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The efficiency of bias-corrected estimators for nonparametric kernel estimation based on local estimating equations

Kauermann, Göran; Müller, Marlene; Carroll, Raymond J. - Sonderforschungsbereich 373, Quantifikation und … - 1997

Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative...

Persistent link: https://www.econbiz.de/10010983807

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - Sonderforschungsbereich 373, Quantifikation und … - 1997

asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting … bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint … distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general …

Persistent link: https://www.econbiz.de/10010956559

Design aspects of calibration studies in nutrition, with analysis of missing data in linear measurement error models

Carroll, Raymond J.; Freedman, Laurence; Pee, David - Sonderforschungsbereich 373, Quantifikation und … - 1997

Motivated by an example in nutritional epidemiology, we investigate some design and analysis aspects of linear measurement error models with missing surrogate data. The specific problem investigated consists of an initial large sample in which the response (a food frequency questionnaire, FFQ)...

Persistent link: https://www.econbiz.de/10010956346

Quantile regression estimates for a class of linear and partially linear errors-in-variables models

He, Xuming; Liang, Hua - Sonderforschungsbereich 373, Quantifikation und … - 1997

We consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically symmetric but otherwise unknown, the regression quantile estimates based...

Persistent link: https://www.econbiz.de/10010956497

Asymptotic properties of model selection procedures in linear regression

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 2003

In regression analysis there is typically a large collection of competing models available from which we want to select an appropriate one. This paper is concerned with asymptotic properties of procedures for selecting linear models, which are based on certain data-dependent criteria such as...

Persistent link: https://www.econbiz.de/10010983440

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Persistent link: https://www.econbiz.de/10010983450

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10010983813

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - Sonderforschungsbereich 373, Quantifikation und … - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10010956350

Asymptotic optimality of full cross-validation for selecting linear regression models

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 1997

For the problem of model selection, full cross-validation has been proposed as alternative criterion to the traditional cross-validation, particularly in cases where the latter one is not well defined. To justify the use of the new proposal we show that under some conditions, both criteria share...

Persistent link: https://www.econbiz.de/10010956413

A state space model for Berlin house prices

Schulz, Rainer; Werwatz, Axel - Sonderforschungsbereich 373, Quantifikation und … - 2001

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Persistent link: https://www.econbiz.de/10010956415