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Semiparametric Estimation of Locally Stationary Diffusion Models
Koo, Bonsoo - 2010
This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown quantities based on long span data. Our estimation...
Persistent link: https://www.econbiz.de/10013135540
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Semiparametric Estimation of Markov Decision Processes with Continuous State Space
Linton, Oliver - 2010
discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation …
Persistent link: https://www.econbiz.de/10013135541
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Loch Linear Fitting Under Near Epoch Dependence : Uniform Consistency with Convergence Rate
Li, Degui - 2010
models are also discussed. The results of this paper will be of widely potential interest in time series semiparametric …
Persistent link: https://www.econbiz.de/10013135542
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Estimation of Structural Optimization Models : A Note on Identification
Srisuma, Sorawoot - 2010
Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can...
Persistent link: https://www.econbiz.de/10013135543
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Adapting Kernel Estimation to Uncertain Smoothness
Kotlyarova, Yulia - 2011
For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate of convergence. In practice, even with smoothness the estimation errors may...
Persistent link: https://www.econbiz.de/10013119982
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Inference on Power Law Spatial Trends (Running Title : Power Law Trends)
Robinson, Peter M. - 2011
for improved estimation, and possibilities of extension to more general or alternative trending models, and to allow for … offering machinery useful in developing inference for a variety of models in which power law trends are a component. Indeed …, the paper also makes a contribution that is potentially relevant to many other statistical models: our problem is one of …
Persistent link: https://www.econbiz.de/10013119983
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Estimation of a Semiparametric IGARCH(1,1) Model
Kim, Woocheol - 2010
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable...
Persistent link: https://www.econbiz.de/10013148177
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Efficient Estimation of a Multivariate Multiplicative Volatility Model
Hafner, Christian M. - 2010
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We suggest various kernel-based estimation procedures for the parametric and...
Persistent link: https://www.econbiz.de/10013148178
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Nonparametric Estimation of a Polarization Measure
Anderson, Gordon - 2010
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/10013148181
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Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and its Application to the Additive Model
Kong, Efang - 2010
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,▁X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These...
Persistent link: https://www.econbiz.de/10013148183