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …
Persistent link: https://www.econbiz.de/10010827570
Cover Image
Averaging of moment condition estimators
Chen, Xiaohong; Jacho-Chavez, David T.; Linton, Oliver - Centre for Microdata Methods and Practice (CEMMAP) - 2012
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v n- consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...
Persistent link: https://www.econbiz.de/10010575249
Cover Image
Efficient information theoretic inference for conditional moment restrictions
Smith, Richard - Centre for Microdata Methods and Practice (CEMMAP) - 2005
of explicit estimation of the conditional Jacobian and variance matrices of the conditional moment restrictions and …
Persistent link: https://www.econbiz.de/10005811463
Cover Image
Generalized nonparametric deconvolution with an application to earnings dynamics
Bonhomme, Stéphane; Robin, Jean-Marc - Centre for Microdata Methods and Practice (CEMMAP) - 2008
<p><p><p>In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The...</p></p></p>
Persistent link: https://www.econbiz.de/10005727657