A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Comparing groups with respect to hypothetical constructs requires that the measurement models are equal across groups. Otherwise conclusions drawn from the observed indicators regarding differences at the latent level (mean differences, differences in the structural relations) might be severly...

This article evaluates the performance of structural equation models in validating measurement models for hypothetical constructs and deals with specific issues following from the way this methodology is typically applied in scale construction. In particular, controlling for various types of...

Many researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphically-oriented approach is...

East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wagesspecified in collective wage agreements is drifting ever further apart from the wagegap in terms of effective wages. This paper looks at the role of...

In many applications, covariates are not observed but have to be estimated from data. We outline some regression-type models where such a situation occurs and discuss estimation of the regression function in this context.We review theoretical results on how asymptotic properties of nonparametric...

East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wages specified in collective wage agreements is drifting ever further apart from the wage gap in terms of effective wages. This paper looks at the role of...

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions. The method is based on the bootstrap, where resampling is done from a suitably estimated empirical density function (edf) for residuals. It is known that the approximation error...

We study a general class of semiparametric estimators when the in nite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametrically using generated covariates. Such estimators are used frequently to e.g. estimate nonlinear models with...

A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each point M-estimators over different local...