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Persistent link: https://www.econbiz.de/10005635993
The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the...
Persistent link: https://www.econbiz.de/10010780369
We consider a kernel-based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce a test procedure of the reversibility hypothesis. The method is applied to the analysis of stochastic differential equation from high-frequency data on stock returns.
Persistent link: https://www.econbiz.de/10011148878
We decompose a stationary Markov process (Xt) as a linear combination of ARMA. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).
Persistent link: https://www.econbiz.de/10011148948
Persistent link: https://www.econbiz.de/10005571942
The focus of the paper is the nonparametric estimation of an instrumental regression function ϕ defined by conditional moment restrictions stemming from a structural econometric model: E [Y − ϕ (Z) | W] = 0, and involving endogenous variables Y and Z and instruments W . The function ϕ is...
Persistent link: https://www.econbiz.de/10005766404
The focus of the paper is the nonparametric estimation of an instrumental regression function P defined by conditional moment restrictions stemming from a structural econometric model : E[Y-P(Z)|W]=0 and involving endogenous variables Y and Z and instruments W. The function P is the solution of...
Persistent link: https://www.econbiz.de/10005729772
Persistent link: https://www.econbiz.de/10005703975
Persistent link: https://www.econbiz.de/10005704055
Persistent link: https://www.econbiz.de/10005704066