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In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and the multi-step time-varying coefficient predictive...
Persistent link: https://www.econbiz.de/10011775136
This paper considers a flexible semiparametric spatial autoregressive (mixed-regressive) model in which unknown coefficients are permitted to be nonparametric functions of some contextual variables to allow for potential nonlinearities and parameter heterogeneity in the spatial relationship....
Persistent link: https://www.econbiz.de/10012961818
Background It is a well-known phenomenon that nonlinearities that are inherent in the relationship among economic variables negatively affect the commonly used estimators in the econometric models. The nonlinearities cause an instability of the estimated parameters that, in particular, are...
Persistent link: https://www.econbiz.de/10015108406
This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...
Persistent link: https://www.econbiz.de/10011506243
forecast accuracy over and above the constituent methods. Second, a handful of macroeconomic predictors are found to have …
Persistent link: https://www.econbiz.de/10012859663
This paper considers the estimation of a semi-parametric single-index regression model that allows for nonlinear predictive relationships. This model is useful for predicting financial asset returns, whose observed behavior is described by a stationary process, when the multiple non-stationary...
Persistent link: https://www.econbiz.de/10012822931
The paper proposes a method for forecasting conditional quantiles. In practice, one often does not know the "true" structure of the underlying conditional quantile function. In addition, we may have a potentially large number of the predictors. Mainly intended for such cases, we introduce a...
Persistent link: https://www.econbiz.de/10012945108
-of-sample nonparametric forecast outperforms the historical mean model and linear predictive models …
Persistent link: https://www.econbiz.de/10013307424
either stock return or dividend growth, or both in a local period. Our findings are robust to several forecast horizons …
Persistent link: https://www.econbiz.de/10014258471
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014333333