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Econometrics Paper
Relative error accurate statistic based on nonparametric likelihood Lorenzo Camponovo and Taisuke Otsu
November 2017
Paper No' EM 593:
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JEL Classification: C12; C14


Tags: nonparametric likelihood; saddlepoint; moment condition model

Econometrics Paper
Nonparametric instrumental regression with errors in variables Karun Adusumilli and Taisuke Otsu
July 2015
Paper No' EM/2015/585:
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JEL Classification: C26


Tags: nonparametric instrumental variable regression; measurement error; inverse problem; deconvolution; measurement error

Econometrics Paper
Testing for Breaks in Regression Models with Dependent Data Violetta Dalla and Javier Hidalgo
March 2015
Paper No' EM/2015/584:
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JEL Classification: C14; C22


Tags: nonparametric regression; breaks; smoothness; strong dependence; extreme-values distribution; frequency domain bootstrap algorithms.

Econometrics Paper
Nonparametric likelihood for volatility under high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
January 2015
Paper No' EM/2015/581:
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JEL Classification: C14


Tags: nonparametric likelihood; volatility; high frequency data

Econometrics Paper
Panel Nonparametric Regression with Fixed Effects Jungyoon Lee and Peter M Robinson
March 2013
Paper No' EM/2013/569:
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JEL Classification: C13; C14; C23


Tags: panel data; nonparametric regression; cross-sectional dependence; generalized least squares; optimal bandwidth

Econometrics Paper
Adapting Kernel Estimation to Uncertain Smoothness Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh
April 2011
Paper No' EM/2011/557:
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JEL Classification: C14


Tags: nonparametric estimation; kernel based estimator; combined stimator; variance bootstrap.

Econometrics Paper
Statistical Inference on Regression with Spatial Dependence Peter M Robinson and Supachoke Thawornkaiwong
April 2010
Paper No' EM/2010/554:
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JEL Classification: C13; C14; C21


Tags: linear regression; partly linear regression; nonparametric regression; spatial data; instrumental variables; asymptotic normality; variance estimation

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
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JEL Classification: C14


Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

Econometrics Paper
Smoothness Adaptive Average Derivative Estimation Marcia M Schafgans and Victoria Zinde-Walshyz
August 2008
Paper No' EM/2008/529:
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JEL Classification: C14


Tags: nonparametric estimation; density weighted average derivative estimator; combined estimator.

Econometrics Paper
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns Gregory Connor, Matthias Hagmann and Oliver Linton October 2007
Paper No' EM/2007/524:
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JEL Classification: G12; C14


Tags: additive models; arbitrage pricing theory; factor model; fama-french; kernel estimation; nonparametric regression; panel data.

Econometrics Paper
Identification and Nonparametric Estimation of a Transformed Additively Separable Model David Jacho-Chávez, Arthur Lewbel and Oliver Linton September 2006
Paper No' EM/2006/508:
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JEL Classification: C13; C14; C21; D24


Tags: partly separable models; nonparametric regression; dimension reduction; generalized homothetic function; production function.

Econometrics Paper
ESTIMATING FEATURES OF A DISTRIBUTION FROM BINOMIAL DATA Arthur Lewbel, Oliver Linton and DL McFadden
September 2006
Paper No' EM/2006/507:
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JEL Classification: C14; C25; C42; H41


Tags: willingness to pay; contingent valuation; discrete choice; bi-nomial response; bioassay; destructive duration testing; semiparametric; nonparametric; latent variable models.

Econometrics Paper
Nonparametric Transformation to White Noise Oliver Linton and Enno Mammen
August 2006
Paper No' EM/2006/503:
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JEL Classification: C14


Tags: efficiency; inverse problem; kernel estimation; nonparametric regression; time series; unit roots.

Econometrics Paper
Nonparametric Spectrum Estimation for Spatial Data Peter M Robinson
February 2006
Paper No' EM/2006/498:
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JEL Classification: C22


Tags: nonparametric spectrum estimation; edge effect; tapering.

Econometrics Paper
Nonparametric Estimation with Aggregated Data Oliver Linton and Yoon-Jae Whang
July 2000
Paper No' EM/2000/397:
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Tags: aggregated data; deconvolution; grouped data; kernel; nonparametric regression

Econometrics Paper
Nonparametric Censored and Truncated Regression Arthur Lewbel and Oliver Linton
April 2000
Paper No' EM/2000/389:
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Tags: semiparametric; nonparametric; censored regression; truncated regression; tobit; latent variable

Econometrics Paper
Yield Curve Estimation by Kernel Smoothing Methods Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard
April 2000
Paper No' EM/2000/385:
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Tags: coupon bonds; kernel estimation; hilbert space; nonparametric regression; term structure estimation; yield curve; zero coupon.

Econometrics Paper
A Nonparametric Test for I(0) - (Now published in 'Review of Economic Studies', 65 (1998), pp.475-495.) Ignacio Lobato and Peter M Robinson November 1997
Paper No' EM/1997/342:
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Tags: nonparametric testing; weak dependence; long memory

Econometrics Paper
Large-Sample Inference for Nonparametric Regression with Dependent Errors - (Now published in 'Annals of Statistics', 28 (1997), pp.2054-2083.) Peter M Robinson September 1997
Paper No' EM/1997/336:
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Tags: central limit theorem; nonparametric regression; autocorrelation; long-range dependence

Econometrics Paper
Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.) Javier Hidalgo February 1996
Paper No' EM/1996/296:
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Tags: nonparametric; strong dependence; hermite and appell polynomials; rosenblatt and hermite pocesses.