Search Results - subject_exact:"Nonparametric statistics"

Multivariate two-sample permutation test with directional alternative for categorical data

Bonnini, Stefano; Borghesi, Michela - 2025

This paper presents a distribution-free test, based on the permutation approach, on treatment effects with a multivariate categorical response variable. The motivating example is a typical case-control biomedical study, performed to investigate the effect of the treatment called "assisted motor...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506715

Extropy and entropy estimation based on progressive Type-I interval censoring

Qubbaj, Huda H.; Bayoud, Husam A.; Hilow, Hisham M. - 2024

This paper proposes nonparametric estimates for the two information measures extropy and entropy when a progressively Type-I interval censored data is available. Different nonparametric approaches are used for deriving the estimates, including: moments of the empirical cumulative distribution...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015127216

An introduction to double/debiased machine learning

Ahrens, Achim; Chernozhukov, Victor; Hansen, Christian; … - 2026

This paper provides an introduction to Double/Debiased Machine Learning (DML). DML is a general approach to performing inference about a target parameter in the presence of nuisance functions: objects that are needed to identify the target parameter but are not of primary interest. Nuisance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616936

Approach to estimating confidence intervals for a business cycle

Martinez-Rivera, Wilmer; Hernandez-Bejarano, Manuel Dario - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617579

Estimation and inference for the persistence of extremely high temperatures

Cai, Juan Juan; Lin, Yicong; Schaumburg, Julia; Wang, … - 2026

We propose a nonparametric framework for estimating the extremal index that captures the persistence of extreme observations. The framework provides unified and simple procedures for verifying the well-known local dependence condition D(ᵈ) (un), which characterizes the extremal index yet is...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015567815

Direct Gaussian process predictive regressions with mixed frequency data

Hauzenberger, Niko; Marcellino, Massimiliano; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609527

Show one more version 1

Direct gaussian process predictive regressions with mixed frequency data

Hauzenberger, Niko; Marcellino, Massimiliano; … - 2026

Book / Working Paper

Are there asymmetries in euro area monetary policy?

Pfarrhofer, Michael; Stelzer, Anna - 2026

We assess asymmetries, nonlinearities and state dependencies in dynamic responses of the euro area to monetary policy shocks. The dataset includes macroeconomic, financial, and survey-based variables measuring credit conditions and bank lending transmission channels. These data are observed at...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615809

On local overidentification and efficiency gains in modern causal inference and data combination

Chen, Xiaohong; Xie, Haitian - 2026 - Revised version: March 1, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616461

A projection-based approach for interactive fixed effects panel data models

Keilbar, Georg; Rodríguez Poo, Juan Manuel; Soberón, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554939

Quantile selection in the gender pay gap

Batbayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

We propose a new approach to estimate selection-corrected quantiles of the gender wage gap. Our method employs instrumental variables that explain variation in the latent variable but, conditional on the latent process, do not directly affect selection. We provide semiparametric identification...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588341

Show 3 more versions 3

Quantile selection in the gender pay gap

Batbayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

Book / Working Paper

Quantile selection in the gender pay gap

Batbayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

Book / Working Paper

Quantile selection in the gender pay gap

Batbayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

Book / Working Paper

Estimating corporate investment efficiency with bias correction : a semiparametric panel model approach

Wang, Taining; Wang, Zhao; Yao, Feng; Kumbhakar, Subal - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604244

When prices spike : identifying excessive volatility in fertilizer markets

Yao, Feng; Hernandez, Manuel A. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604245

Nonparametric estimation of smooth coefficients in fixed-effect panel data models

Wang, Taining; Yao, Feng; Cai, Jun - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604250

Time is knowledge : what response times reveal

Benkert, Jean-Michel; Liu, Shuo; Netzer, Nick - 2026 - This version: February 2026

Response times contain information about economically relevant but unobserved variables like willingness to pay, preference intensity, quality, or happiness. We provide a general characterization of the properties of latent variables that can be detected using response time data. Our theoretical...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604544

Show 2 more versions 2

Time is knowledge : what response times reveal

Benkert, Jean-Michel; Liu, Shuo; Netzer, Nick - 2024

Book / Working Paper

Time is knowledge : what response times reveal

Benkert, Jean-Michel; Liu, Shuo; Netzer, Nick - 2024

Book / Working Paper

Nonparametric identification of demand without exogenous product characteristics

Borusyak, Kirill; Chen, Jiafeng; Hull, Peter; Lei, Lihua - 2026

We study identification of differentiated product demand from marketlevel data when product characteristics can be endogenous. Past work suggests nonparametric identification may be impossible: that is, in addition to standard price instruments, exogenous characteristic-based instruments are...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606693

Show 2 more versions 2

Nonparametric identification of demand without exogenous product characteristics

Borusyak, Kirill; Chen, Jiafeng; Hull, Peter; Lei, Lihua - 2026

Book / Working Paper

Nonparametric Identification of Demand without Exogenous Product Characteristics

Borusyak, Kirill; Chen, Jiafeng; Hull, Peter; Lei, Lihua - 2026

Book / Working Paper

Redesigning the classical automatic selection of X-11 seasonal filters

Webel, Karsten - 2026

The classical X-11 seasonal adjustment method for monthly and quarterly time series is equipped with routines for data-driven selections of both Henderson trendcycle filters and 3 × k seasonal moving averages, currently involving up to three candidate filters in either case. Although these...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015607327

Unified inference for predictive mean and quantile regressions via empirical likelihood

Cai, Zongwu; Chen, Yifeng; Hong, Seok Young; Tsvetanov, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619835

Diagnosing the trend and bootstrapping the forecasting intervals using a semiparametric ARMA

Schulz, Dominik; Feng, Yuanhua; Gries, Thomas; Fritz, Marlon - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626944

A semiparametric spatial FARIMA applied in the presence of spatial seasonality

Schulz, Dominik; Do, Thi Thu Huong; Feng, Yuanhua - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626962

Forecasting economic growth with traditional methods and a simple neural network model

Li, Shujie; Feng, Yuanhua - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627073

Copula Asymmetry Index (CAI++) : measuring asymmetric equity-volatility tail dependence for defensive allocation

Hatzopoulos, Peter; Statiou, Anastasios D. - 2026

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640224

Process utility in high-stakes competition

Dupuy, Arnaud - 2026

We study how individuals trade off outcome (what) and process (how) utility in highstakes strategic decisions. We exploit optimality conditions and high-frequency choices in professional tennis to derive nonparametric bounds on process utility and implement a structural approach to estimate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641410

Partial identification of the valuation distribution in sequential English auctions

Kim, Dongwoo; Kim, Kyoo Il; Pal, Pallavi - 2026

This paper extends the incomplete model of Haile and Tamer (2003) from static English auctions to sequential English auctions. Because bidders may wait for future opportunities, the static condition that bidders do not let rivals win at beatable prices need not hold. We replace it with a dynamic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643934

Quantile selection in the gender pay gap

Baybayar, Egshiglen; Breunig, Christoph; Haan, Peter; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656259

Well-known and recent long-memory GARCH models and their semiparametric extensions

Ayensu, Oliver Kojo; Feng, Yuanhua; Schulz, Dominik - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015661117

Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model

Chen, Li; Feng, Yuanhua - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015661121

Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model

Chen, Li; Feng, Yuanhua - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015662160

Identification and estimation of semiparametric multilayered sample selection tools

Kim, Dongwoo - 2026

Many selection problems are multilayered: agents first decide whether to participate and then sort among ordered or unordered categories. This paper shows that the sorting layer changes the geometry of identification. Unlike binary selection, in which selection bias can be summarized by a scalar...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650531

Structural gravity and nonparametric trade costs

Duncan, Kevin D.; Reesman, Ward M. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650838

Evaluating ESG effects on firm's technical efficiency with robust nonparametric frontiers : insights from Asia

Arsenopoulou, Maria; Nerantzidis, Michail; Lazarides, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015482807

Causal state-dependent local projections

David, Joel M.; Giacomini, Raffaella; Jiao, Xiyu; Wang, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665864

The making of a non-parametric multi-shock index (MSI)

Ulimwengu, John - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015659877

Selecting seasonal filters in X–13–ARIMA via cross-validation

Ollech, Daniel - 2026

Official statistics routinely employs the X-13-ARIMA method to seasonally adjust economic time series. A key step is choosing the length of the seasonal moving av- erage. Traditionally, this choice relies on ad hoc criteria and expert judgement. We propose a cross-validation-based filter...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665401

Semiparametric local projections

Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015669414

ReLU-based and DNN-based generalized maximum score estimators

Chen, Xiaohong; Gao, Wayne Yuan; Wen, Likang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616706

Local overidentification and efficiency gains in modern causal inference and data combination

Chen, Xiaohong; Xie, Haitian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616984

Supply constraints and conditional distribution predictability of inflation and its volatility : a non-parametric mixed-frequency causality-in-quantiles approach

Caporin, Massimiliano; Gupta, Rangan; Subramaniam, Sowmya; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440868

Quantile-based test for heterogeneous treatment effects

Chung, EunYi; Olivares, Mauricio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372703

Model averaging and double machine learning

Ahrens, Achim; Hansen, Christian; Schaffer, Mark E.; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372755

Show one more version 1

Model averaging and double machine learning

Ahrens, Achim; Hansen, Christian; Schaffer, Mark E.; … - 2024

Book / Working Paper

OLS with heterogeneous coefficients

Mittag, Nikolas - 2025

Regressors often have heterogeneous effects in the social sciences, implying unit-specific slopes. OLS is frequently applied to these correlated coefficient models. I first show that without restrictions on the relation between slopes and regressors, OLS estimates can take any value including...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374146

Subsampling inference for nonparametric extremal conditional quantiles

Kurisu, Daisuke; Otsu, Taisuke - 2025

This paper proposes a subsampling inference method for extreme conditional quantiles based on a self-normalized version of a local estimator for conditional quantiles, such as the local linear quantile regression estimator. The proposed method circumvents difficulty of estimating nuisance...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374601

An adaptation of Random Forest to estimate convex non-parametric production technologies : an empirical illustration of efficiency measurement in education

España, Victor J.; Aparicio, Juan; Barber, Xavier - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015375682

Semiparametric estimation of probability weighting functions implicit in option prices

Boswijk, Herman Peter; Dalderop, Jeroen; Laeven, Roger J. A. - 2025 - This version: March 19, 2025

This paper develops a semiparametric estimation method that jointly identifies the probability weighting and utility functions implicit in option prices. Our econometric method avoids direct specification of the objective conditional return distributions, which are instead obtained by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333127

Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency

Korobilis, Dimitris; Mamatzakis, Emmanuel C.; Pappas, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015484398

Show 2 more versions 2

Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency

Korobilis, Dimitris; Mamatzakis, Emmanuel C.; Pappas, … - 2025

Book / Working Paper

Bayesian nonparametric inference in bank business models with transient and persistent cost inefficiency

Korobilis, Dimitris; Mamatzakis, Emmanuel C.; Pappas, … - 2025

Book / Working Paper

The “effect modifier” of US interest rate in the economic policy uncertainties and economic conditions of fifty (50) US states : a semi-parametric smooth varying-coefficient approach

Salisu, Afees A.; Isah, Kazeem; Vo Xuan Vinh - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338004

Econometrics of insurance with multidimensional types

Aryal, Gaurab; Perrigne, Isabelle; Vuong, Quang H.; … - 2025

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurees choose from a finite number of coverages. We show that the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190336

Identification of treatment effects under limited exogenous variation

Newey, Whitney K.; Stouli, Sami - 2025 - Date: January 24, 2025

Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support conditions. To alleviate this requirement, we consider varying...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191459