You searched for:
Keyword: kernel estimation;
18 results found.
Adapting Kernel Estimation to Uncertain Smoothness
Yulia Kotlyarova, Marcia M Schafgans and Victoria Zinde-Walsh
For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate...Read more...
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
Sorawoot Srisuma and Oliver Linton
We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state s...Read more...
Efficient Estimation of a Multivariate Multiplicative Volatility Model
Christian M. Hafner and Oliver Linton
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a nonparametric long run component and a unit multivariate GARCH short run dynamic component. We sugge...Read more...
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
Woocheol Kim and Oliver Linton
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an...Read more...
Nonparametric Regression with a Latent Time Series
Oliver Linton, Søren Feodor Nielsen and Jens Perch Nielsen
In this paper we investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecast...Read more...
Nonparametric Estimation of a Polarization Measure
Gordon Anderson, Oliver Linton and Yoon-Jae Whang
This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and Anderson, Ge, and Leo (2006) based on kernel estimation techniques. We give the asymptotic distribution th...Read more...
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns
Gregory Connor, Matthias Hagmann and Oliver Linton
This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving ...Read more...
Semiparametric Estimation of a Characteristic-based Factor Model of Common Stock Returns
Gregory Connor and Oliver Linton
We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observ...Read more...
Nonparametric Transformation to White Noise
Oliver Linton and Enno Mammen
We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with se...Read more...
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models
Woocheol Kim and Oliver Linton
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of...Read more...
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods
Oliver Linton and Enno Mammen
We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible f...Read more...
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
Hidehiko Ichimura and Oliver Linton
We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order...Read more...
Higher-Order Kernel Semiparametric M-Estimation of Long Memory
Marc Henry and Peter M Robinson
Econometric interest in the possibility of long memory has developed as a flexible alternative to, or compromise between, the usual short memory or unit root prescriptions, for example in the context of modelling cointeg...Read more...
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
Raymond J Carroll, Oliver Linton, Enno Mammen and Zhijie Xiao
We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent vari...Read more...
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
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...
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald st...Read more...
Yield Curve Estimation by Kernel Smoothing Methods
Oliver Linton, Enno Mammen, Jens Perch Nielsen and C Tanggaard
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for ...Read more...
Income Distribution in Brazil 1981-1990: Parametric and Non-Parametric Approaches
Frank A Cowell, Francisco H.G. Ferreira and Julie Litchfield
Using a newly available comprehensive micro-data set we examine changes in the shape of the Brazilian income distribution during the 'lost decade' of the 1980s. We adopt alternative parametric and non-parametric approach...Read more...