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Efficient Estimation of Copula-Based Semiparametric Markov Models

Chen, Xiaohong - 2009

functions; where the copulas capture temporal dependence and tail dependence of the processes. The Markov processes generated … via tail dependent copulas may look highly persistent and are useful for financial and economic applications. We first … show that Markov processes generated via Clayton, Gumbel and Student's $t$ copulas and their survival copulas are all …

Persistent link: https://www.econbiz.de/10012718937

Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models

Chen, Xiaohong - 2019

characterized by parametric copulas with nonparametric marginal distributions. The models extend those of Chen and Fan (2006) to …

Persistent link: https://www.econbiz.de/10012857717

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars Peter; Carrasco, Marine - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10014218155

Nonparametric Estimation of a Polarization Measure

Anderson, Gordon; Linton, Oliver; Whang, Yoon-jae - 2009

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution theory of our estimator, which in some cases is nonstandard due to a boundary...

Persistent link: https://www.econbiz.de/10014206206

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments

Chen, Xiaohong; Pouzo, Demian - 2009

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...

Persistent link: https://www.econbiz.de/10014218576

Optimal Sup-Norm Rates, Adaptivity and Inference in Nonparametric Instrumental Variables Estimation

Chen, Xiaohong; Christensen, Timothy - 2015

This paper makes several contributions to the literature on the important yet difficult problem of estimating functions nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric instrumental variables (NPIV) estimation of...

Persistent link: https://www.econbiz.de/10014136704

Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression

Chen, Xiaohong - 2017

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h<sub>0</sub> and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

Persistent link: https://www.econbiz.de/10012963056

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models : A Selective Review

Chen, Xiaohong - 2011

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

Persistent link: https://www.econbiz.de/10013124712

Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Sun, Yixiao - 2010

Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the...

Persistent link: https://www.econbiz.de/10013148975

Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression

Li, Degui - 2013

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform...

Persistent link: https://www.econbiz.de/10013072455