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A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Scaillet, Olivier - Swiss Finance Institute - 2005

We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such a test we propose and justify inference relying on a simulation based multiplier method and a...

Persistent link: https://www.econbiz.de/10005612063

Semiparametric Inference

He, Zhi - 2010

Semi-parametric and nonparametric modeling and inference have been widely studied duringthe last two decades. In this ….Firstly, we develop a semi-parametric additivity test for nonparametric multi-dimensionalmodel. The test statistic can test two or …

Persistent link: https://www.econbiz.de/10009477898

On the identification of structural linear functionals

Escanciano, Juan Carlos; Li, Wei - 2013

This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified well and which ones cannot. It contributes to answering this question by characterizing the identified set of linear continuous functionals of the NPIVR under norm constraints....

Persistent link: https://www.econbiz.de/10010368214

Estimating features of a distribution from binomial data

Lewbel, Arthur; Linton, Oliver; McFadden, D. L. - London School of Economics (LSE) - 2006

nonparametric and semiparametric specifications. …

Persistent link: https://www.econbiz.de/10010746131

Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - In: International Journal of Forecasting 28 (2012) 2, pp. 446-455

policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting …, that forecasts constructed from semiparametric models perform particularly well over the inflation targeting regime and … that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10010577328

Estimating Features of a Distribution from Binomial Data

Lewbel, Arthur; McFadden, Daniel; Linton, Oliver - Department of Economics, Boston College - 1997

semiparametric specifications. …

Persistent link: https://www.econbiz.de/10005053265

Efficient Regression in Time Series Partial Linear Models

Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear regression, and proposes an efficient frequency domain...

Persistent link: https://www.econbiz.de/10005593565

Partially Linear Models with Unit Roots

Juhl, Ted; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

extension of the semiparametric model analyzed in Robinson (1988). It is proven that the autoregressive parameter can be … estimated at rate N even though part of the model is estimated nonparametrically. Unit root tests based on the semiparametric …

Persistent link: https://www.econbiz.de/10005762744

The distribution of financial aid in China: Is aid reaching poor students?

Loyalka, Prashant; Song, Yingquan; Wei, Jianguo - In: China Economic Review 23 (2012) 4, pp. 898-917

China's central government incrementally introduced various kinds of student financial aid since the late 1990s in response to public concerns about the rising burden of college prices. Despite the marked increase in financial assistance from governmental as well as non-governmental sources in...

Persistent link: https://www.econbiz.de/10010591936

Dynamic autoregressive liquidity (DArLiQ)

Hafner, Christian M.; Linton, Oliver; Wang, Linqi - 2022

Persistent link: https://www.econbiz.de/10013263369