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Keyword: nonparametric estimation;

16 results found.

Econometrics Paper

Estimating density ratio of marginals to joint: Applications to causal inference

Yukitoshi Matsushita, Taisuke Otsu and Keisuke Takahata

In various fields of data science, researchers often face problems of estimating the ratios of two probability densities. Particularly in the context of causal inference, the product of marginals for a treatment variable...Read more...

7 January 2022

Econometrics Paper

Series Estimation under Cross-sectional Dependence

Jungyoon Lee and Peter M Robinson

An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and sufficient con...Read more...

25 November 2013

Econometrics Paper

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...

April 2011

Econometrics Paper

Statistical Inference on Regression with Spatial Dependence

Peter M Robinson and Supachoke Thawornkaiwong

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependence and heterogeneity in explanato...Read more...

April 2010

Econometrics Paper

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...

October 2009

Econometrics Paper

Smoothness Adaptive Average Derivative Estimation

Marcia M Schafgans and Victoria Zinde-Walsh

Many important models, such as index models widely used in limited dependent variables, partial linear models and nonparametric demand studies utilize estimation of average derivatives (sometimes weighted) of the conditi...Read more...

August 2008

Econometrics Paper

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...

October 2007

Econometrics Paper

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...

September 2006

Econometrics Paper

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...

August 2006

Econometrics Paper

Nonparametric Spectrum Estimation for Spatial Data

Peter M Robinson

Smoothed nonparametric kernel spectral density estimates are considered for stationary data observed on a d-dimensional lattice. The implications for edge effect bias of the choice of kernel and bandwidth are considered....Read more...

February 2006

Econometrics Paper

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...

May 2003

Econometrics Paper

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We intro...Read more...

May 2003

Econometrics Paper

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...

May 2003

Econometrics Paper

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an op...Read more...

March 2002

Econometrics Paper

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...

June 2001

Econometrics Paper

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...

April 2000