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Decomposing changes in the conditional variance of GDP over time

Amini, Shahram; Battisti, Michele; Parmeter, Christopher F. - In: Economic modelling 61 (2017), pp. 376-387

Persistent link: https://www.econbiz.de/10011736899

Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation

Qiu, Yumou; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance Σ , we propose a test for Σ being banded with possible diverging bandwidth. The test is adaptive to the “large p , small n ” situations without assuming a specific parametric distribution for...

Persistent link: https://www.econbiz.de/10011259723

Uniform confidence bands for pricing kernels

Härdle, Wolfgang Karl; Okhrin, Yarema; Wang, Weining - 2010

with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk ….r.t. the European call option price function, which we estimate by nonparametric regression. The subjective density is …

Persistent link: https://www.econbiz.de/10010270732

Do former college athletes earn more at work? A nonparametric assessment

Henderson, Daniel J.; Olbrecht, Alexandre; Polachek, … - 2005

using newly developed techniques in nonparametric regression, it shows that on average former college athletes earn a wage …

Persistent link: https://www.econbiz.de/10010276244

Heterogeneity in schooling rates of return

Henderson, Daniel J.; Polachek, Solomon; Wang, Le - 2011

This paper relaxes the assumption of homogeneous rates of return to schooling by employing nonparametric kernel …

Persistent link: https://www.econbiz.de/10010278536

Do Former College Athletes Earn More at Work? A Nonparametric Assessment

Henderson, Daniel J.; Olbrecht, Alexandre; Polachek, Solomon - Institute for the Study of Labor (IZA) - 2005

using newly developed techniques in nonparametric regression, it shows that on average former college athletes earn a wage …

Persistent link: https://www.econbiz.de/10005763878

A note on the Bandwidth choice when the null hypothesis is semiparametric

Marín, Jorge Barrientos - In: REVISTA DE ECONOMÍA DEL ROSARIO (2005)

fast convergence rates for non-parametric estimators. Another advantage of additive models is that they allow attacking the …-known bootstrap residual process. In nonparametric testing literature, the dominant idea is that bandwidth utilized to produce …

Persistent link: https://www.econbiz.de/10005768259

Nonparametric Estimation of Copulas for Time Series

FERMANIAN, Jean-David; SCAILLET, Olivier - Swiss Finance Institute - 2003

We consider a nonparametric method to estimate copulas, i.e. functions linking joint distributions to their univariate …

Persistent link: https://www.econbiz.de/10005771847

Exact tests for correlation and for the slope in simple linear regressions without making assumptions

Schlag, Karl - Department of Economics and Business, Universitat … - 2008

nonparametric settings rests on an additional assumption on the data generating process without which it is not valid as a test for …

Persistent link: https://www.econbiz.de/10005771998

The Distribution of Returns to Marriage

Maasoumi, Esfandiar; Millimet, Daniel; Sarkar, Dipanwita - Southern Methodist University, Department of Economics - 2005

nonparametric tests for stochastic dominance, our findings question the current conception of the marriage premium, calling instead …

Persistent link: https://www.econbiz.de/10005773596