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Keyword: adaptive estimation;
6 results found.
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Jungyoon Lee and Peter M Robinson
We consider adaptive tests and estimates which are asymptotically efficient in the presence of unknown, nonparametric, distributional form in pure spatial models. A novel adaptive Lagrange Multiplier testing procedure f...Read more...
26 January 2018
Peter M Robinson
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the cas...Read more...
We consider a time series model involving a fractional stochastic component, whose integration order can lie in the stationary/invertible or nonstationary regions and be unknown, and additive deterministic component cons...Read more...
Javier Hidalgo and Peter M Robinson
We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum e...Read more...
Oliver Linton and Zhijie Xiao
We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our...Read more...
Douglas J Hodgson, Oliver Linton and Keith Vorkink
Adaptive estimation; capital asset pricing model; efficiency...Read more...