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Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous … of the unobserved errors, while the regression function is estimated using the Nadaraya-Watson estimator admitting … nonparametric regression model of the Australian All Ordinaries returns and the kernel density estimation of gross domestic product …

Persistent link: https://www.econbiz.de/10011506243

Semiparametric GARCH via Bayesian model averaging

Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452

Persistent link: https://www.econbiz.de/10012499090

Bayesian bandwidth estimation for local linear fitting in nonparametric regression models

Shang, Han Lin; Zhang, Xibin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 55-71

Persistent link: https://www.econbiz.de/10013334620

Dynamic quantile function models

Chen, Wilson Ye; Peters, Gareth; Gerlach, Richard H.; … - In: Quantitative finance 22 (2022) 9, pp. 1665-1691

Persistent link: https://www.econbiz.de/10013367940

A Bayesian sampling approach to measuring the price responsiveness of gasoline demand using a constrained partially linear model

Chen, Haotian; Smyth, Russell; Zhang, Xibin - In: Energy economics 67 (2017), pp. 346-354

Persistent link: https://www.econbiz.de/10011897930

Bayesian bandwidth estimation in nonparametric time-varying coefficient models

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - 2015 - Revised 13, 07

Persistent link: https://www.econbiz.de/10011781131

Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility

Dimitrakopoulos, Stefanos - In: Economics letters 150 (2017), pp. 10-14

Persistent link: https://www.econbiz.de/10011761750

Bayesian bandwidth estimation in nonparametric time-varying coefficient models

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10012175865

On the estimation of total factor productivity : a novel Bayesian non-parametric approach

Tsionas, Efthymios G.; Polemis, Michael - In: European journal of operational research : EJOR 277 (2019) 3, pp. 886-902

Persistent link: https://www.econbiz.de/10012102208

On tree-structured linear and quantile regression-based asset pricing

Galakis, John; Vrontos, Ioannis; Xidonas, Panos - In: Review of accounting & finance 21 (2022) 3, pp. 204-245

Persistent link: https://www.econbiz.de/10013368270