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A study of a semiparametric binary choice model with integrated covariates
Guerre, Emmanuel; Moon, Hyungsik Roger - In: Econometric theory 22 (2006) 4, pp. 721-742
Persistent link: https://www.econbiz.de/10003351880
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A Study of a Semiparametric Binary Choice Model with Integrated Covariates
Guerre, Emmanuel; Moon, Hyungsik Roger - 2005
This paper studies a semiparametric nonstationary binary choice model. Imposing a spherical normalization constraint on the parameter for identification purpose, we find that the MSE and SMSE are at least sqrt(n)-consistent. Comparing this rate to the parametric MLE's convergence rate, we show...
Persistent link: https://www.econbiz.de/10014061338
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Local limit theory and spurious nonparametric regression
Phillips, Peter C. B. - In: Econometric theory 25 (2009) 6, pp. 1466-1497
Persistent link: https://www.econbiz.de/10003904416
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Gaussian estimation of continuous time models of the short term interest rate
Yu, Jun; Phillips, Peter C. B. - 2001
Persistent link: https://www.econbiz.de/10001596325
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Fully nonparametric estimation of scalar diffusion models
Bandi, Federico M.; Phillips, Peter C. B. - 2001
Persistent link: https://www.econbiz.de/10001618860
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Band spectral regression with trending data
Corbae, Dean; Ouliaris, Sam; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 3, pp. 1067-1109
Persistent link: https://www.econbiz.de/10001688017
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A Gaussian approach for continous time models of the short-term interest rate
Yu, Jun; Phillips, Peter C. B. - In: The econometrics journal 4 (2001) 4, pp. 210-224
Persistent link: https://www.econbiz.de/10001651353
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Fully nonparametric estimation of scalar diffusion models
Bandi, Federico M.; Phillips, Peter C. B. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 1, pp. 241-283
Persistent link: https://www.econbiz.de/10001731112
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Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: an integrated approach
Jeffrey, Andrew; Kristensen, Dennis; Linton, Oliver; … - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 251-289
Persistent link: https://www.econbiz.de/10002214284
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Econometric analysis of Fisher's equation
Phillips, Peter C. B. - In: The American journal of economics and sociology 64 (2005) 1, pp. 125-168
Persistent link: https://www.econbiz.de/10002918885