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Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020

Persistent link: https://www.econbiz.de/10012216029

Variable selection in additive models by nonnegative garrote

Cantoni, Eva (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003335752

A partially linear kernel estimator for categorical data

Gao, Qi; Liu, Long; Racine, Jeffrey - In: Econometric reviews 34 (2015) 6/10, pp. 959-978

Persistent link: https://www.econbiz.de/10011483412

Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates

Chen, Xirong; Li, Degui; Li, Qi; Li, Zheng - In: Journal of econometrics 212 (2019) 2, pp. 433-450

Persistent link: https://www.econbiz.de/10012304042

Optimal model averaging of mixed-data kernel-weighted spline regressions

Racine, Jeffrey; Li, Qi; Yu, Dalei; Zheng, Li - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1251-1261

Persistent link: https://www.econbiz.de/10014448627

Kernel averaging estimators

Zhu, Rong; Zhang, Xinyu; Wan, Alan T. K.; Zou, Guohua - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 157-169

Persistent link: https://www.econbiz.de/10013540662

Forecasting with functional and twice censored data

Sarra, Leulmi - In: Operations research forum 5 (2024) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10015182076

Nonparametric panel data regression with parametric cross-sectional dependence

Soberon, Alexandra; Rodríguez Poo, Juan Manuel; … - In: The econometrics journal 25 (2022) 1, pp. 114-133

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Optimal bandwidth selection for robust generalized method of moments estimation

Wilhelm, Daniel - 2014

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Persistent link: https://www.econbiz.de/10010336485