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Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing

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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - In: Quantitative economics : QE ; journal of the … 9 (2018) 1, pp. 39-84

This paper makes several important contributions to the literature about non- parametric instrumental variables (NPIV ) estimation and inference on a structural function h 0 and functionals of h 0 .First,wederivesup-normconvergence rates for computationally simple sieve NPIV (series two-stage...

Persistent link: https://www.econbiz.de/10011884399

Mixed-scale jump regressions with bootstrap inference

Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432

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Simulation optimization through regression or Krigin metamodels

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Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Chen, Xiaohong; Christensen, Timothy M. - 2017 - Revised: January 25, 2017

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and inference on a structural function h0 and its functionals. First, we derive sup-norm convergence rates for computationally simple sieve NPIV (series 2SLS)...

Persistent link: https://www.econbiz.de/10011596624