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A nonparametric regression estimator that adapts to error distribution of unknown form

Linton, Oliver Bruce; Xiao, Zhijie - 2001

kernel estimators when the error distribution is not normal. We investigate the finite sample performance of our procedure on …

Persistent link: https://www.econbiz.de/10010310396

Quantile regression estimates for a class of linear and partially linear errors-in-variables models

He, Xuming; Liang, Hua - 1997

We consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically symmetric but otherwise unknown, the regression quantile estimates based...

Persistent link: https://www.econbiz.de/10010310794

Pricing kernel modeling

Belomestny, Denis; Ma, Shujie; Härdle, Wolfgang Karl - 2014

We propose a new method to estimate the empirical pricing kernel based on option data. We estimate the pricing kernel …-neutral density is approximated by a weighted kernel density estimator with varying unknown weights for di erent observations, and the … subjective density is approximated by a kernel density estimator with equal weights. We represent the European call option price …

Persistent link: https://www.econbiz.de/10010491441

Contemporary Issues in Estimating Yield Distributions

Pujula, Aude Liliana; Maradiaga, David Isaias; Dicks, … - 2010

In the research area of crop yield density estimation and in particular in risk analysis, little emphasis has been given to the appropriateness of transformation methods (e.g., removing a linear trend) and how such transformations impact the reliability of the empirical distribution functions...

Persistent link: https://www.econbiz.de/10009446529

A semi-parametric approach to the Oaxaca-Blinder decomposition with continuous group variable and self-selection

Rios-Avila, Fernando - 2019

This paper describes the application of a semiparametric approach, known as a varying coefficients model (Hastie and Tibshirani 1993), to implement a Oaxaca-Blinder type of decomposition in the presence of self-selection into treatment groups for a continuum of comparison groups. The flexibility...

Persistent link: https://www.econbiz.de/10012142977

Identification of a standard AI based technique for credit risk analysis

Punniyamoorthy, M.; Sridevi, P. - In: Benchmarking: An International Journal 23 (2016) 5, pp. 1381-1390

kernels and compared and the classifier with highest classification accuracy for a kernel is identified. Findings – The paper …

Persistent link: https://www.econbiz.de/10014684581

Land value determination in an emerging market: empirical evidence from China

X.H. Bao, Helen; L. Glascock, John; Z. Zhou, Sherry; … - In: International Journal of Managerial Finance 10 (2014) 2, pp. 180-199

Purpose – In this research, the purpose of this paper is to assess the relative pricing behavior for land in Beijing, China. The paper sees this as important for three core reasons. First, China has a strong growth economy but is still in many ways an undeveloped country and thus the paper do...

Persistent link: https://www.econbiz.de/10014785463

Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

Chiang, Min-Hsien; Kao, Chihwa - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537650

A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes

Maasoumi, Esfandiar; Racine, Jeffrey - In: Econometric Reviews 28 (2009) 1-3, pp. 246-261

We consider a metric entropy capable of detecting deviations from symmetry that is suitable for both discrete and continuous processes. A test statistic is constructed from an integrated normed difference between nonparametric estimates of two density functions. The null distribution (symmetry)...

Persistent link: https://www.econbiz.de/10005476080

Industry Dynamics and the Distribution of Firm Sizes: A Non-Parametric Approach

Lotti, Francesca; Santarelli, Enrico - Laboratory of Economics and Management (LEM), Scuola … - 2001

non-parametric technique, the Kernel density estimator, applied to a data set from the Italian National Institute for …

Persistent link: https://www.econbiz.de/10005481670