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In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the...
Persistent link: https://www.econbiz.de/10009614397
finite (2 + (d=p))th absolute moment for d=p < 2.We also establish the asymptotic normality of t statistics for possibly …
Persistent link: https://www.econbiz.de/10010458629
statistics. We first establish a general upper bound on the sup-norm (uniform) convergence rate of a sieve estimator, allowing …
Persistent link: https://www.econbiz.de/10010197046
We develop uniformly valid confidence regions for regression coefficients in a highdimensional sparse median regression model with homoscedastic errors. Our methods are based on a moment equation that is immunized against non-regular estimation of the nuisance part of the median regression...
Persistent link: https://www.econbiz.de/10010462672
permutation test based on the so-called induced order statistics that controls the limiting rejection probability under the null …
Persistent link: https://www.econbiz.de/10011282791
-called induced ordered statistics for the null hypothesis of continuity of the distribution of baseline covariates at the cutoff; and …
Persistent link: https://www.econbiz.de/10011522382
Many empirical studies estimate the structural effect of some variable on an outcome of interest while allowing for many covariates. We present inference methods that account for many covariates. The methods are based on asymptotics where the number of covariates grows as fast as the sample...
Persistent link: https://www.econbiz.de/10011295588
-called induced ordered statistics for the null hypothesis of continuity of the distribution of baseline covariates at the cutoff; and …
Persistent link: https://www.econbiz.de/10011645890
test for continuity of a density at a point based on the so-called g-order statistics, and study its properties under a …
Persistent link: https://www.econbiz.de/10011809514
Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and...
Persistent link: https://www.econbiz.de/10003765985