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You searched for "semiparametric estimation"

Econometrics Paper
Multiple Local Whittle Estimation in Stationary Systems Peter M Robinson
October 2007
Paper No' EM/2007/525:
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JEL Classification: C32


Tags: long memory; phase; cointegration; semiparametric estimation; consistency; asymptotic normality.

Econometrics Paper
DIAGNOSTIC TESTING FOR COINTEGRATION Peter Robinson
September 2007
Paper No' EM/2007/522:
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JEL Classification: C32


Tags: fractional cointegration; diagnostic testing; specification testing; cointegrating rank; semiparametric estimation.

Econometrics Paper
Consistent estimation of the memory parameter for nonlinear time series Violetta Dalla, Liudas Giraitis and Javier Hidalgo
January 2006
Paper No' EM/2006/497:
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JEL Classification: C14; C22


Tags: long memory; semiparametric estimation; local whittle estimator.

Econometrics Paper
A method of moments estimator for semiparametric index models Bas Donkers and Marcia M Schafgans
July 2005
Paper No' EM/2005/493:
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JEL Classification: C14; C31; C52


Tags: semiparametric estimation; multiple index models; average derivative functionals; generalized methods of moments estimator; rank testing

Econometrics Paper
Estimation of Semiparametric Models when the Criterion Function is not Smooth Xiaohong Chen, Oliver Linton and Ingrid Van Keilegom May 2003
Paper No' EM/2003/450:
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JEL Classification: C13; C14


Tags: empirical processes; non-smooth criterion; semiparametric estimation; stochastic equicontinuity.

Econometrics Paper
Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory Liudas Giraitis and Peter M Robinson
September 2002
Paper No' EM/2002/438:
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Tags: edgeworth expansion; long memory; semiparametric estimation.

Econometrics Paper
Semiparametric Estimation of a Sample Selection Model: A Simulation Study Marcia M Schafgans
March 1997
Paper No' EM/1997/326:
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Tags: sample selection models; semiparametric estimation; error distributions; bandwidth parameter; two-step parametric estimator.

Econometrics Paper
Gender Wage Differences in Malaysia: Parametric and Semiparametric Estimation Marcia M Schafgans
March 1997
Paper No' EM/1997/325:
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Tags: malaysia; gender wage differences; gender discrimination; wage determining characteristics; parametric and semiparametric estimation.