Showing 1 - 10 of 485
Persistent link: https://www.econbiz.de/10002996750
proposed by Xiao et al. (2008). We show that this method continues to improve estimation in the case where the regressor is a …
Persistent link: https://www.econbiz.de/10009734305
In this paper, we study a nonparametric regression model including a periodic component, a smooth trend function, and a stochastic error term. We propose a procedure to estimate the unknown period and the function values of the periodic component as well as the nonparametric trend function. The...
Persistent link: https://www.econbiz.de/10009614392
A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
This paper develops a novel approach that leverages the information contained in expectations datasets to derive empirical measures of beliefs regarding economic shocks and their dynamic effects. Utilizing a panel of expectation revisions for a single variable across multiple horizons, we...
Persistent link: https://www.econbiz.de/10015123512
robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …
Persistent link: https://www.econbiz.de/10009719116
include a linear form of the integrated variable. Heteroscedasticity is allowed for in all models. We propose an estimation …
Persistent link: https://www.econbiz.de/10011775349
This paper develops a novel method for policy choice in a dynamic setting where the available data is a multi-variate time series. Building on the statistical treatment choice framework, we propose Time-series Empirical Welfare Maximization (T-EWM) methods to estimate an optimal policy rule by...
Persistent link: https://www.econbiz.de/10015168545
The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...
Persistent link: https://www.econbiz.de/10009504597