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On the Performance of Least Squares in Linear Regression with Undefined Error Means
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 1986
undefined means. This model is of interest from a robustness perspective as a polar case. Generally, least squares estimators … the results for robustness theory are discussed. …
Persistent link: https://www.econbiz.de/10005249278
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10010895658
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10010895670
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Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically
Gozalo, Pedro; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1994
consistency and the asymptotic distribution of our procedure. It has superior performance to the usual kernel estimators at or …We introduce a new kernel smoother for nonparametric regression that uses prior information on regression shape in the …
Persistent link: https://www.econbiz.de/10005593214
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The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series
Whang, Yoon-Jae; Linton, Oliver - Cowles Foundation for Research in Economics, Yale University - 1997
time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic …
Persistent link: https://www.econbiz.de/10005593525
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More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
Xiao, Zhijie; Linton, Oliver; Carroll, Raymond J.; … - Cowles Foundation for Research in Economics, Yale University - 2002
We propose a modification of kernel time series regression estimators that improves efficiency when the innovation … that the proposed estimation procedure is more efficient than the conventional kernel method. We also provide simulation …
Persistent link: https://www.econbiz.de/10005196009
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Nonparametric Inference Based on Conditional Moment Inequalities
Andrews, Donald W.K.; Shi, Xiaoxia - Cowles Foundation for Research in Economics, Yale University - 2011
This paper develops methods of inference for nonparametric and semiparametric parameters defined by conditional moment inequalities and/or equalities. The parameters need not be identified. Confidence sets and tests are introduced. The correct uniform asymptotic size of these procedures is...
Persistent link: https://www.econbiz.de/10009399648
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Unit Root Model Selection
Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2008
_n/n -> 0 as n -> infinity. Strong consistency holds when C_n/(loglog n)^3 -> infinity under conventional assumptions on initial …
Persistent link: https://www.econbiz.de/10005463847
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Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
Lieberman, Offer; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013
with an exponential similarity function as its autoregressive coefficient. Consistency of the quasi-maximum likelihood … statistics are suggested. A complete list is provided of the normalization rates required for the consistency proof and for the …
Persistent link: https://www.econbiz.de/10011184577
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Testing for Multiple Bubbles: Limit Theory of Real Time Detectors
Phillips, Peter C.B.; Shi, Shu-Ping; Yu, Jun - Cowles Foundation for Research in Economics, Yale University - 2013
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in Phillips, Wu and Yu (2011, PWY) and Phillips, Shi and Yu (2013b, PSY). Bubbles are modeled using mildly explosive bubble episodes that are embedded within longer periods where the data...
Persistent link: https://www.econbiz.de/10010817220