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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

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

Let's get LADE : robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

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

A flexible semiparametric model for time series

Li, Degui; Linton, Oliver; Lu, Zu-di - 2012

be stationary and near epoch dependent, the approach in this paper is applicable to estimation and forecasting issues in …

Persistent link: https://www.econbiz.de/10009620324

Semiparametric model averaging of ultra-high dimensional time series

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015

In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where the number of exogenous regressors is ultra large and the number of autoregressors is moderately large. In order to accurately forecast the response variable, we propose two semiparametric...

Persistent link: https://www.econbiz.de/10011343005

Kernel block bootstrap

Parente, Paulo M. D. C.; Smith, Richard J. - 2018 - This draft: July 2018

This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel block bootstrap. The bootstrap method, although akin to, offers an improvement over the tapered block bootstrap of Paparoditis and Politis (2001), admitting kernels with unbounded...

Persistent link: https://www.econbiz.de/10011878210

Non-parametric transformation regression with non-stationary data

Linton, Oliver; Wang, Qiying - 2013

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

Instrumental variables estimation of a generalized correlated random coefficients model

Masten, Matthew; Torgovitsky, Alexander - 2014

We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

Persistent link: https://www.econbiz.de/10010227690

Compactness of infinite dimensional parameter spaces

Freyberger, Joachim; Masten, Matthew - 2015

We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider … instrumental variables estimation. …

Persistent link: https://www.econbiz.de/10011412122

Identification and estimation of dynamic structural models with unobserved choices

Hu, Yingyao; Xin, Yi - 2020

This paper develops identification and estimation methods for dynamic structural models when agents' actions are …

Persistent link: https://www.econbiz.de/10012271085

Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and …

Persistent link: https://www.econbiz.de/10010336485