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Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Shimotsu, Katsumi (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003295720
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Semiparametric error-correction models for cointegration with trends : Pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Hallin, Marc; Akker, Ramon van den; Werker, Bas J. M. - In: Journal of econometrics 190 (2016) 1, pp. 46-61
Persistent link: https://www.econbiz.de/10011591614
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Asymptotic theory for cointegration analysis when the cointegration rank is deficient
Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …
Persistent link: https://www.econbiz.de/10012025653
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A derivative based estimator for semiparametric index models
Donkers, Bas (contributor); Schafgans, Marcia (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001773692
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A derivative based estimator for semiparametric index models
Donkers, Bas (contributor); Schafgans, Marcia (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001783545
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Weighted Rank Estimators
Subbotin, Viktor - 2008
Rank-based estimators are important tools of robust estimation in popular semiparametric models under monotonicity constraints. Here we study weighted versions of such estimators. Optimally weighted monotone rank estimator (MR) of Cavanagh and Sherman (1998) attains the semiparametric efficiency...
Persistent link: https://www.econbiz.de/10014216785
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Testing rank similarity in the local average treatment effects model
Kim, Ju Hyun; Park, Byoung Gun - In: Econometric reviews 41 (2022) 10, pp. 1265-1286
Persistent link: https://www.econbiz.de/10013490706
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A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model
Bijwaard, Govert - 2010
Ridder and Woutersen (2003) have shown that under a weak condition on the baseline hazard there exist root-N consistent estimators of the parameters in a semiparametric Mixed Proportional Hazard model with a parametric baseline hazard and unspecified distribution of the unobserved heterogeneity....
Persistent link: https://www.econbiz.de/10013150359
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Rank estimation of partially linear index models
Abrevaya, Jason; Shin, Youngki - In: The econometrics journal 14 (2011) 3, pp. 409-437
Persistent link: https://www.econbiz.de/10009382516
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A note on one-sided nonparametric analysis of covariance by ranking residuals
Neumeyer, Natalie; Dette, Holger - 2002
In a recent paper Speckman et al. (2002) introduced a technique for accounting co-variates when their effects are nonlinear. They proposed a test for a one-sided analysis of covariance which is based on a rank test for the residuals obtained by smoothing the dependent variable on the covariate....
Persistent link: https://www.econbiz.de/10009770528