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Recent studies illustrate that under some conditions dynamic stochastic general equilibrium models can be expressed as structural vector autoregressive models of infinite order. Based on this mapping and the theoretical results about vector autoregressive models of infinite order this paper...
Persistent link: https://www.econbiz.de/10013118951
Persistent link: https://www.econbiz.de/10012724688
shrinkage and selection. In this article, we extend its application to the REGression model with AutoRegressive errors (REGAR). Two types of lasso estimators are carefully studied. The first is similar to the traditional lasso estimator with only two tuning parameters (one for regression...
Persistent link: https://www.econbiz.de/10012768308
We propose a method of least squares approximation (LSA) for unified yet simple LASSO estimation. Our general theoretical framework includes ordinary least squares, generalized linear models, quantile regression, and many others as special cases. Speciffically, LSA can transfer many different...
Persistent link: https://www.econbiz.de/10012768309
There has been considerable attention on estimation of conditional variance function in the literature. We propose here a nonparametric model for conditional covariance matrix. A kernel estimator is developed accordingly, its asymptotic bias and variance are derived, and its asymptotic normality...
Persistent link: https://www.econbiz.de/10012768311
We propose in this article a novel dimension reduction method for varying coefficient models. The proposed method explores the rank reducible structure of those varying coefficients, hence, can do dimension reduction and semiparametric estimation, simultaneously. As a result, the new method not...
Persistent link: https://www.econbiz.de/10012768312
By slicing the region of the response (Li, 1991, SIR) and applying local kernel regression (Xia et al., 2002, MAVE) to each slice, a new dimension reduction method is proposed. Compared with the traditional inverse regression methods, e.g. sliced inverse regression (Li, 1991), the new method is...
Persistent link: https://www.econbiz.de/10012768318
This paper studies performance of synthetic ratio estimator and composite estimator, which is a weighted sum of direct and synthetic ratio estimators, under Lahiri–Midzuno (L-M) sampling scheme. Both the estimators under L-M scheme are unbiased and consistent if the assumption of synthetic...
Persistent link: https://www.econbiz.de/10014180772
When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have...
Persistent link: https://www.econbiz.de/10014183205
Multiple regression is frequently used across the various social sciences to analyze cross-sectional data. However, it can often times be challenging to justify the assumption of common regression coefficients across all respondents. This manuscript presents a heterogeneous Bayesian regression...
Persistent link: https://www.econbiz.de/10014042737