Similar Search Results

A semiparametric single index model with heterogeneous impacts on an unobserved variable

Lee, Jiyon - In: Journal of Econometrics 184 (2015) 1, pp. 13-36

This paper proposes a single-index semiparametric model in which the unknown function has cross-sectional unit specific weights. The initial motivation comes from the search for a better measure of liquidity in stock trading which is captured by the unknown function here. The model is estimated...

Persistent link: https://www.econbiz.de/10011077588

Specification testing for transformation models with an application to generalized accelerated failure-time models

Lewbel, Arthur; Lu, Xun; Su, Liangjun - In: Journal of Econometrics 184 (2015) 1, pp. 81-96

. Transformation models of this form are commonly assumed in economics, including, e.g., standard specifications of duration models and … hedonic pricing models. Our test statistic is asymptotically normal under local alternatives and consistent against … samples. We apply our results to test for specifications of generalized accelerated failure-time (GAFT) models of the duration …

Persistent link: https://www.econbiz.de/10011077604

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of Econometrics 184 (2015) 1, pp. 124-144

tests are then applied to testing models of short-term interest, using data of Treasury bill rate and Eurodollar deposit … function poorly and none of the parametric interest rate models considered in the paper fit data well. …

Persistent link: https://www.econbiz.de/10011077605

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180

existing procedures based on tightly parameterized models, our approach imposes much fewer structural assumptions, relying on … series models for the tail parameters. …

Persistent link: https://www.econbiz.de/10011077613

Frontier estimation in the presence of measurement error with unknown variance

Kneip, Alois; Simar, Léopold; Van Keilegom, Ingrid - In: Journal of Econometrics 184 (2015) 2, pp. 379-393

Frontier estimation appears in productivity analysis. Firm’s performance is measured by the distance between its output and an optimal production frontier. Frontier estimation becomes difficult if outputs are measured with noise and most approaches rely on restrictive parametric assumptions....

Persistent link: https://www.econbiz.de/10011117412

Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of Econometrics 184 (2015) 2, pp. 242-261

We suggest a semi-nonparametric estimator for the call-option price surface. The estimator is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and expiry dates, we establish sufficient no-arbitrage conditions on the control net of the B-spline surface. The...

Persistent link: https://www.econbiz.de/10011117414

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars - In: Journal of Econometrics 184 (2015) 2, pp. 361-378

We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach....

Persistent link: https://www.econbiz.de/10011117416

Multiplicative-error models with sample selection

Jochmans, Koen - In: Journal of Econometrics 184 (2015) 2, pp. 315-327

This paper presents a simple approach to deal with sample selection in models with multiplicative errors. Models for …

Persistent link: https://www.econbiz.de/10011117417

Goodness-of-fit tests based on series estimators in nonparametric instrumental regression

Breunig, Christoph - In: Journal of Econometrics 184 (2015) 2, pp. 328-346

This paper proposes several tests of restricted specification in nonparametric instrumental regression. Based on series estimators, test statistics are established that allow for tests of the general model against a parametric or nonparametric specification as well as a test of exogeneity of the...

Persistent link: https://www.econbiz.de/10011117418

Inference in semiparametric binary response models with interval data

Wan, Yuanyuan; Xu, Haiqing - In: Journal of Econometrics 184 (2015) 2, pp. 347-360

This paper studies the semiparametric binary response model with interval data investigated by Manski and Tamer (2002). In this partially identified model, we propose a new estimator based on MT’s modified maximum score (MMS) method by introducing density weights to the objective function,...

Persistent link: https://www.econbiz.de/10011117419