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Estimation and inference for varying-coeffcient models with nonstationary regressors using penalized splines

Chen, Haiqiang; Fang, Ying; Li, Yingxing - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing...

Persistent link: https://www.econbiz.de/10009767261

Estimating the spot covariation of asset prices : statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...

Persistent link: https://www.econbiz.de/10010412428

Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013

An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...

Persistent link: https://www.econbiz.de/10009738265

A simultaneous confidence corridor for varying coefficient regression with sparse functional data

Gu, Lijie; Wang, Li; Härdle, Wolfgang; Yang, Lijian - 2014

We consider a varying coefficient regression model for sparse functional data, with time varying response variable depending linearly on some time independent covariates with coefficients as functions of time dependent covariates. Based on spline smoothing, we propose data driven simultaneous...

Persistent link: https://www.econbiz.de/10010225740

Efficient iterative maximum likelihood estimation of high-parameterized time series models

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014

We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...

Persistent link: https://www.econbiz.de/10010235324

Independent component analysis via copula techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - 2008

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Persistent link: https://www.econbiz.de/10003635977

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Persistent link: https://www.econbiz.de/10003952795

Bayesian estimation and model selection in the generalised stochastic unit root model

Yang, Fuyu; Leon-Gonzalez, Roberto - 2010

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR) model. This allows us to investigate the presence of a deterministic time trend in economic series, while allowing the degree of persistence to change over time. In particular...

Persistent link: https://www.econbiz.de/10003952817

Explaining regional unemployment differences in Germany : a spatial panel data analysis

Lottmann, Franziska - 2012

This paper analyzes determinants for regional differences in German unemployment rates. We specify a spatial panel … panel model is the best model for this analysis. Furthermore, we find that German regional unemployment is of disequilibrium … nature, which justifies political interventions. -- regional unemployment ; spatial dependence ; spatial panel models …

Persistent link: https://www.econbiz.de/10009511323

Spatial dependencies in German matching functions

Schulze, Franziska - 2010 - This version: October 2010

This paper proposes a spatial panel model for German matching functions to avoid possibly biased and inefficient …

Persistent link: https://www.econbiz.de/10008749846