Oliver Bruce Linton
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Dong, C. & Gao, J. & Linton, O. & Peng, B., 2020.
"On Time Trend of COVID-19: A Panel Data Study,"
Cambridge Working Papers in Economics
2065, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020. "On the Time Trend of COVID-19: A Panel Data Study," Papers 2006.11060, arXiv.org, revised Jun 2020.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin peng, 2020. "On Time Trend of COVID-19: A Panel Data Study," Monash Econometrics and Business Statistics Working Papers 22/20, Monash University, Department of Econometrics and Business Statistics.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Lena Boneva & Oliver Linton & Michael Vogt, 2016.
"The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 192-213, January.
- Lena Körber & Oliver Linton & Michael Vogt, 2014. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Cambridge Working Papers in Economics 1454, Faculty of Economics, University of Cambridge.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers CWP42/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Mentioned in:
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002.
"Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Mentioned in:
Working papers
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022.
"Dynamic Autoregressive Liquidity (DArLiQ),"
LIDAM Discussion Papers LFIN
2022002, Université catholique de Louvain, Louvain Finance (LFIN).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Cambridge Working Papers in Economics 2214, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Janeway Institute Working Papers 2206, Faculty of Economics, University of Cambridge.
Cited by:
- Bachmair, K., 2023. "The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets," Cambridge Working Papers in Economics 2303, Faculty of Economics, University of Cambridge.
- Liang Jiang & Oliver B. Linton & Haihan Tang & Yichong Zhang, 2022.
"Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance,"
Papers
2201.13004, arXiv.org, revised Jun 2023.
Cited by:
- Liang Jiang & Liyao Li & Ke Miao & Yichong Zhang, 2023. "Adjustment with Many Regressors Under Covariate-Adaptive Randomizations," Papers 2304.08184, arXiv.org, revised Feb 2024.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021.
"Non-Standard Errors,"
Working Papers
2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
- Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
Cited by:
- Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
- Dreber, Anna & Johannesson, Magnus, 2023.
"A framework for evaluating reproducibility and replicability in economics,"
Ruhr Economic Papers
1055, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Dreber, Anna & Johannesson, Magnus, 2023. "A framework for evaluating reproducibility and replicability in economics," I4R Discussion Paper Series 38, The Institute for Replication (I4R).
- Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023.
"Reproducibility in Management Science,"
OSF Preprints
mydzv, Center for Open Science.
- Miloš Fišar & Ben Greiner & Christoph Huber & Elena Katok & Ali I Ozkes & The Management Science Reproducibility Collaboration, 2024. "Reproducibility in Management Science," Post-Print hal-04370984, HAL.
- Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Management Science Reproducibility Collaboration, 2023. "Reproducibility in Management Science," Department for Strategy and Innovation Working Paper Series 03/2023, WU Vienna University of Economics and Business.
- Christoph Huber & Christian König-Kersting, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck.
- Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H. V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke, 2022.
"Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 119(44), pages 1-8.
- Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H V & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke & , 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Other publications TiSEM ddeb26bf-71be-4ea6-a7b9-c, Tilburg University, School of Economics and Management.
- Breznau, Nate & Rinke, Eike Mark & Wuttke, Alexander & Nguyen, Hung H.V. & Adem, Muna & Adriaans, Jule & Alvarez-Benjumea, Amalia & Andersen, Henrik K. & Auer, Daniel & Azevedo, Flavio & Bahnsen, Oke , 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," LSE Research Online Documents on Economics 117278, London School of Economics and Political Science, LSE Library.
- Müller, Isabella & Noth, Felix & Tonzer, Lena, 2022.
"A note on the use of syndicated loan data,"
IWH Discussion Papers
17/2022, Halle Institute for Economic Research (IWH).
- Isabella Müller & Felix Noth & Lena Tonzer, 2022. "A Note on the Use of Syndicated Loan Data," Tinbergen Institute Discussion Papers 22-064/IV, Tinbergen Institute.
- Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
- Li, M. Z. & Linton, O., 2021.
"Robust Estimation of Integrated and Spot Volatility,"
Cambridge Working Papers in Economics
2115, Faculty of Economics, University of Cambridge.
Cited by:
- Minseog Oh & Donggyu Kim, 2021. "Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective," Papers 2111.09655, arXiv.org.
- Linton, O. & Tang, H., 2020.
"Estimation of the Kronecker Covariance Model by Quadratic Form,"
Cambridge Working Papers in Economics
2050, Faculty of Economics, University of Cambridge.
Cited by:
- Bhimasankaram Pochiraju & Sridhar Seshadri & Dimitrios D. Thomakos & Konstantinos Nikolopoulos, 2020. "Non-Negativity of a Quadratic form with Applications to Panel Data Estimation, Forecasting and Optimization," Stats, MDPI, vol. 3(3), pages 1-18, July.
- Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
- Anderson, G. & Linton, O. & Pittau, M G. & Whang, Y-J. & Zelli, R., 2020.
"On Unit Free Assessment of The Extent of Multilateral Distributional Variation,"
Cambridge Working Papers in Economics
20123, Faculty of Economics, University of Cambridge.
- Gordon Anderson & Oliver Linton & Maria Grazia Pittau & Yoon-Jae Whang & Roberto Zelli, 2021. "On unit free assessment of the extent of multilateral distributional variation," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 502-518.
- Gordon Anderson & Oliver Linton & Grazia Pittau & Yoon Jae Whang & Roberto Zelli, 2020. "On Unit Free Assessment of The Extent of Multilateral Distributional Variation," Working Papers tecipa-657, University of Toronto, Department of Economics.
Cited by:
- Gordon Anderson & Maria Grazia Pittau & Roberto Zelli, 2020. "Measuring the progress of equality of educational opportunity in absence of cardinal comparability," METRON, Springer;Sapienza Università di Roma, vol. 78(2), pages 155-174, August.
- Anderson, Gordon & Fu, Rui & Leo, Teng Wah, 2022. "Health, loneliness and the ageing process in the absence of cardinal measure: Rendering intangibles tangible," The Journal of the Economics of Ageing, Elsevier, vol. 22(C).
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin peng, 2020.
"On Time Trend of COVID-19: A Panel Data Study,"
Monash Econometrics and Business Statistics Working Papers
22/20, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020. "On the Time Trend of COVID-19: A Panel Data Study," Papers 2006.11060, arXiv.org, revised Jun 2020.
- Dong, C. & Gao, J. & Linton, O. & Peng, B., 2020. "On Time Trend of COVID-19: A Panel Data Study," Cambridge Working Papers in Economics 2065, Faculty of Economics, University of Cambridge.
Cited by:
- Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis, 2022. "Time-Varying Poisson Autoregression," Papers 2207.11003, arXiv.org.
- Ge, S. & Li, S. & Linton, O., 2020.
"A Dynamic Network of Arbitrage Characteristics,"
Cambridge Working Papers in Economics
2060, Faculty of Economics, University of Cambridge.
Cited by:
- Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022.
"A weekly structural VAR model of the US crude oil market,"
Working Papers
2022.11, Fondazione Eni Enrico Mattei.
- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, "undated". "A weekly structural VAR model of the US crude oil market," FEEM Working Papers 324040, Fondazione Eni Enrico Mattei (FEEM).
- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, 2023. "A weekly structural VAR model of the US crude oil market," Energy Economics, Elsevier, vol. 121(C).
- Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021.
"The risk premia of energy futures,"
Energy Economics, Elsevier, vol. 102(C).
- Adrian Fernandez-Perez & Ana-Maria Fuertes & Joelle Miffre, 2021. "The Risk Premia of Energy Futures," Post-Print hal-03312959, HAL.
- Johannes Rude Jensen & Mohsen Pourpouneh & Kurt Nielsen & Omri Ross, 2021. "The Homogenous Properties of Automated Market Makers," Papers 2105.02782, arXiv.org.
- Stanislav Anatolyev & Sergei Seleznev & Veronika Selezneva, 2021. "How does the financial market update beliefs about the real economy? Evidence from the oil market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 938-961, November.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Daniele Valenti & Andrea Bastianin & Matteo Manera, 2022.
"A weekly structural VAR model of the US crude oil market,"
Working Papers
2022.11, Fondazione Eni Enrico Mattei.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020.
"Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information,"
Monash Econometrics and Business Statistics Working Papers
4/20, Monash University, Department of Econometrics and Business Statistics.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
Cited by:
- Frazier, David T. & Koo, Bonsoo, 2021. "Indirect inference for locally stationary models," Journal of Econometrics, Elsevier, vol. 223(1), pages 1-27.
- David T. Frazier & Bonsoo Koo, 2020. "Indirect Inference for Locally Stationary Models," Monash Econometrics and Business Statistics Working Papers 30/20, Monash University, Department of Econometrics and Business Statistics.
- Li, S. & Linton, O., 2020.
"When will the Covid-19 pandemic peak?,"
Cambridge Working Papers in Economics
2025, Faculty of Economics, University of Cambridge.
- Li, Shaoran & Linton, Oliver, 2021. "When will the Covid-19 pandemic peak?," Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
- Oliver Linton, 2020. "When will the Covid-19 pandemic peak?," CeMMAP working papers CWP11/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Fernández-Villaverde, Jesús & Jones, Chad, 2020.
"Estimating and Simulating a SIRD Model of COVID-19 for Many Countries, States, and Cities,"
CEPR Discussion Papers
14711, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde & Charles I. Jones, 2020. "Estimating and Simulating a SIRD Model of COVID-19 for Many Countries, States, and Cities," NBER Working Papers 27128, National Bureau of Economic Research, Inc.
- Fernández-Villaverde, Jesús & Jones, Charles I., 2022. "Estimating and simulating a SIRD Model of COVID-19 for many countries, states, and cities," Journal of Economic Dynamics and Control, Elsevier, vol. 140(C).
- Andrew Atkeson & Karen Kopecky & Tao Zha, 2020. "Estimating and Forecasting Disease Scenarios for COVID-19 with an SIR Model," NBER Working Papers 27335, National Bureau of Economic Research, Inc.
- Medeiros, Marcelo C. & Street, Alexandre & Valladão, Davi & Vasconcelos, Gabriel & Zilberman, Eduardo, 2022.
"Short-term Covid-19 forecast for latecomers,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 467-488.
- Marcelo Medeiros & Alexandre Street & Davi Vallad~ao & Gabriel Vasconcelos & Eduardo Zilberman, 2020. "Short-Term Covid-19 Forecast for Latecomers," Papers 2004.07977, arXiv.org, revised Sep 2021.
- Bårdsen, Gunnar & Nymoen, Ragnar, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Memorandum 3/2023, Oslo University, Department of Economics.
- Shaw, Norman & Eschenbrenner, Brenda & Baier, Daniel, 2022. "Online shopping continuance after COVID-19: A comparison of Canada, Germany and the United States," Journal of Retailing and Consumer Services, Elsevier, vol. 69(C).
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020.
"On the Time Trend of COVID-19: A Panel Data Study,"
Papers
2006.11060, arXiv.org, revised Jun 2020.
- Dong, C. & Gao, J. & Linton, O. & Peng, B., 2020. "On Time Trend of COVID-19: A Panel Data Study," Cambridge Working Papers in Economics 2065, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin peng, 2020. "On Time Trend of COVID-19: A Panel Data Study," Monash Econometrics and Business Statistics Working Papers 22/20, Monash University, Department of Econometrics and Business Statistics.
- Ricardo Martínez & Juan D Moreno Ternero, 2021. "Pandemic performance," ThE Papers 21/09, Department of Economic Theory and Economic History of the University of Granada..
- Coroneo, Laura & Iacone, Fabrizio & Paccagnini, Alessia & Santos Monteiro, Paulo, 2023.
"Testing the predictive accuracy of COVID-19 forecasts,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 606-622.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2020. "Testing the predictive accuracy of COVID-19 forecasts," Discussion Papers 20/10, Department of Economics, University of York.
- Laura Coroneo & Fabrizio Iacone & Alessia Paccagnini & Paulo Santos Monteiro, 2021. "Testing the predictive accuracy of COVID-19 forecasts," CAMA Working Papers 2021-52, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Ricardo Martínez & Juan D Moreno Ternero, 2022.
"An axiomatic approach towards pandemic performance indicators,"
ThE Papers
22/12, Department of Economic Theory and Economic History of the University of Granada..
- Martínez, Ricardo & Moreno-Ternero, Juan D., 2022. "An axiomatic approach towards pandemic performance indicators," Economic Modelling, Elsevier, vol. 116(C).
- Ricardo Martínez & Juan D. Moreno-Ternero, 2022. "An axiomatic approach towards pandemic performance indicators," Working Papers 22.10, Universidad Pablo de Olavide, Department of Economics.
- Andrew Atkeson, 2020. "On Using SIR Models to Model Disease Scenarios for COVID-19," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 41(01), pages 1-35, June.
- Alexander Chudik & M. Hashem Pesaran & Alessandro Rebucci, 2020.
"Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries,"
NBER Working Papers
27039, National Bureau of Economic Research, Inc.
- Rebucci, Alessandro & Chudik, Alexander & Pesaran, M. Hashem, 2020. "Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries," CEPR Discussion Papers 14646, C.E.P.R. Discussion Papers.
- Alexander Chudik & M. Hashem Pesaran & Alessandro Rebucci, 2020. "Voluntary and Mandatory Social Distancing: Evidence on Covid-19 Exposure Rates from Chinese Provinces and Selected Countries," CESifo Working Paper Series 8243, CESifo.
- Alexander Chudik & M. Hashem Pesaran & Alessandro Rebucci, 2020. "Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries," Globalization Institute Working Papers 382, Federal Reserve Bank of Dallas.
- Sokbae (Simon) Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020.
"Sparse HP filter: Finding kinks in the COVID-19 contact rate,"
CeMMAP working papers
CWP32/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lee, Sokbae & Liao, Yuan & Seo, Myung Hwan & Shin, Youngki, 2021. "Sparse HP filter: Finding kinks in the COVID-19 contact rate," Journal of Econometrics, Elsevier, vol. 220(1), pages 158-180.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020. "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Working Paper Series no136, Institute of Economic Research, Seoul National University.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020. "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Papers 2006.10555, arXiv.org, revised Jul 2020.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2020. "Sparse HP Filter: Finding Kinks in the COVID-19 Contact Rate," Department of Economics Working Papers 2020-06, McMaster University.
- Augusto Cerqua & Roberta Di Stefano & Marco Letta & Sara Miccoli, 2020.
"Local mortality estimates during the COVID-19 pandemic in Italy,"
Working Papers
14/20, Sapienza University of Rome, DISS.
- Augusto Cerqua & Roberta Di Stefano & Marco Letta & Sara Miccoli, 2021. "Local mortality estimates during the COVID-19 pandemic in Italy," Journal of Population Economics, Springer;European Society for Population Economics, vol. 34(4), pages 1189-1217, October.
- Augusto Cerqua & Roberta Di Stefano & Marco Letta & Sara Miccoli, 2020. "Local mortality estimates during the COVID-19 pandemic in Italy," Discussion Paper series in Regional Science & Economic Geography 2020-06, Gran Sasso Science Institute, Social Sciences, revised Oct 2020.
- Paul Ho, 2021. "Forecasting in the Absence of Precedent," Working Paper 21-10, Federal Reserve Bank of Richmond.
- Monika Małgorzata Wojcieszak-Zbierska & Anna Jęczmyk & Jan Zawadka & Jarosław Uglis, 2020. "Agritourism in the Era of the Coronavirus (COVID-19): A Rapid Assessment from Poland," Agriculture, MDPI, vol. 10(9), pages 1-19, September.
- Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023.
"The spread of COVID-19 in London: Network effects and optimal lockdowns,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 2125-2154.
- Julliard, Christian & Shi, Ran & Yuan, Kathy, 2023. "The spread of COVID-19 in London: network effects and optimal lockdowns," LSE Research Online Documents on Economics 118825, London School of Economics and Political Science, LSE Library.
- Julliard, Christian & Shi, Ran & Yuan, Kathy, 2020. "The spread of COVID-19 in London: network effects and optimal lockdowns," LSE Research Online Documents on Economics 118864, London School of Economics and Political Science, LSE Library.
- David Meintrup & Martina Nowak-Machen & Stefan Borgmann, 2021. "Nine Months of COVID-19 Pandemic in Europe: A Comparative Time Series Analysis of Cases and Fatalities in 35 Countries," IJERPH, MDPI, vol. 18(12), pages 1-17, June.
- Liu, Laura & Moon, Hyungsik Roger & Schorfheide, Frank, 2021.
"Panel forecasts of country-level Covid-19 infections,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 2-22.
- Laura Liu & Hyungsik Roger Moon & Frank Schorfheide, 2020. "Panel Forecasts of Country-Level Covid-19 Infections," NBER Working Papers 27248, National Bureau of Economic Research, Inc.
- Webel, Karsten, 2022. "A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series," Discussion Papers 31/2022, Deutsche Bundesbank.
- Christian M. Hafner, 2020.
"The Spread of the Covid-19 Pandemic in Time and Space,"
IJERPH, MDPI, vol. 17(11), pages 1-13, May.
- Hafner, Christian, 2020. "The Spread of the Covid-19 Pandemic in Time and Space," LIDAM Reprints ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ba Chu & Shafiullah Qureshi, 2020.
"Predicting the COVID-19 Pandemic in Canada and the US,"
Carleton Economic Papers
20-05, Carleton University, Department of Economics, revised 30 Jul 2020.
- Ba Chu & Shafiullah Qureshi, 2020. "Predicting the COVID-19 pandemic in Canada and the US," Economics Bulletin, AccessEcon, vol. 40(3), pages 2565-2585.
- Zubarev, Andrei & Kirillova, Maria, 2022. "Modeling COVID-19 spread in the Russian Federation using global VAR approach," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 65, pages 117-138.
- Belhadi, Amine & Kamble, Sachin & Jabbour, Charbel Jose Chiappetta & Gunasekaran, Angappa & Ndubisi, Nelson Oly & Venkatesh, Mani, 2021. "Manufacturing and service supply chain resilience to the COVID-19 outbreak: Lessons learned from the automobile and airline industries," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
- Ho, Paul & Lubik, Thomas A. & Matthes, Christian, 2023.
"How to go viral: A COVID-19 model with endogenously time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 232(1), pages 70-86.
- Paul Ho & Thomas A. Lubik & Christian Matthes, 2020. "How To Go Viral: A COVID-19 Model with Endogenously Time-Varying Parameters," Working Paper 20-10, Federal Reserve Bank of Richmond.
- Aman Ullah & Tao Wang & Weixin Yao, 2022.
"Nonlinear modal regression for dependent data with application for predicting COVID‐19,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(3), pages 1424-1453, July.
- Aman Ullah & Tao Wang & Weixin Yao, 2022. "Nonlinear Modal Regression for Dependent Data with Application for Predicting COVID-19," Working Papers 202207, University of California at Riverside, Department of Economics.
- Gunnar BÃ¥rdsen & Ragnar Nymoen, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Working Paper Series 19623, Department of Economics, Norwegian University of Science and Technology.
- Giovanni Angelini & Giuseppe Cavaliere & Enzo D'Innocenzo & Luca De Angelis, 2022. "Time-Varying Poisson Autoregression," Papers 2207.11003, arXiv.org.
- Boneva, Lena & Elliott, David & Kaminska, Iryna & Linton, Oliver & McLaren, Nick & Morley, Ben, 2019.
"The impact of corporate QE on liquidity: evidence from the UK,"
Bank of England working papers
782, Bank of England, revised 23 Jul 2020.
- Lena Boneva & David Elliott & Iryna Kaminska & Oliver Linton & Nick McLaren & Ben Morley, 2022. "The Impact of Corporate QE on Liquidity: Evidence from the UK," The Economic Journal, Royal Economic Society, vol. 132(648), pages 2615-2643.
- Boneva, L. & Elliott, D. & Kaminska, I. & Linton, O. & McLaren, N. & Morley, B., 2019. "The Impact of Corporate QE on Liquidity: Evidence from the UK," Cambridge Working Papers in Economics 1937, Faculty of Economics, University of Cambridge.
Cited by:
- Bailey, Andrew & Bridges, Jonathan & Harrison, Richard & Jones, Josh & Mankodi, Aakash, 2020. "The central bank balance sheet as a policy tool: past, present and future," Bank of England working papers 899, Bank of England.
- D’Amico, Stefania & Kaminska, Iryna, 2019. "Credit easing versus quantitative easing: evidence from corporate and government bond purchase programs," Bank of England working papers 825, Bank of England.
- Boneva, Lena & Islami, Mevlud & Schlepper, Kathi, 2021. "Liquidity in the German corporate bond market: Has the CSPP made a difference?," Discussion Papers 08/2021, Deutsche Bundesbank.
- Joost Bats, 2020. "Corporates dependence on banks: The impact of ECB corporate sector purchases," Working Papers 667, DNB.
- Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Patrick Aldridge & David Cimon & Rishi Vala, 2023. "Central Bank Crisis Interventions: A Review of the Recent Literature on Potential Costs," Discussion Papers 2023-30, Bank of Canada.
- Tingting Cheng & Jiti Gao & Oliver Linton, 2019.
"Nonparametric Predictive Regressions for Stock Return Prediction,"
Monash Econometrics and Business Statistics Working Papers
4/19, Monash University, Department of Econometrics and Business Statistics.
- Cheng, T. & Gao, J. & Linton, O., 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Cambridge Working Papers in Economics 1932, Faculty of Economics, University of Cambridge.
Cited by:
- Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns – The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
- Koo, B. & La Vecchia, D. & Linton, O., 2019.
"Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information,"
Cambridge Working Papers in Economics
1916, Faculty of Economics, University of Cambridge.
Cited by:
- Hiroyuki Kawakatsu, 2020. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors," Stats, MDPI, vol. 3(3), pages 1-46, August.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
Cited by:
- Cui, Qiurong & Xu, Yuqing & Zhang, Zhengjun & Chan, Vincent, 2021. "Max-linear regression models with regularization," Journal of Econometrics, Elsevier, vol. 222(1), pages 579-600.
- Hwang, Eunju & Hong, Won-Tak, 2021. "A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation," Economics Letters, Elsevier, vol. 203(C).
- Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
- Merrick Li, Z. & Linton, O., 2019.
"A ReMeDI for Microstructure Noise,"
Cambridge Working Papers in Economics
1908, Faculty of Economics, University of Cambridge.
- Z. Merrick Li & Oliver Linton, 2022. "A ReMeDI for Microstructure Noise," Econometrica, Econometric Society, vol. 90(1), pages 367-389, January.
Cited by:
- Aleksey Kolokolov & Giulia Livieri & Davide Pirino, 2022. "Testing for Endogeneity of Irregular Sampling Schemes," CEIS Research Paper 547, Tor Vergata University, CEIS, revised 19 Dec 2022.
- Andersen, Torben G. & Riva, Raul & Thyrsgaard, Martin & Todorov, Viktor, 2023. "Intraday cross-sectional distributions of systematic risk," Journal of Econometrics, Elsevier, vol. 235(2), pages 1394-1418.
- Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023.
"Sluggish news reactions: A combinatorial approach for synchronizing stock jumps,"
Papers
2309.15705, arXiv.org.
- Nabil Bouamara & Kris Boudt & Sebastien Laurent & Christopher J. Neely, 2024. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Working Papers 2024-006, Federal Reserve Bank of St. Louis.
- Bilel Sanhaji & Julien Chevallier, 2023.
"Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum,"
Post-Print
hal-04218488, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Post-Print halshs-04250353, HAL.
- Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
- Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
- Kim, Donggyu & Song, Xinyu & Wang, Yazhen, 2022. "Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
- Hong, S-Y. & Linton, O., 2018.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Cambridge Working Papers in Economics
1877, Faculty of Economics, University of Cambridge.
- Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
Cited by:
- da Silva, Murilo & Sriram, T.N. & Ke, Yuan, 2023. "Dimension reduction in time series under the presence of conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 180(C).
- Trifonov, Juri, 2023. "Modeling the risk premium in the Russian stock market considering the asymmetry effect," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 71, pages 5-19.
- Brugler, James & Linton, Oliver & Noss, Joseph & Pedace, Lucas, 2018.
"The cross-sectional spillovers of single stock circuit breakers,"
Bank of England working papers
759, Bank of England.
Cited by:
- Kyong Shik Eom & Kyung Yoon Kwon & Sung Chae La & Jong-Ho Park, 2022. "Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets," JRFM, MDPI, vol. 15(3), pages 1-19, February.
- Wong, Kin Ming & Kong, Xiao Wei & Li, Min, 2020. "The magnet effect of circuit breakers and its interactions with price limits," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
- Shan Lu & Jichang Zhao & Huiwen Wang, 2019. "The emergence of critical stocks in market crash," Papers 1908.07244, arXiv.org.
- Michael Vogt & Oliver Linton, 2018.
"Multiscale clustering of nonparametric regression curves,"
CeMMAP working papers
CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Vogt, Michael & Linton, Oliver, 2020. "Multiscale clustering of nonparametric regression curves," Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
Cited by:
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Papers 2303.13218, arXiv.org.
- Dong Hwan Oh & Andrew J. Patton, 2021. "Dynamic Factor Copula Models with Estimated Cluster Assignments," Finance and Economics Discussion Series 2021-029r1, Board of Governors of the Federal Reserve System (U.S.), revised 06 May 2022.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
- Jia Chen, 2018.
"Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models,"
Discussion Papers
18/15, Department of Economics, University of York.
- Jia Chen, 2019. "Estimating latent group structure in time-varying coefficient panel data models," The Econometrics Journal, Royal Economic Society, vol. 22(3), pages 223-240.
- Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
- Linton, O. & Whang, Y-J. & Yen, Y., 2018.
"The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses,"
Cambridge Working Papers in Economics
1880, Faculty of Economics, University of Cambridge.
- Oliver Linton & Yoon Jae Whang & Yu-Min Yen, 2021. "The lower regression function and testing expectation dependence dominance hypotheses," Econometric Reviews, Taylor & Francis Journals, vol. 40(8), pages 709-727, September.
- Oliver Linton & YOON-JAE WHANG & Yu-Min Yen, 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Working Paper Series no110, Institute of Economic Research, Seoul National University.
Cited by:
- Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 163-172.
- Denuit, Michel & Trufin, Julien & Verdebout, Thomas, 2021. "Testing for more positive expectation dependence with application to model comparison," LIDAM Discussion Papers ISBA 2021021, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Chunrong Ai & Oliver Linton & Zheng Zhang, 2018.
"A simple and efficient estimation method for models with nonignorable missing data,"
CeMMAP working papers
CWP02/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Lei Wang & Wei Ma, 2021. "Improved empirical likelihood inference and variable selection for generalized linear models with longitudinal nonignorable dropouts," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 623-647, June.
- Zhang, Ting & Wang, Lei, 2020. "Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Hafner, C. & Linton, O. & Tang, H., 2018.
"Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case,"
Cambridge Working Papers in Economics
1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- Golosnoy, Vasyl & Gribisch, Bastian, 2022. "Modeling and forecasting realized portfolio weights," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Chen, Xin & Yang, Dan & Xu, Yan & Xia, Yin & Wang, Dong & Shen, Haipeng, 2023. "Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data," Journal of Econometrics, Elsevier, vol. 232(2), pages 544-564.
- Shujie Ma & Oliver Linton & Jiti Gao, 2018.
"Estimation in semiparametric quantile factor models,"
CeMMAP working papers
CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Katal, Ali & Mortezazadeh, Mohammad & Wang, Liangzhu (Leon), 2019. "Modeling building resilience against extreme weather by integrated CityFFD and CityBEM simulations," Applied Energy, Elsevier, vol. 250(C), pages 1402-1417.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2018.
"A Unified Framework for Efficient Estimation of General Treatment Models,"
Papers
1808.04936, arXiv.org, revised Aug 2018.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2021. "A unified framework for efficient estimation of general treatment models," Quantitative Economics, Econometric Society, vol. 12(3), pages 779-816, July.
- Ai, C. & Linton, O. & Motegi, K. & Zhang, Z., 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," Cambridge Working Papers in Economics 1934, Faculty of Economics, University of Cambridge.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," CeMMAP working papers CWP64/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Jiang, Qingshan & Xu, Li & Huang, Can, 2022. "Covariates distributions balancing for continuous treatment," Economics Letters, Elsevier, vol. 217(C).
- Wei Huang & Oliver Linton & Zheng Zhang, 2021.
"A Unified Framework for Specification Tests of Continuous Treatment Effect Models,"
Papers
2102.08063, arXiv.org, revised Sep 2021.
- Huang, W. & Linton, O. & Zhang, Z., 2021. "A Unified Framework for Specification Tests of Continuous Treatment Effect Models," Cambridge Working Papers in Economics 2113, Faculty of Economics, University of Cambridge.
- Chunrong Ai & Yue Fang & Haitian Xie, 2024. "Data-driven Policy Learning for a Continuous Treatment," Papers 2402.02535, arXiv.org.
- Yukitoshi Matsushita & Taisuke Otsu & Keisuke Takahata, 2022. "Estimating density ratio of marginals to joint: Applications to causal inference," STICERD - Econometrics Paper Series 619, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
- Lin Liu & Chang Li, 2023. "New $\sqrt{n}$-consistent, numerically stable higher-order influence function estimators," Papers 2302.08097, arXiv.org.
- Jia Chen & Degui Li & Oliver Linton, 2018.
"A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables,"
Discussion Papers
18/14, Department of Economics, University of York.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019. "A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
Cited by:
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Chenlei Leng & Degui Li & Hanlin Shang & Yingcun Xia, 2024. "Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures," Papers 2401.05784, arXiv.org, revised Jan 2024.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Janeway Institute Working Papers
2208, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
- Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
- Xuan, Liang & Jiti, Gao & xiaodong, Gong, 2021.
"Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients,"
MPRA Paper
108497, University Library of Munich, Germany, revised 30 May 2021.
- Xuan Liang & Jiti Gao & Xiaodong Gong, 2022. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1784-1802, October.
- Xuan Liang & Jiti Gao & Xiaodong Gong, 2021. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Monash Econometrics and Business Statistics Working Papers 5/21, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Bin Peng & Yayi Yan, 2022.
"Higher-order Expansions and Inference for Panel Data Models,"
Papers
2205.00577, arXiv.org, revised Jun 2023.
- Jiti Gao & Bin Peng & Yayi Yan, 2023. "Higher-order Expansions and Inference for Panel Data Models," Monash Econometrics and Business Statistics Working Papers 15/23, Monash University, Department of Econometrics and Business Statistics.
- Xuan Liang & Jiti Gao & Xiaodong Gong, 2019. "Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects," Monash Econometrics and Business Statistics Working Papers 26/19, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Bin Peng & Yayi Yan, 2022. "A Simple Bootstrap Method for Panel Data Inferences," Monash Econometrics and Business Statistics Working Papers 7/22, Monash University, Department of Econometrics and Business Statistics.
- Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
- Linton, O. & Mahmoodzadeh, S., 2018.
"Implications of High-Frequency Trading for Security Markets,"
Cambridge Working Papers in Economics
1802, Faculty of Economics, University of Cambridge.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Gianluca Piero Maria Virgilio, 2019. "High-frequency trading: a literature review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(2), pages 183-208, June.
- Leone, Vitor & Kwabi, Frank, 2019. "High frequency trading, price discovery and market efficiency in the FTSE100," Economics Letters, Elsevier, vol. 181(C), pages 174-177.
- Oualid Bada & Alois Kneip & Dominik Liebl & Tim Mensinger & James Gualtieri & Robin C. Sickles, 2021.
"A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters,"
Papers
2109.10950, arXiv.org.
- Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C., 2022. "A wavelet method for panel models with jump discontinuities in the parameters," Journal of Econometrics, Elsevier, vol. 226(2), pages 399-422.
- Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Marszk, Adam & Lechman, Ewa, 2021. "Reshaping financial systems: The role of ICT in the diffusion of financial innovations – Recent evidence from European countries," Technological Forecasting and Social Change, Elsevier, vol. 167(C).
- Ramos, Henrique Pinto & Perlin, Marcelo Scherer, 2020. "Does algorithmic trading harm liquidity? Evidence from Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Sánchez Serrano Antonio, 2020. "High-Frequency Trading and Systemic Risk: A Structured Review of Findings and Policies," Review of Economics, De Gruyter, vol. 71(3), pages 169-195, December.
- Garg, Karan, 2021. "Machines and Markets : Assessing the Impact of Algorithmic Trading on Financial Market Efficiency," Warwick-Monash Economics Student Papers 11, Warwick Monash Economics Student Papers.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017.
"High dimensional semiparametric moment restriction models,"
Monash Econometrics and Business Statistics Working Papers
17/17, Monash University, Department of Econometrics and Business Statistics.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018.
"High dimensional semiparametric moment restriction models,"
CeMMAP working papers
CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Feng, Guohua & Gao, Jiti & Peng, Bin, 2022.
"An integrated panel data approach to modelling economic growth,"
Journal of Econometrics, Elsevier, vol. 228(2), pages 379-397.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Papers 1903.07948, arXiv.org.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 707-708, July.
- Tingting Cheng & Jiti Gao & Oliver Linton, 2017.
"Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction,"
Monash Econometrics and Business Statistics Working Papers
13/17, Monash University, Department of Econometrics and Business Statistics.
- Tingting Cheng & Jiti Gao & Oliver Linton, 2018. "Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction," CeMMAP working papers CWP03/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Forecasting benchmarks of long-term stock returns via machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 221-240, February.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017.
"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
Cited by:
- Wei, Jie & Chen, Hui, 2020. "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, vol. 191(C).
- Jie Wei & Yonghui Zhang, 2023. "Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?," Papers 2305.05934, arXiv.org.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018.
"Quantile Factor Models,"
CEPR Discussion Papers
12716, C.E.P.R. Discussion Papers.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Pan, Haozi, 2023.
"Estimation of Characteristics-based Quantile Factor Models,"
CEPR Discussion Papers
18115, C.E.P.R. Discussion Papers.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús & Pan, Haozi, 2023. "Estimation of characteristics-based quantile factor models," UC3M Working papers. Economics 37095, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023. "Estimation of Characteristics-based Quantile Factor Models," Papers 2304.13206, arXiv.org.
- Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Dong, Ruipeng & Li, Daoji & Zheng, Zemin, 2021. "Parallel integrative learning for large-scale multi-response regression with incomplete outcomes," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
- Belloni, Alexandre & Chen, Mingli & Madrid Padilla, Oscar Hernan & Wang, Zixuan (Kevin), 2019.
"High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing,"
The Warwick Economics Research Paper Series (TWERPS)
1230, University of Warwick, Department of Economics.
- Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
- Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022.
"Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects,"
Papers
2208.03632, arXiv.org, revised Apr 2023.
- Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 13/22, Monash University, Department of Econometrics and Business Statistics.
- Dimitris Korobilis & Maximilian Schroder, 2023.
"Monitoring multicountry macroeconomic risk,"
Papers
2305.09563, arXiv.org.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper series 23-06, Rimini Centre for Economic Analysis.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper 2023/9, Norges Bank.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Jun 2023.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Boneva, Lena & Linton, Oliver, 2017.
"A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance,"
Bank of England working papers
640, Bank of England.
- Lena Boneva (Körber) & Oliver Linton, 2017. "A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance," CeMMAP working papers CWP02/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, L. & Linton, O., 2017. "A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance," Cambridge Working Papers in Economics 1703, Faculty of Economics, University of Cambridge.
Cited by:
- Ando, Tomohiro & Bai, Jushan & Li, Kunpeng, 2022. "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 230(1), pages 20-38.
- Ando, Tomohiro & Bai, Jushan, 2021. "Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity," MPRA Paper 111431, University Library of Munich, Germany.
- Williams, Benjamin, 2020. "Nonparametric identification of discrete choice models with lagged dependent variables," Journal of Econometrics, Elsevier, vol. 215(1), pages 286-304.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Artūras Juodis, 2022. "A regularization approach to common correlated effects estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 788-810, June.
- Bartolucci, Francesco & Pigini, Claudia & Valentini, Francesco, 2021. "MCMC Conditional Maximum Likelihood for the two-way fixed-effects logit," MPRA Paper 110034, University Library of Munich, Germany.
- Andrea Zaghini, 2017.
"The CSPP at work: yield heterogeneity and the portfolio rebalancing channel,"
Temi di discussione (Economic working papers)
1157, Bank of Italy, Economic Research and International Relations Area.
- Zaghini, Andrea, 2019. "The CSPP at work - yield heterogeneity and the portfolio rebalancing channel," Working Paper Series 2264, European Central Bank.
- Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
- Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner, 2014.
"Nonlinear Factor Models for Network and Panel Data,"
Papers
1412.5647, arXiv.org, revised Oct 2019.
- Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2018. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP38/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2019. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP18/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
- Óscar Arce & Ricardo Gimeno & Sergio Mayordomo, 2017.
"Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE,"
Working Papers
1743, Banco de España.
- Óscar Arce & Sergio Mayordomo & Ricardo Gimeno, 2021. "Making Room for the Needy: The Credit-Reallocation Effects of the ECB’s Corporate QE [Whatever it takes: the real effects of unconventional monetary policy]," Review of Finance, European Finance Association, vol. 25(1), pages 43-84.
- Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
- Eberhardt, Markus, 2018. "(At Least) Four Theories for Sovereign Default," CEPR Discussion Papers 13084, C.E.P.R. Discussion Papers.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024.
"One Factor to Bind the Cross-Section of Returns,"
NBER Working Papers
32365, National Bureau of Economic Research, Inc.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Cowles Foundation Discussion Papers 2386, Cowles Foundation for Research in Economics, Yale University.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Papers 2404.08129, arXiv.org.
- Mugnier, Martin & Wang, Ao, 2022. "Identification and (Fast) Estimation of Large Nonlinear Panel Models with Two-Way Fixed Effects," The Warwick Economics Research Paper Series (TWERPS) 1422, University of Warwick, Department of Economics.
- Mr. Markus Eberhardt & Mr. Andrea F Presbitero, 2018. "Commodity Price Movements and Banking Crises," IMF Working Papers 2018/153, International Monetary Fund.
- Arturas Juodis & Simon Reese, 2018. "The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation," Papers 1810.03715, arXiv.org, revised Feb 2021.
- Abidi, Nordine & Miquel-Flores, Ixart, 2018. "Who benefits from the corporate QE? A regression discontinuity design approach," Working Paper Series 2145, European Central Bank.
- Rachel Cho & Rodolphe Desbordes & Markus Eberhardt, 2022. "The causal effects of the darker side of financial development," Discussion Papers 2022-04, University of Nottingham, GEP.
- Liang Chen & Minyuan Zhang, 2023. "Common Correlated Effects Estimation of Nonlinear Panel Data Models," Papers 2304.13199, arXiv.org.
- Jiti Gao & Oliver Linton & Bin Peng, 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Monash Econometrics and Business Statistics Working Papers 9/22, Monash University, Department of Econometrics and Business Statistics.
- Jie Wei & Yonghui Zhang, 2022. "Panel Probit Models with Time‐Varying Individual Effects: Reestimating the Effects of Fertility on Female Labour Participation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 799-829, August.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
- Rodolphe Desbordes & Markus Eberhardt, 2019. "Gravity," Discussion Papers 2019-02, University of Nottingham, GEP.
- Lee, Yoonseok & Sul, Donggyu, 2023. "Depth-weighted means of noisy data: An application to estimating the average effect in heterogeneous panels," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
- Feng, Qu, 2020. "Common factors and common breaks in panels: An empirical investigation," Economics Letters, Elsevier, vol. 187(C).
- Chen, Jia & Shin, Yongcheol & Zheng, Chaowen, 2022. "Estimation and inference in heterogeneous spatial panels with a multifactor error structure," Journal of Econometrics, Elsevier, vol. 229(1), pages 55-79.
- Jiti Gao & Oliver Linton & Bin Peng, 2017.
"Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends,"
Monash Econometrics and Business Statistics Working Papers
10/17, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Linton, Oliver & Peng, Bin, 2020. "Inference On A Semiparametric Model With Global Power Law And Local Nonparametric Trends," Econometric Theory, Cambridge University Press, vol. 36(2), pages 223-249, April.
- Jiti Gao & Oliver Linton & Bin Peng, 2018. "Inference on a semiparametric model with global power law and local nonparametric trends," CeMMAP working papers CWP05/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin Peng, 2020.
"On the Time Trend of COVID-19: A Panel Data Study,"
Papers
2006.11060, arXiv.org, revised Jun 2020.
- Dong, C. & Gao, J. & Linton, O. & Peng, B., 2020. "On Time Trend of COVID-19: A Panel Data Study," Cambridge Working Papers in Economics 2065, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton & Bin peng, 2020. "On Time Trend of COVID-19: A Panel Data Study," Monash Econometrics and Business Statistics Working Papers 22/20, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Chen, Zhihong & Xia, Huizhu, 2020. "Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve," Economic Modelling, Elsevier, vol. 93(C), pages 595-604.
- Auld, T. & Linton, O., 2017.
"The Behaviour of Betting and Currency Markets on the Night of the EU Referendum,"
Cambridge Working Papers in Economics
1750, Faculty of Economics, University of Cambridge.
- Auld, Tom & Linton, Oliver, 2019. "The behaviour of betting and currency markets on the night of the EU referendum," International Journal of Forecasting, Elsevier, vol. 35(1), pages 371-389.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," Monash Econometrics and Business Statistics Working Papers 10/18, Monash University, Department of Econometrics and Business Statistics.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," CeMMAP working papers CWP01/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
- Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023.
"Forecasting mid-price movement of Bitcoin futures using machine learning,"
Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
- Akyildirim, Erdinc & Cepni, Oguzhan & Corbet, Shaen & Uddin, Gazi Salah, 2020. "Forecasting Mid-price Movement of Bitcoin Futures Using Machine Learning," Working Papers 20-2020, Copenhagen Business School, Department of Economics.
- Wiśniowski, Arkadiusz & Bijak, Jakub & Forster, Jonathan J. & Smith, Peter W.F., 2019. "Hierarchical model for forecasting the outcomes of binary referenda," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 90-103.
- Auld, T., 2022. "Betting and financial markets are cointegrated on election night," Cambridge Working Papers in Economics 2263, Faculty of Economics, University of Cambridge.
- P. Manasse & G. Moramarco & G. Trigilia, 2020.
"Exchange Rates and Political Uncertainty: The Brexit Case,"
Working Papers
wp1141, Dipartimento Scienze Economiche, Universita' di Bologna.
- Paolo Manasse & Graziano Moramarco & Giulio Trigilia, 2024. "Exchange rates and political uncertainty: the Brexit case," Economica, London School of Economics and Political Science, vol. 91(362), pages 621-652, April.
- Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018.
"Impact of the Brexit vote announcement on long-run market performance,"
CEE-M Working Papers
hal-01954920, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Wael Bousselmi & Patrick Sentis & Marc Willinger, 2020. "Impact of the Brexit vote announcement on long-run market performance," Post-Print hal-03026615, HAL.
- Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," Working Papers hal-01954920, HAL.
- Facundo Albornoz & Jake Bradley & Silvia Sonderegger, 2020.
"The Brexit referendum and the rise in hate crime; conforming to the new norm,"
Discussion Papers
2020-06, Nottingham Interdisciplinary Centre for Economic and Political Research (NICEP).
- Facundo Albornoz & Jake Bradley & Silvia Sonderegger, 2020. "The Brexit referendum and the rise in hate crime; conforming to the new norm," Discussion Papers 2020-12, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
- Facundo Albornoz & Jake Bradley & Silvia Sonderegger, 2022. "Updating the Social Norm: the Case of Hate Crime after the Brexit Referendum," Working Papers 203, Red Nacional de Investigadores en Economía (RedNIE).
- Chaohua Dong & Oliver Linton, 2017.
"Additive nonparametric models with time variable and both stationary and nonstationary regressions,"
CeMMAP working papers
CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, Chaohua & Linton, Oliver, 2018. "Additive nonparametric models with time variable and both stationary and nonstationary regressors," Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
Cited by:
- Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
- Ruiqi Liu & Ben Boukai & Zuofeng Shang, 2019. "Statistical Inference on Partially Linear Panel Model under Unobserved Linearity," Papers 1911.08830, arXiv.org.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021.
"Interactive Effects Panel Data Models with General Factors and Regressors,"
Papers
2111.11506, arXiv.org.
- Bin Ping & Liangju Su & Yanrong Yang & Joakim Westerlund, 2023. "Interactive-effects panel-data models with general factors and regressors," French Stata Users' Group Meetings 2023 14, Stata Users Group.
- Bin Peng & Liangjun Su & Joakim Westerlund & Yanrong Yang, 2021. "Interactive Effects Panel Data Models with General Factors and Regressors," Monash Econometrics and Business Statistics Working Papers 23/21, Monash University, Department of Econometrics and Business Statistics.
- Fei Liu & Jiti Gao & Yanrong Yang, 2019. "Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness," Monash Econometrics and Business Statistics Working Papers 24/19, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018.
"High dimensional semiparametric moment restriction models,"
CeMMAP working papers
CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Bin Peng & Yayi Yan, 2023. "Estimation and Inference for a Class of Generalized Hierarchical Models," Papers 2311.02789, arXiv.org, revised Apr 2024.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2023.
"Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models,"
Monash Econometrics and Business Statistics Working Papers
2/23, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
- Cheng, T. & Gao, J. & Linton, O., 2019.
"Nonparametric Predictive Regressions for Stock Return Prediction,"
Cambridge Working Papers in Economics
1932, Faculty of Economics, University of Cambridge.
- Tingting Cheng & Jiti Gao & Oliver Linton, 2019. "Nonparametric Predictive Regressions for Stock Return Prediction," Monash Econometrics and Business Statistics Working Papers 4/19, Monash University, Department of Econometrics and Business Statistics.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023.
"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
- Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
- Feng, Guohua & Gao, Jiti & Peng, Bin, 2022.
"An integrated panel data approach to modelling economic growth,"
Journal of Econometrics, Elsevier, vol. 228(2), pages 379-397.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Papers 1903.07948, arXiv.org.
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
- Chaohua Dong & Jiti Gao & Bin Peng & Yayi Yan, 2023. "Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks," Monash Econometrics and Business Statistics Working Papers 21/23, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
- Pourkhanali, Armin & Tafakori, Laleh & Bee, Marco, 2023. "Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Peng, Zhen & Dong, Chaohua, 2022. "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, vol. 47(PB).
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
- Guohua Feng & Jiti Gao & Bin Peng, 2019. "An Integrated Panel Data Approach to Modelling Economic Growth," Monash Econometrics and Business Statistics Working Papers 6/19, Monash University, Department of Econometrics and Business Statistics.
- Ayman Mnasri & Zouhair Mrabet & Mouyad Alsamara, 2023. "A new quadratic asymmetric error correction model: does size matter?," Empirical Economics, Springer, vol. 65(1), pages 33-64, July.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
- Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
- Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
- Noss, Joseph & Pedace, Lucas & Tobek, Ondrej & Linton, Oliver & Crowley-Reidy, Liam, 2017.
"The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets,"
Bank of England working papers
687, Bank of England.
Cited by:
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of high-frequency trading for security markets,"
CeMMAP working papers
CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- David‐Jan Jansen, 2021. "The International Spillovers of the 2010 U.S. Flash Crash," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1573-1586, September.
- Antoine Bouveret & Martin Haferkorn & Gaetano Marseglia & Onofrio Panzarino, 2022. "Flash crashes on sovereign bond markets – EU evidence," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 20, Bank of Italy, Directorate General for Markets and Payment System.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of high-frequency trading for security markets,"
CeMMAP working papers
CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Wu, J., 2016.
"A coupled component GARCH model for intraday and overnight volatility,"
Cambridge Working Papers in Economics
1671, Faculty of Economics, University of Cambridge.
- Oliver Linton & Jianbin Wu, 2017. "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers CWP05/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Wu, J., 2018. "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics 1879, Faculty of Economics, University of Cambridge.
Cited by:
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of high-frequency trading for security markets,"
CeMMAP working papers
CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Anne Opschoor & André Lucas, 2019. "Observation-driven Models for Realized Variances and Overnight Returns," Tinbergen Institute Discussion Papers 19-052/IV, Tinbergen Institute.
- Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger, 2016.
"Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model,"
Cambridge Working Papers in Economics
1620, Faculty of Economics, University of Cambridge.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cowles Foundation Discussion Papers 2033, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers CWP12/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018.
"New bid-ask spread estimators from daily high and low prices,"
International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
- Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.
- Seok Young Hong & Oliver Linton, 2016.
"Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order,"
CeMMAP working papers
CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Yuliana Linke & Igor Borisov & Pavel Ruzankin & Vladimir Kutsenko & Elena Yarovaya & Svetlana Shalnova, 2022. "Universal Local Linear Kernel Estimators in Nonparametric Regression," Mathematics, MDPI, vol. 10(15), pages 1-28, July.
- Eric Auerbach, 2019. "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers 1903.09679, arXiv.org, revised Jun 2021.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015.
"An investigation into multivariate variance ratio statistics and their application to stock market predictability,"
CeMMAP working papers
CWP13/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2015. "An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability," Cambridge Working Papers in Economics 1552, Faculty of Economics, University of Cambridge.
Cited by:
- Atanda Mustapha Saidi, 2017. "Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa," Working Paper Series 2390, African Development Bank.
- O'Callaghan, Patrick, 2016. "Measuring utility without mixing apples and oranges and eliciting beliefs about stock prices," MPRA Paper 69363, University Library of Munich, Germany.
- Michael Vogt & Oliver Linton, 2015.
"Classification of nonparametric regression functions in heterogeneous panels,"
CeMMAP working papers
CWP06/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Stéphane Bonhomme & Thibaut Lamadon & Elena Manresa, 2017.
"Discretizing unobserved heterogeneity,"
IFS Working Papers
W17/03, Institute for Fiscal Studies.
- Thibaut Lamadon & Elena Manresa & Stephane Bonhomme, 2016. "Discretizing Unobserved Heterogeneity," 2016 Meeting Papers 1536, Society for Economic Dynamics.
- St'ephane Bonhomme Thibaut Lamadon Elena Manresa, 2021. "Discretizing Unobserved Heterogeneity," Papers 2102.02124, arXiv.org.
- Bonhomme, Stéphane & Lamadon, Thibaut & Manresa, Elena, 2017. "Discretizing Unobserved Heterogeneity," Working Paper Series 2017:21, IFAU - Institute for Evaluation of Labour Market and Education Policy.
- Hafner, Christian & Walders, Fabian, 2017.
"Heterogeneous Liquidity Effects in Corporate Bond Spreads,"
LIDAM Reprints ISBA
2017037, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Walders, Fabian, 2016. "Heterogeneous Liquidity Effects in Corporate Bond Spreads," LIDAM Discussion Papers ISBA 2016050, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
- Stéphane Bonhomme & Thibaut Lamadon & Elena Manresa, 2017.
"Discretizing unobserved heterogeneity,"
IFS Working Papers
W17/03, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables,"
Discussion Papers
15/01, Department of Economics, University of York.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016. "Semiparametric dynamic portfolio choice with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric Model Averaging of Ultra-High Dimensional Time Series,"
Discussion Papers
15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014.
"The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series,"
CeMMAP working papers
CWP06/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016. "The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series," Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers 06/14, Institute for Fiscal Studies.
Cited by:
- Syed Jawad Hussain Shahzad & Thi Hong Van Hoang & Jose Arreola-Hernandez, 2019.
"Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe,"
Post-Print
hal-02129104, HAL.
- Shahzad, Syed Jawad Hussain & Hoang, Thi Hong Van & Arreola-Hernandez, Jose, 2019. "Risk spillovers between large banks and the financial sector: Asymmetric evidence from Europe," Finance Research Letters, Elsevier, vol. 28(C), pages 153-159.
- Klochkov, Yegor & Härdle, Wolfgang Karl & Xu, Xiu, 2019. "Localizing Multivariate CAViaR," IRTG 1792 Discussion Papers 2019-007, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019.
"Return spillovers around the globe: A network approach,"
Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
- Stefan Lyocsa & Tomas Vyrost & Eduard Baumohl, 2015. "Return spillovers around the globe: A network approach," Papers 1507.06242, arXiv.org, revised Nov 2015.
- Oğuzhan Çepni & Rangan Gupta & Mark E. Wohar, 2020.
"The role of real estate uncertainty in predicting US home sales growth: evidence from a quantiles-based Bayesian model averaging approach,"
Applied Economics, Taylor & Francis Journals, vol. 52(5), pages 528-536, January.
- Oguzhan Cepni & Rangan Gupta & Mark E. Wohar, 2019. "The Role of Real Estate Uncertainty in Predicting US Home Sales Growth: Evidence from a Quantiles-Based Bayesian Model Averaging Approach," Working Papers 201936, University of Pretoria, Department of Economics.
- Guo, Dong & Zhou, Peng, 2021.
"Green bonds as hedging assets before and after COVID: A comparative study between the US and China,"
Energy Economics, Elsevier, vol. 104(C).
- Guo, Dong & Zhou, Peng, 2021. "Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China," Cardiff Economics Working Papers E2021/28, Cardiff University, Cardiff Business School, Economics Section.
- Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
- Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Atil, Ahmed & Nawaz, Kishwar & Lahiani, Amine & Roubaud, David, 2020. "Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization," Resources Policy, Elsevier, vol. 67(C).
- Bouri, Elie & Gupta, Rangan & Lau, Chi Keung Marco & Roubaud, David & Wang, Shixuan, 2018.
"Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 297-307.
- Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud & Shixuan Wang, 2017. "Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles," Working Papers 201750, University of Pretoria, Department of Economics.
- Lee, Ji Hyung, 2016.
"Predictive quantile regression with persistent covariates: IVX-QR approach,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 105-118.
- Lee, JiHyung, 2015. "Predictive quantile regression with persistent covariates: IVX-QR approach," MPRA Paper 65150, University Library of Munich, Germany.
- Jozef Barun'ik & Tobias Kley, 2015.
"Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables,"
Papers
1510.06946, arXiv.org, revised Dec 2018.
- Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
- Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
- Baumöhl, Eduard & Lyócsa, Štefan, 2017.
"Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis,"
Finance Research Letters, Elsevier, vol. 23(C), pages 152-164.
- Baumöhl, Eduard & Lyócsa, Štefan, 2017. "Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis," MPRA Paper 76915, University Library of Munich, Germany.
- Chandrarin, Grahita & Sohag, Kazi & Cahyaningsih, Diyah Sukanti & Yuniawan, Dani & Herdhayinta, Heyvon, 2022. "The response of exchange rate to coal price, palm oil price, and inflation in Indonesia: Tail dependence analysis," Resources Policy, Elsevier, vol. 77(C).
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2022.
"Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19,"
Energy Policy, Elsevier, vol. 168(C).
- Arif, Muhammad & Naeem, Muhammad Abubakr & Farid, Saqib & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19," Working Papers 1-2021, Copenhagen Business School, Department of Economics.
- Muhammad Arif & Muhammad Abubakr Naeem & Saqib Farid & Rabindra Nepal & Tooraj Jamasb, 2021. "Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19," CAMA Working Papers 2021-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Valdivia Coria, Joab Dan, 2022. "Apalancamiento, ciclo financiero y económico [Leverage, financial and business cycles]," MPRA Paper 116849, University Library of Munich, Germany.
- Ngo Thai Hung & Vo Xuan Vinh, 2023. "Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach," Economics and Business Letters, Oviedo University Press, vol. 12(1), pages 20-32.
- Aharon, David Y. & Demir, Ender & Lau, Chi Keung Marco & Zaremba, Adam, 2022. "Twitter-Based uncertainty and cryptocurrency returns," Research in International Business and Finance, Elsevier, vol. 59(C).
- Andrieş, Alin Marius & Ongena, Steven & Sprincean, Nicu & Tunaru, Radu, 2022.
"Risk spillovers and interconnectedness between systemically important institutions,"
Journal of Financial Stability, Elsevier, vol. 58(C).
- Alin Marius Andries & Steven Ongena & Nicu Sprincean & Radu Tunaru, 2020. "Risk Spillovers and Interconnectedness between Systemically Important Institutions," Swiss Finance Institute Research Paper Series 20-40, Swiss Finance Institute.
- Rangan Gupta & Syed Jawad Hussain Shahzad & Xin Sheng & Sowmya Subramaniam, 2023. "The role of oil and risk shocks in the high‐frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1845-1857, April.
- Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017.
"Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis,"
Emerging Markets Review, Elsevier, vol. 31(C), pages 32-46.
- Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "“Spillovers From the United States to Latin American and G7 Stock Markets: a VAR Quantile Analysis”," IREA Working Papers 201525, University of Barcelona, Research Institute of Applied Economics, revised Oct 2015.
- Foglia, Matteo & Angelini, Eliana, 2020. "The diabolical sovereigns/banks risk loop: A VAR quantile design," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Ayadi, Ahmed & Ghabri, Yosra & Guesmi, Khaled, 2023. "Directional predictability from central bank digital currency to cryptocurrencies and stablecoins," Research in International Business and Finance, Elsevier, vol. 65(C).
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022.
"Measuring systemic risk in the global banking sector: A cross-quantilogram network approach,"
Economic Modelling, Elsevier, vol. 109(C).
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Hussain Shahzad, Syed Jawad & Výrost, Tomáš, 2022. "Measuring systemic risk in the global banking sector: A cross-quantilogram network approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics.
- Elie Bouri & Rangan Gupta & Chi keung marco Lau & David Roubaud, 2021. "Risk aversion and Bitcoin returns in extreme quantiles," Economics Bulletin, AccessEcon, vol. 41(3), pages 1374-1386.
- Riza Demirer & Rangan Gupta & Hossein Hassani & Xu Huang, 2020.
"Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram,"
Economies, MDPI, vol. 8(1), pages 1-12, March.
- Riza Demirer & Rangan Gupta & Hossein Hassani & Xu Huang, 2019. "Time-Varying Risk Aversion and the Profitability of Carry Trades: Evidence from the Cross-Quantilogram," Working Papers 201979, University of Pretoria, Department of Economics.
- Katarzyna Kuziak & Joanna Górka, 2023. "Dependence Analysis for the Energy Sector Based on Energy ETFs," Energies, MDPI, vol. 16(3), pages 1-30, January.
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis Politsidis, 2023.
"Sovereign bond and CDS market contagion: A story from the Eurozone crisis,"
Post-Print
hal-04164277, HAL.
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
- Georgios Bampinas & Theodore Panagiotidis & Panagiotis N. Politsidis, 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Working Paper series 23-09, Rimini Centre for Economic Analysis.
- Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis, 2020. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," MPRA Paper 102846, University Library of Munich, Germany.
- Balsalobre-Lorente, Daniel & Sinha, Avik & Murshed, Muntasir, 2023. "Russia-Ukraine conflict sentiments and energy market returns in G7 countries: Discovering the unexplored dynamics," Energy Economics, Elsevier, vol. 125(C).
- Sohag, Kazi & Hassan, M. Kabir & Kalina, Irina & Mariev, Oleg, 2023. "The relative response of Russian National Wealth Fund to oil demand, supply and risk shocks," Energy Economics, Elsevier, vol. 123(C).
- Ali, Sajid & Bouri, Elie & Czudaj, Robert Lukas & Shahzad, Syed Jawad Hussain, 2020. "Revisiting the valuable roles of commodities for international stock markets," Resources Policy, Elsevier, vol. 66(C).
- Labidi, Chiaz & Rahman, Md Lutfur & Hedström, Axel & Uddin, Gazi Salah & Bekiros, Stelios, 2018. "Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 179-211.
- Giovanni De Luca & Monica Rosciano, 2020. "Quantile Dependence in Tourism Demand Time Series: Evidence in the Southern Italy Market," Sustainability, MDPI, vol. 12(8), pages 1-18, April.
- Daniel Danau, 2018.
"Prudence and preference for flexibility gain,"
Working Papers
hal-01806743, HAL.
- Daniel Danau, 2018. "Prudence and preference for flexibility gain," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2018-05, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS, revised May 2019.
- Danau, Daniel, 2020. "Prudence and preference for flexibility gain," European Journal of Operational Research, Elsevier, vol. 287(2), pages 776-785.
- Daniel Danau, 2020. "Prudence and preference for flexibility gain," Post-Print hal-02893487, HAL.
- Daniel Danau, 2017. "Prudence and preference for flexibility gain," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-05, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS, revised Nov 2017.
- Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019.
"Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit,"
Post-Print
hal-02352004, HAL.
- Syed Jawad Hussain Shahzad & Naveed Raza & David Roubaud & Jose Arreola Hernandez & Stelios Bekiros, 2019. "Gold as Safe Haven for G-7 Stocks and Bonds: A Revisit," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 885-912, December.
- Corbet, Shaen & Katsiampa, Paraskevi & Lau, Chi Keung Marco, 2020. "Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Zhang, Dongna & Chen, Xihui Haviour & Lau, Chi Keung Marco & Xu, Bing, 2023. "Implications of cryptocurrency energy usage on climate change," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
- Elie Bouri & Rangan Gupta & Chi Keung Marco Lau & David Roubaud, 2019. "Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets," Working Papers 201927, University of Pretoria, Department of Economics.
- Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
- Sohag, Kazi & Sokhanvar, Amin & Belyaeva, Zhanna & Mirnezami, Seyed Reza, 2022. "Hydrocarbon prices shocks, fiscal stability and consolidation: Evidence from Russian Federation," Resources Policy, Elsevier, vol. 76(C).
- Riza Demirer & Konstantinos Gkillas & Christos Kountzakis & Amaryllis Mavragani, 2020. "Risk Appetite and Jumps in Realized Correlation," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
- Abakah, Emmanuel Joel Aikins & Nasreen, Samia & Tiwari, Aviral Kumar & Lee, Chien-Chiang, 2023. "U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
- Baur, Dirk G. & Hoang, Lai T., 2021. "A crypto safe haven against Bitcoin," Finance Research Letters, Elsevier, vol. 38(C).
- Sohag, Kazi & Hassan, M. Kabir & Bakhteyev, Stepan & Mariev, Oleg, 2023. "Do green and dirty investments hedge each other?," Energy Economics, Elsevier, vol. 120(C).
- Linh Pham, 2021. "How Integrated are Regional Green Equity Markets? Evidence from a Cross-Quantilogram Approach," JRFM, MDPI, vol. 14(1), pages 1-58, January.
- Dibooglu, Sel & Cevik, Emrah I. & Gillman, Max, 2022. "Gold, silver, and the US dollar as harbingers of financial calm and distress," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 200-210.
- Naeem, Muhammad Abubakr & Pham, Linh & Senthilkumar, Arunachalam & Karim, Sitara, 2022. "Oil shocks and BRIC markets: Evidence from extreme quantile approach," Energy Economics, Elsevier, vol. 108(C).
- González, Maria de la O. & Jareño, Francisco & Skinner, Frank S., 2021. "Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
- Lyócsa, Štefan & Výrost, Tomáš & Plíhal, Tomáš, 2021. "A tale of tails : New evidence on the growth-return nexus," Finance Research Letters, Elsevier, vol. 38(C).
- Jose Areola Hernandez & Syed Jawad Hussain Shahzad & Gazi Salah Uddin & Sang Hoon Kang, 2019.
"Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach,"
Post-Print
hal-02159274, HAL.
- Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Uddin, Gazi Salah & Kang, Sang Hoon, 2019. "Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 588-601.
- Stelios Bekiros & Syed Jawad Hussain Shahzad & Jose Arreola-Hernandez & Mobeen Ur Rehman, 2018.
"Directional predictability and time-varying spillovers between stock markets and economic cycles,"
Post-Print
hal-01996787, HAL.
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- Nahla Samargandi & Kazi Sohag, 2022. "Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate," Mathematics, MDPI, vol. 10(24), pages 1-15, December.
- Heejoon Han, 2016. "Quantile Dependence between Stock Markets and its Application in Volatility Forecasting," Papers 1608.07193, arXiv.org.
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"Dynamic connectedness of global currencies: a conditional Granger-causality approach,"
Working Papers
hal-01806733, HAL.
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- Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
- Thobekile Qabhobho & Anokye M. Adam & Emmanuel Asafo-Adjei, 2023. "Do Local and International Shocks Matter in the Interconnectedness amid Exchange Rates and Energy Commodities? Insights into BRICS Economies," International Journal of Energy Economics and Policy, Econjournals, vol. 13(6), pages 666-678, November.
- Naeem, Muhammad Abubakr & Nguyen, Thi Thu Ha & Nepal, Rabindra & Ngo, Quang-Thanh & Taghizadeh–Hesary, Farhad, 2021. "Asymmetric relationship between green bonds and commodities: Evidence from extreme quantile approach," Finance Research Letters, Elsevier, vol. 43(C).
- Naeem, Muhammad Abubakr & Karim, Sitara & Abrar, Afsheen & Yarovaya, Larisa & Shah, Adil Ahmad, 2023. "Non-linear relationship between oil and cryptocurrencies: Evidence from returns and shocks," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Stenvall, David & Hedström, Axel & Yoshino, Naoyuki & Uddin, Gazi Salah & Taghizadeh-Hesary, Farhad, 2022. "Nonlinear tail dependence between the housing and energy markets," Energy Economics, Elsevier, vol. 106(C).
- Urom, Christian & Abid, Ilyes & Guesmi, Khaled & Chevallier, Julien, 2020. "Quantile spillovers and dependence between Bitcoin, equities and strategic commodities," Economic Modelling, Elsevier, vol. 93(C), pages 230-258.
- Ye, Wuyi & Li, Mingge & Wu, Yuehua, 2022. "A novel estimation of time-varying quantile correlation for financial contagion detection," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Syed Jawad Hussain Shahzad & Elie Bouri & Mobeen Ur Rehman & David Roubaud, 2022. "The hedge asset for BRICS stock markets: Bitcoin, gold or VIX," The World Economy, Wiley Blackwell, vol. 45(1), pages 292-316, January.
- Shahzad, Syed Jawad Hussain & Rehman, Mobeen Ur & Jammazi, Rania, 2019. "Spillovers from oil to precious metals: Quantile approaches," Resources Policy, Elsevier, vol. 61(C), pages 508-521.
- Kołodziejczyk, Hanna, 2023. "Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
- Duan, Kun & Ren, Xiaohang & Wen, Fenghua & Chen, Jinyu, 2023. "Evolution of the information transmission between Chinese and international oil markets: A quantile-based framework," Journal of Commodity Markets, Elsevier, vol. 29(C).
- Alomari, Mohammad & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 79(C).
- Hartley, Robert Paul & Lamarche, Carlos & Ziliak, James P., 2023. "Bootstrapping quantile correlations with an application for income status across generations," Economics Letters, Elsevier, vol. 228(C).
- Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).
- Montes-Rojas, Gabriel, 2017. "Reduced form vector directional quantiles," Journal of Multivariate Analysis, Elsevier, vol. 158(C), pages 20-30.
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- Román Ferrer & Rafael Benítez & Vicente J. Bolós, 2021. "Interdependence between Green Financial Instruments and Major Conventional Assets: A Wavelet-Based Network Analysis," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
- Ji-Eun Choi & Dong Wan Shin, 2022. "Quantile correlation coefficient: a new tail dependence measure," Statistical Papers, Springer, vol. 63(4), pages 1075-1104, August.
- Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost,Tomáš, 2020. "From physical to financial contagion: the COVID-19 pandemic and increasing systemic risk among banks," EconStor Preprints 218944, ZBW - Leibniz Information Centre for Economics.
- Sohag, Kazi & Hammoudeh, Shawkat & Elsayed, Ahmed H. & Mariev, Oleg & Safonova, Yulia, 2022. "Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks," Energy Economics, Elsevier, vol. 111(C).
- Md. Monirul Islam & Kazi Sohag & Faheem ur Rehman, 2022. "Do Geopolitical Tensions and Economic Policy Uncertainties Reorient Mineral Imports in the USA? A Fat-Tailed Data Analysis Using Novel Quantile Approaches," Mathematics, MDPI, vol. 11(1), pages 1-25, December.
- Ali, Fahad & Bouri, Elie & Naifar, Nader & Shahzad, Syed Jawad Hussain & AlAhmad, Mohammad, 2022. "An examination of whether gold-backed Islamic cryptocurrencies are safe havens for international Islamic equity markets," Research in International Business and Finance, Elsevier, vol. 63(C).
- Yahya, Muhammad & Dutta, Anupam & Bouri, Elie & Wadström, Christoffer & Uddin, Gazi Salah, 2022. "Dependence structure between the international crude oil market and the European markets of biodiesel and rapeseed oil," Renewable Energy, Elsevier, vol. 197(C), pages 594-605.
- Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
- Lindman, Sebastian & Tuvhag, Tom & Jayasekera, Ranadeva & Uddin, Gazi Salah & Troster, Victor, 2020. "Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 42-73.
- Donald Lien & Zijun Wang, 2019. "Quantile information share," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 38-55, January.
- Cho, Dooyeon & Han, Heejoon, 2021. "The tail behavior of safe haven currencies: A cross-quantilogram analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
- Kazi Sohag & Anna Gainetdinova & Shawkat Hammoudeh & Riad Shams, 2022. "Dynamic Connectedness among Vaccine Companies’ Stock Prices: Before and after Vaccines Released," Mathematics, MDPI, vol. 10(15), pages 1-26, August.
- Borg, Elin & Kits, Ilya & Junttila, Juha & Uddin, Gazi Salah, 2022. "Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions," Renewable Energy, Elsevier, vol. 190(C), pages 879-892.
- Changyu Liu & Muhammad Abubakr Naeem & Mobeen Ur Rehman & Saqib Farid & Syed Jawad Hussain Shahzad, 2020. "Oil as Hedge, Safe-Haven, and Diversifier for Conventional Currencies," Energies, MDPI, vol. 13(17), pages 1-19, August.
- Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
- Trabelsi, Nader & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2022. "Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Amin Sokhanvar & Chien-Chiang Lee, 2023. "How do energy price hikes affect exchange rates during the war in Ukraine?," Empirical Economics, Springer, vol. 64(5), pages 2151-2164, May.
- Derick David Quintino & Heloisa Lee Burnquist & Paulo Jorge Silveira Ferreira, 2021. "Carbon Emissions and Brazilian Ethanol Prices: Are They Correlated? An Econophysics Study," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014.
"Multivariate variance ratio statistics,"
CeMMAP working papers
CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate Variance Ratio Statistics," Cambridge Working Papers in Economics 1459, Faculty of Economics, University of Cambridge.
Cited by:
- Neil Kellard & Denise Osborn & Jerry Coakley & John C. Nankervis & Periklis Kougoulis & Jerry Coakley, 2015.
"Generalized Variance-Ratio Tests in the Presence of Statistical Dependence,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 687-705, September.
- Periklis Kougoulis & John C. Nankervis & Jerry Coakley, 2006. "Generalized variance ratio tests in the presence of statistical dependence," Computing in Economics and Finance 2006 180, Society for Computational Economics.
- James Brugler & Oliver Linton, 2014.
"Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?,"
CeMMAP working papers
CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Leal, Sandrine Jacob & Napoletano, Mauro, 2019.
"Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading,"
Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512779, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," SciencePo Working papers Main hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series 2016/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Working Papers hal-01512781, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Sciences Po publications 2016-12, Sciences Po.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Sciences Po publications info:hdl:2441/6ummnc8nko8, Sciences Po.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading," Post-Print hal-01512780, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Post-Print hal-03403589, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading," Working Papers hal-03459346, HAL.
- Sandrine Jacob Leal & Mauro Napoletano, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," SciencePo Working papers Main hal-03403589, HAL.
- Kun Li, 2019. "Do Circuit Breakers Impede Trading Behavior? A Study In Chinese Financial Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(05), pages 1-18, December.
- Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
- Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2018. "Trading aggression when price limit hits are imminent: NARDL based intraday investigation of magnet effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 1-8.
- Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2020. "A survey on the magnet effect of circuit breakers in financial markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 138-151.
- Laly, Floris & Petitjean, Mikael, 2021.
"Mini flash crashes: Review, taxonomy and policy responses,"
LIDAM Reprints LFIN
2021017, Université catholique de Louvain, Louvain Finance (LFIN).
- Floris Laly & Mikael Petitjean, 2020. "Mini flash crashes: Review, taxonomy and policy responses," Post-Print hal-02998436, HAL.
- Floris Laly & Mikael Petitjean, 2020. "Mini flash crashes: Review, taxonomy and policy responses," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 251-271, July.
- Brugler, James, 2015. "Into the light: dark pool trading and intraday market quality on the primary exchange," Bank of England working papers 545, Bank of England.
- Leal, Sandrine Jacob & Napoletano, Mauro, 2019.
"Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading,"
Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013.
"A semiparametric model for heterogeneous panel data with fixed effects,"
CeMMAP working papers
CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
Cited by:
- Myrto Kasioumi & Thanasis Stengos, 2020. "The Environmental Kuznets Curve with Recycling: A Partially Linear Semiparametric Approach," JRFM, MDPI, vol. 13(11), pages 1-26, November.
- Vogt, Michael & Linton, Oliver, 2020.
"Multiscale clustering of nonparametric regression curves,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Michael Vogt & Oliver Linton, 2018. "Multiscale clustering of nonparametric regression curves," CeMMAP working papers CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers 42/13, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric Model Averaging of Ultra-High Dimensional Time Series,"
Discussion Papers
15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- Timothy Neal, 2016.
"Multidimensional Parameter Heterogeneity in Panel Data Models,"
Discussion Papers
2016-15, School of Economics, The University of New South Wales.
- Timothy Neal, 2018. "Multidimensional Parameter Heterogeneity in Panel Data Models," Discussion Papers 2016-15A, School of Economics, The University of New South Wales.
- Sinem Hacıoğlu Hoke & George Kapetanios, 2021. "Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 125-150, January.
- Jia Chen & Degui Li & Yingcun Xia, 2015. "New Semiparametric Estimation Procedure for Functional Coefficient Longitudinal Data Models," Discussion Papers 15/17, Department of Economics, University of York.
- Badi Baltagi & Georges Bresson & Jean-Michel Etienne, 2020.
"Growth Empirics: A Bayesian Semiparametric Model with Random Coefficients for a Panel of OECD Countries,"
Center for Policy Research Working Papers
229, Center for Policy Research, Maxwell School, Syracuse University.
- Badi H. Baltagi & Georges Bresson & Jean-Michel Etienne, 2020. "Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 217-253, Emerald Group Publishing Limited.
- Jia Chen, 2018.
"Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models,"
Discussion Papers
18/15, Department of Economics, University of York.
- Jia Chen, 2019. "Estimating latent group structure in time-varying coefficient panel data models," The Econometrics Journal, Royal Economic Society, vol. 22(3), pages 223-240.
- Lee, Jungyoon & Robinson, Peter M., 2015. "Panel nonparametric regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 346-362.
- Archer Gong Zhang & Jiahua Chen, 2023. "Optimal Estimation under a Semiparametric Density Ratio Model," Papers 2309.09103, arXiv.org.
- Lee, Jungyoon & Robinson, Peter, 2015. "Panel nonparametric regression with fixed effects," LSE Research Online Documents on Economics 61431, London School of Economics and Political Science, LSE Library.
- Hacioglu Hoke, Sinem & Kapetanios, George, 2017. "Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models," Bank of England working papers 683, Bank of England.
- Chen, Bin & Huang, Liquan, 2018. "Nonparametric testing for smooth structural changes in panel data models," Journal of Econometrics, Elsevier, vol. 202(2), pages 245-267.
- Jiti Gao & Kai Xia, 2017. "Heterogeneous panel data models with cross-sectional dependence," Monash Econometrics and Business Statistics Working Papers 16/17, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
- Chen, Jia & Li, Degui & Xia, Yingcun, 2019. "Estimation of a rank-reduced functional-coefficient panel data model with serial correlation," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 456-479.
- HAFNER, Christian & LINTON, Oliver, 2013.
"An almost closed form estimator for the EGARCH model,"
LIDAM Discussion Papers CORE
2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
- Christian M. HAFNER & Oliver LINTON, 2017. "An almost closed form estimator for the EGARCH model," LIDAM Reprints CORE 2881, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The EGARCH Model," LIDAM Reprints ISBA 2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- CORNUEJOLS, Gérard & WOLSEY, Laurence & YILDIZ, Sercan, 2013. "Sufficiency of cut-generating functions," LIDAM Discussion Papers CORE 2013027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chiara Canta & Marie-Louise Leroux, 2016.
"Public and Private Hospitals, Congestion, and Redistribution,"
Journal of Public Economic Theory, Association for Public Economic Theory, vol. 18(1), pages 42-66, February.
- CANTA, Chiara & LEROUX, Marie-Louise, 2013. "Public and private hospitals, congestion, and redistribution," LIDAM Discussion Papers CORE 2013041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- CANTA, Chiara & LEROUX, Marie-Louise, 2016. "Public and Private Hospitals, Congestion, and Redistribution," LIDAM Reprints CORE 2726, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bocart, Fabian Y.R.P. & Hafner, Christian, 2015.
"Fair Revaluation of Wine as an Investment,"
LIDAM Reprints ISBA
2015040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Fabian Y.R.P. Bocart & Christian M. Hafner, 2013. "Fair re-valuation of wine as an investment," SFB 649 Discussion Papers SFB649DP2013-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015. "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, vol. 10(2), pages 190-203, November.
- BOCART, Fabian & HAFNER, Christian, 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers CORE 2013025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bocart, F. & Hafner, C., 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA 2013003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- GOERTZ, Johanna & MANIQUET, François, 2013. "Large elections with multiple alternatives: a Condorcet Jury Theorem and inefficient equilibria," LIDAM Discussion Papers CORE 2013023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- M. Angeles Carnero Fernández & Ana Pérez Espartero, 2018.
"Outliers and misleading leverage effect in asymmetric GARCH-type models,"
Working Papers. Serie AD
2018-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Carnero M. Angeles & Pérez Ana, 2021. "Outliers and misleading leverage effect in asymmetric GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-19, February.
- MLINAR, Tanja B. & CHEVALIER, Philippe, 2013. "Pooling in manufacturing: do opposites attract?," LIDAM Discussion Papers CORE 2013040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019.
"Exponential-type GARCH models with linear-in-variance risk premium,"
LIDAM Discussion Papers CORE
2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian M. Hafner & Dimitra Kyriakopoulou, 2021. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 589-603, March.
- Hafner, Christian & Kyriakopoulou, Dimitra, 2020. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- DEMOS Antonis, & KYRIAKOPOULOU Dimitra,, 2018.
"Finite sample theory and bias correction of maximum likelihood estimators in the EGARCH model,"
LIDAM Discussion Papers CORE
2018007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
- NESTEROV, Yurii, 2013. "Universal gradient methods for convex optimization problems," LIDAM Discussion Papers CORE 2013026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Prono Todd, 2018. "Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-25, December.
- Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
- Hafner C. & Linton, O., 2013.
"An Almost Closed Form Estimator for the EGARCH,"
LIDAM Discussion Papers ISBA
2013010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- CORNUEJOLS, Gérard & WOLSEY, Laurence & YILDIZ, Sercan, 2013. "Sufficiency of cut-generating functions," LIDAM Discussion Papers CORE 2013027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Linton, Oliver, 2017.
"An Almost Closed Form Estimator For The EGARCH Model,"
LIDAM Reprints ISBA
2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. HAFNER & Oliver LINTON, 2017. "An almost closed form estimator for the EGARCH model," LIDAM Reprints CORE 2881, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
- HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chiara Canta & Marie-Louise Leroux, 2016.
"Public and Private Hospitals, Congestion, and Redistribution,"
Journal of Public Economic Theory, Association for Public Economic Theory, vol. 18(1), pages 42-66, February.
- CANTA, Chiara & LEROUX, Marie-Louise, 2013. "Public and private hospitals, congestion, and redistribution," LIDAM Discussion Papers CORE 2013041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- CANTA, Chiara & LEROUX, Marie-Louise, 2016. "Public and Private Hospitals, Congestion, and Redistribution," LIDAM Reprints CORE 2726, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bocart, Fabian Y.R.P. & Hafner, Christian, 2015.
"Fair Revaluation of Wine as an Investment,"
LIDAM Reprints ISBA
2015040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Fabian Y.R.P. Bocart & Christian M. Hafner, 2013. "Fair re-valuation of wine as an investment," SFB 649 Discussion Papers SFB649DP2013-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bocart, Fabian Y.R.P. & Hafner, Christian M., 2015. "Fair Revaluation of Wine as an Investment," Journal of Wine Economics, Cambridge University Press, vol. 10(2), pages 190-203, November.
- BOCART, Fabian & HAFNER, Christian, 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers CORE 2013025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bocart, F. & Hafner, C., 2013. "Fair re-valuation of wine as an investment," LIDAM Discussion Papers ISBA 2013003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- GOERTZ, Johanna & MANIQUET, François, 2013. "Large elections with multiple alternatives: a Condorcet Jury Theorem and inefficient equilibria," LIDAM Discussion Papers CORE 2013023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- MLINAR, Tanja B. & CHEVALIER, Philippe, 2013. "Pooling in manufacturing: do opposites attract?," LIDAM Discussion Papers CORE 2013040, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- NESTEROV, Yurii, 2013. "Universal gradient methods for convex optimization problems," LIDAM Discussion Papers CORE 2013026, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013.
"A nonparametric test of a strong leverage hypothesis,"
CeMMAP working papers
CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016. "A nonparametric test of a strong leverage hypothesis," Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
Cited by:
- Ekaterina Smetanina, 2017. "Real-Time GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 561-601.
- Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
- Li, Tong & Oka, Tatsushi, 2015. "Set identification of the censored quantile regression model for short panels with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 363-377.
- M. MALLIKARJUNA & R. Prabhakara RAO, 2019. "Volatility experience of major world stock markets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(621), W), pages 35-52, Winter.
- Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.
- Yen, Yu-Min & Yen, Tso-Jung, 2021. "Testing forecast accuracy of expectiles and quantiles with the extremal consistent loss functions," International Journal of Forecasting, Elsevier, vol. 37(2), pages 733-758.
- Oliver Linton & Qiying Wang, 2013.
"Non-parametric transformation regression with non-stationary data,"
CeMMAP working papers
CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
Cited by:
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wang, Qiying & Wu, Dongsheng & Zhu, Ke, 2018. "Model checks for nonlinear cointegrating regression," Journal of Econometrics, Elsevier, vol. 207(2), pages 261-284.
- Yuliana Linke & Igor Borisov & Pavel Ruzankin & Vladimir Kutsenko & Elena Yarovaya & Svetlana Shalnova, 2022. "Universal Local Linear Kernel Estimators in Nonparametric Regression," Mathematics, MDPI, vol. 10(15), pages 1-28, July.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
- Ayman Mnasri & Zouhair Mrabet & Mouyad Alsamara, 2023. "A new quadratic asymmetric error correction model: does size matter?," Empirical Economics, Springer, vol. 65(1), pages 33-64, July.
- Bonsoo Koo & Oliver Linton, 2013.
"Let's get LADE: robust estimation of semiparametric multiplicative volatility models,"
CeMMAP working papers
CWP11/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koo, Bonsoo & Linton, Oliver, 2015. "Let’S Get Lade: Robust Estimation Of Semiparametric Multiplicative Volatility Models," Econometric Theory, Cambridge University Press, vol. 31(4), pages 671-702, August.
Cited by:
- David T. Frazier & Bonsoo Koo, 2020. "Indirect Inference for Locally Stationary Models," Monash Econometrics and Business Statistics Working Papers 30/20, Monash University, Department of Econometrics and Business Statistics.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Heather Battey & Oliver Linton, 2013.
"Nonparametric estimation of multivariate elliptic densities via finite mixture sieves,"
CeMMAP working papers
CWP41/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Battey, Heather & Linton, Oliver, 2014. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 43-67.
- Heather Battey & Oliver Linton, 2013. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," CeMMAP working papers CWP15/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Linton, O. & Wu, J., 2016.
"A coupled component GARCH model for intraday and overnight volatility,"
Cambridge Working Papers in Economics
1671, Faculty of Economics, University of Cambridge.
- Oliver Linton & Jianbin Wu, 2017. "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers CWP05/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Wu, J., 2018. "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics 1879, Faculty of Economics, University of Cambridge.
- Eckhard Liebscher & Wolf-Dieter Richter, 2016. "Estimation of Star-Shaped Distributions," Risks, MDPI, vol. 4(4), pages 1-37, November.
- Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013.
"The effect of fragmentation in trading on market quality in the UK equity market,"
CeMMAP working papers
CWP42/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lena Boneva & Oliver Linton & Michael Vogt, 2016. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 192-213, January.
- Lena Körber & Oliver Linton & Michael Vogt, 2014. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Cambridge Working Papers in Economics 1454, Faculty of Economics, University of Cambridge.
Cited by:
- Michael Vogt & Oliver Linton, 2015. "Classification of nonparametric regression functions in heterogeneous panels," CeMMAP working papers 06/15, Institute for Fiscal Studies.
- Bernales, Alejandro & Ladley, Daniel & Litos, Evangelos & Valenzuela, Marcela, 2021. "Dark trading and alternative execution priority rules," LSE Research Online Documents on Economics 118866, London School of Economics and Political Science, LSE Library.
- Oualid Bada & Alois Kneip & Dominik Liebl & Tim Mensinger & James Gualtieri & Robin C. Sickles, 2021.
"A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters,"
Papers
2109.10950, arXiv.org.
- Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C., 2022. "A wavelet method for panel models with jump discontinuities in the parameters," Journal of Econometrics, Elsevier, vol. 226(2), pages 399-422.
- Vogt, Michael & Linton, Oliver, 2020.
"Multiscale clustering of nonparametric regression curves,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Michael Vogt & Oliver Linton, 2018. "Multiscale clustering of nonparametric regression curves," CeMMAP working papers CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Aghanya, Daniel & Agarwal, Vineet & Poshakwale, Sunil, 2020. "Market in Financial Instruments Directive (MiFID), stock price informativeness and liquidity," Journal of Banking & Finance, Elsevier, vol. 113(C).
- Sinem Hacıoğlu Hoke & George Kapetanios, 2021. "Common correlated effect cross‐sectional dependence corrections for nonlinear conditional mean panel models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 125-150, January.
- Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
- Costa, Geraldo Jr. & Trujillo-Barrera, Andres & Pennings, Joost M.E., 2018. "Concentration and Liquidity Costs in Emerging Commodity Exchanges," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(3), September.
- Lausen, Jens & Clapham, Benjamin & Gomber, Peter & Bender, Micha, 2022. "Drivers and effects of stock market fragmentation - Insights on SME stocks," SAFE Working Paper Series 367, Leibniz Institute for Financial Research SAFE.
- Anna Pomeranets & Daniel G. Weaver, 2024. "Forced consolidation," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 579-601, February.
- Paulo Pereira Silva, 2018. "Fragmentation and Market Quality: The Case of European Markets," De Economist, Springer, vol. 166(2), pages 179-206, June.
- Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
- Brugler, James, 2015. "Into the light: dark pool trading and intraday market quality on the primary exchange," Bank of England working papers 545, Bank of England.
- Daniel Chen & Darrell Duffie, 2020. "Market Fragmentation," NBER Working Papers 26828, National Bureau of Economic Research, Inc.
- Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012.
"Averaging of moment condition estimators,"
CeMMAP working papers
CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers 26/12, Institute for Fiscal Studies.
Cited by:
- Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
Cited by:
- Francisco Azuero & Jorge Armando Rodríguez, 2016. "Preservación ambiental de la Amazonia colombiana: retos para la política fiscal," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 35(Especial ), pages 281-313, January.
- Oliver Linton & Yoon-Jae Whang, 2012.
"Testing for the stochastic dominance efficiency of a given portfolio,"
CeMMAP working papers
CWP27/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Thierry Post & Yoon‐Jae Whang, 2014. "Testing for the stochastic dominance efficiency of a given portfolio," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 59-74, June.
Cited by:
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning tests for Markowitz stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Sree Vinutha Venkataraman & S. V. D. Nageswara Rao, 2023. "Stochastic dominance algorithms with application to mutual fund performance evaluation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 681-698, January.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020.
"Spanning analysis of stock market anomalies under Prospect Stochastic Dominance,"
Swiss Finance Institute Research Paper Series
20-18, Swiss Finance Institute.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
- Thierry Post & Valerio Potì, 2017. "Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood," Management Science, INFORMS, vol. 63(1), pages 153-165, January.
- Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2019.
"Stochastic Spanning,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 573-585, October.
- Stelios Arvanitis & Mark Hallam & Thierry Post, 2015. "Stochastic Spanning," Koç University-TUSIAD Economic Research Forum Working Papers 1505, Koc University-TUSIAD Economic Research Forum.
- Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2015. "Stochastic Spanning," Working Papers 201510, Athens University Of Economics and Business, Department of Economics.
- Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
- Thierry Post & Iňaki Rodríguez Longarela, 2021. "Risk Arbitrage Opportunities for Stock Index Options," Operations Research, INFORMS, vol. 69(1), pages 100-113, January.
- Teng Wah Leo, 2017. "On the asymptotic distribution of (generalized) Lorenz transvariation measures," METRON, Springer;Sapienza Università di Roma, vol. 75(2), pages 195-213, August.
- Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020.
"Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach,"
Working Papers
2020-009, Department of Research, Ipag Business School.
- Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
- Thierry Post & Yi Fang & Miloš Kopa, 2015. "Linear Tests for Decreasing Absolute Risk Aversion Stochastic Dominance," Management Science, INFORMS, vol. 61(7), pages 1615-1629, July.
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2019. "Robust optimization of forecast combinations," International Journal of Forecasting, Elsevier, vol. 35(3), pages 910-926.
- Mehmet Pinar, 2015. "Measuring world governance: revisiting the institutions hypothesis," Empirical Economics, Springer, vol. 48(2), pages 747-778, March.
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.
- Kolokolova, Olga & Le Courtois, Olivier & Xu, Xia, 2022. "Is the index efficient? A worldwide tour with stochastic dominance," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Pinar, Mehmet & Stengos, Thanasis & Topaloglou, Nikolas, 2020. "On the construction of a feasible range of multidimensional poverty under benchmark weight uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 415-427.
- Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
- Charles Beach, 2023. "Quantile Tool Box Measures for Empirical Analysis and for Testing Distributional Comparisons in Direct Distribution-Free Fashion," Working Paper 1508, Economics Department, Queen's University.
- Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.
- Liesiö, Juuso & Xu, Peng & Kuosmanen, Timo, 2020. "Portfolio diversification based on stochastic dominance under incomplete probability information," European Journal of Operational Research, Elsevier, vol. 286(2), pages 755-768.
- Liesiö, Juuso & Kallio, Markku & Argyris, Nikolaos, 2023. "Incomplete risk-preference information in portfolio decision analysis," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1084-1098.
- Sujin Park & Oliver Linton, 2012.
"Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise,"
FMG Discussion Papers
dp703, Financial Markets Group.
Cited by:
- Markus Bibinger & Lars Winkelmann, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers SFB649DP2013-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bibinger, Markus & Winkelmann, Lars, 2015. "Econometrics of co-jumps in high-frequency data with noise," Journal of Econometrics, Elsevier, vol. 184(2), pages 361-378.
- Stefano Peluso & Fulvio Corsi & Antonietta Mira, 2015. "A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 665-697.
- Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
- Markus Bibinger & Per A. Mykland, 2013. "Inference for Multi-Dimensional High-Frequency Data: Equivalence of Methods, Central Limit Theorems, and an Application to Conditional Independence Testing," SFB 649 Discussion Papers SFB649DP2013-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Maria Elvira Mancino & Maria Cristina Recchioni, 2015. "Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-33, September.
- Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
- Oliver Linton & Michael Vogt, 2012.
"Nonparametric estimation of a periodic sequence in the presence of a smooth trend,"
CeMMAP working papers
CWP23/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Michael Vogt & Oliver Linton, 2014. "Nonparametric estimation of a periodic sequence in the presence of a smooth trend," Biometrika, Biometrika Trust, vol. 101(1), pages 121-140.
Cited by:
- Michael Vogt & Oliver Linton, 2015. "Classification of nonparametric regression functions in heterogeneous panels," CeMMAP working papers 06/15, Institute for Fiscal Studies.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Vogt, Michael & Linton, Oliver, 2020.
"Multiscale clustering of nonparametric regression curves,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Michael Vogt & Oliver Linton, 2018. "Multiscale clustering of nonparametric regression curves," CeMMAP working papers CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014.
"Multivariate Variance Ratio Statistics,"
Cambridge Working Papers in Economics
1459, Faculty of Economics, University of Cambridge.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers CWP29/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Seok Young Hong & Oliver Linton & Hui Jun Zhang, 2014. "Multivariate variance ratio statistics," CeMMAP working papers 29/14, Institute for Fiscal Studies.
- Kai Yang & Peihua Qiu, 2022. "A three-step local smoothing approach for estimating the mean and covariance functions of spatio-temporal Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 49-68, February.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Michael Vogt & Oliver Linton, 2015. "Classification of nonparametric regression functions in heterogeneous panels," CeMMAP working papers CWP06/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Liu, Jialuo & Chu, Tingjin & Zhu, Jun & Wang, Haonan, 2021. "Semiparametric method and theory for continuously indexed spatio-temporal processes," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
- Marina Khismatullina & Michael Vogt, 2022. "Multiscale Comparison of Nonparametric Trend Curves," Papers 2209.10841, arXiv.org.
- Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Van Keilegom, Ingrid, 2011.
"Nonparametric regression with filtered data,"
LIDAM Reprints ISBA
2011008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
Cited by:
- Stephan M. Bischofberger, 2020. "In-Sample Hazard Forecasting Based on Survival Models with Operational Time," Risks, MDPI, vol. 8(1), pages 1-17, January.
- Sujica, Aleksandar & Van Keilegom, Ingrid, 2018. "The copula-graphic estimator in censored nonparametric location-scale regression models," Econometrics and Statistics, Elsevier, vol. 7(C), pages 89-114.
- Gámiz Pérez, M. Luz & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2013. "Smoothing survival densities in practice," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 368-382.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Effraimidis, Georgios, 2016. "Nonparametric Identification of a Time-Varying Frailty Model," DaCHE discussion papers 2016:6, University of Southern Denmark, Dache - Danish Centre for Health Economics.
- Efang Kong & Oliver Linton & Yingcun Xia, 2011.
"Global Bahadur representation for nonparametric censored regression quantiles and its applications,"
CeMMAP working papers
CWP33/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013. "Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications," Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
Cited by:
- Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta, 2021.
"Smoothing Quantile Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 338-357, January.
- Marcelo Fernandes & Emmanuel Guerre & Eduardo Horta, 2019. "Smoothing quantile regressions," Papers 1905.08535, arXiv.org, revised Aug 2019.
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"Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,"
Monash Econometrics and Business Statistics Working Papers
16/11, Monash University, Department of Econometrics and Business Statistics.
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Cited by:
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"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
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"Semiparametric Model Averaging of Ultra-High Dimensional Time Series,"
Discussion Papers
15/18, Department of Economics, University of York.
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- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
CeMMAP working papers
CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
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- Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei, 2021. "Nonparametric estimation of large covariance matrices with conditional sparsity," Journal of Econometrics, Elsevier, vol. 223(1), pages 53-72.
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- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Linton, Oliver & Srisuma, Sorawoot, 2010.
"Semiparametric estimation of Markov decision processeswith continuous state space,"
LSE Research Online Documents on Economics
58187, London School of Economics and Political Science, LSE Library.
- Srisuma, Sorawoot & Linton, Oliver, 2012. "Semiparametric estimation of Markov decision processes with continuous state space," Journal of Econometrics, Elsevier, vol. 166(2), pages 320-341.
- Oliver Linton & Sorawoot Srisuma, 2010. "Semiparametric Estimation of Markov Decision Processeswith Continuous State Space," STICERD - Econometrics Paper Series 550, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Otsu, Taisuke & Pesendorfer, Martin & Takahashi, Yuya, 2013.
"Testing for equilibrium multiplicity in dynamic Markov games,"
LSE Research Online Documents on Economics
101968, London School of Economics and Political Science, LSE Library.
- Otsu, Taisuke & Pesendorfer, Martin & Takahashi, Yuya, 2013. "Testing for Equilibrium Multiplicity in Dynamic Markov Games," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 423, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
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- Victor Aguirregabiria & Allan Collard-Wexler & Stephen P. Ryan, 2021.
"Dynamic Games in Empirical Industrial Organization,"
Papers
2109.01725, arXiv.org, revised Sep 2021.
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- Victor Aguirregabiria & Allan Collard-Wexler & Stephen P. Ryan, 2021. "Dynamic Games in Empirical Industrial Organization," Working Papers tecipa-706, University of Toronto, Department of Economics.
- Taisuke Otsu & Martin Pesendorfer, 2021.
"Equilibrium multiplicity in dynamic games: testing and estimation,"
STICERD - Econometrics Paper Series
618, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Otsu, Taisuke & Pesendorfer, Martin, 2023. "Equilibrium multiplicity in dynamic games: testing and estimation," LSE Research Online Documents on Economics 113588, London School of Economics and Political Science, LSE Library.
- Pesendorfer, Martin & Takahashi, Yuya & Otsu, Taisuke, 2014. "Testing Equilibrium Multiplicity in Dynamic Games," CEPR Discussion Papers 10111, C.E.P.R. Discussion Papers.
- Otsu, Taisuke & Pesendorfer, Martin & Takahashi, Yuya, 2016.
"Pooling data across markets in dynamic Markov games,"
LSE Research Online Documents on Economics
66182, London School of Economics and Political Science, LSE Library.
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- Taisuke Otsu & Martin Pesendorfer & Yuya Takahashi, 2016. "Pooling data across markets in dynamic Markov games," Quantitative Economics, Econometric Society, vol. 7(2), pages 523-559, July.
- Taisuke Otsu & Martin Pesendorfer, 2023. "Equilibrium multiplicity in dynamic games: Testing and estimation," The Econometrics Journal, Royal Economic Society, vol. 26(1), pages 26-42.
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"Estimation of Discrete Choice Dynamic Programming Models,"
The Japanese Economic Review, Japanese Economic Association, vol. 69(1), pages 28-58, March.
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"Semiparametric estimation of locally stationary diffusion models,"
LSE Research Online Documents on Economics
58186, London School of Economics and Political Science, LSE Library.
- Bonsoo Koo & Oliver Linton, 2010. "Semiparametric Estimation of Locally Stationary Diffusion Models," STICERD - Econometrics Paper Series 551, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2010.
"Nonparametric Euler Equation Identification and Estimation,"
Boston College Working Papers in Economics
757, Boston College Department of Economics, revised 15 Mar 2020.
- Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021. "Nonparametric Euler Equation Identification And Estimation," Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers CWP61/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers 61/15, Institute for Fiscal Studies.
- Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020. "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics 2064, Faculty of Economics, University of Cambridge.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, Faculty of Economics, University of Cambridge.
Cited by:
- Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
- Bruneel-Zupanc, Christophe Alain, 2021. "Discrete-Continuous Dynamic Choice Models: Identification and Conditional Choice Probability Estimation," TSE Working Papers 21-1185, Toulouse School of Economics (TSE).
- Andreas Tryphonides, 2023.
"Online Appendix to "Identifying Preferences when Households are Financially Constrained","
Online Appendices
21-242, Review of Economic Dynamics.
- Andreas Tryphonides, 2023. "Identifying Preferences when Households are Financially Constrained," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 521-546, December.
- Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2011.
"Local identification of nonparametric and semiparametric models,"
CeMMAP working papers
17/11, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney K. Newey, 2014. "Local Identification of Nonparametric and Semiparametric Models," Econometrica, Econometric Society, vol. 82(2), pages 785-809, March.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012. "Local identification of nonparametric and semiparametric models," CeMMAP working papers CWP37/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2012. "Local identification of nonparametric and semiparametric models," CeMMAP working papers 37/12, Institute for Fiscal Studies.
- Xiaohong Chen & Victor Chernozhukov & Sokbae Lee & Whitney Newey, 2011. "Local Identification of Nonparametric and Semiparametric Models," Cowles Foundation Discussion Papers 1795R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2012.
- Xiaohong Chen & Victor Chernozhukov & Sokbae (Simon) Lee & Whitney K. Newey, 2011. "Local identification of nonparametric and semiparametric models," CeMMAP working papers CWP17/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Marcel Fafchamps & Aditya Shrinivas, 2022. "Risk Pooling and Precautionary Saving in Village Economies," NBER Working Papers 30128, National Bureau of Economic Research, Inc.
- Giovanni Gallipoli & Brant Abbott, 2017.
""Permanent Income" Inequality,"
2017 Meeting Papers
1033, Society for Economic Dynamics.
- Brant Abbott & Giovanni Gallipoli, 2019. "Permanent-Income Inequality," Working Papers 2019-011, Human Capital and Economic Opportunity Working Group.
- Brant Abbott & Giovanni Gallipoli, 2019. "Permanent-Income Inequality," Working Paper 1411, Economics Department, Queen's University.
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"Stochastic Revealed Preferences with Measurement Error,"
Papers
1810.05287, arXiv.org, revised Sep 2020.
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- Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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"Intergenerational Transmission of Family Influence,"
IZA Discussion Papers
15504, Institute of Labor Economics (IZA).
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- Andreas Tryphonides, 2020.
"Identifying Preferences when Households are Financially Constrained,"
Papers
2005.02010, arXiv.org, revised Feb 2023.
- Andreas Tryphonides, 2023. "Identifying Preferences when Households are Financially Constrained," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 521-546, December.
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"Efficient estimation of a multivariate multiplicative volatility model,"
Post-Print
hal-00732539, HAL.
- Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017.
"A dynamic component model for forecasting high-dimensional realized covariance matrices,"
Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
- Luc Bauwens & Manuela Braione & Giuseppe Storti, 2020. "A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices," Working Papers 3_234, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno, revised Jul 2020.
- Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Reprints CORE 2812, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "A dynamic component model for forecasting high-dimensional realized covariance matrices," LIDAM Discussion Papers CORE 2016001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yulia Kotlyarova & Marcia M Schafgans & Victoria Zinde-Walsh, 2011.
"Adapting Kernel Estimation to Uncertain Smoothness,"
STICERD - Econometrics Paper Series
557, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Yulia Kotlyarova & Marcia Schafgans & Victoria Zinde-Walsh, 2011. "Adapting Kernel Estimation to Uncertain Smoothness," Working Papers daleconwp2011-01, Dalhousie University, Department of Economics.
- Kotlyarova, Yulia & Schafgans, Marcia M. A. & Zinde‐Walsh, Victoria, 2011. "Adapting kernel estimation to uncertain smoothness," LSE Research Online Documents on Economics 42015, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014.
"Disentangling systematic and idiosyncratic dynamics in panels of volatility measures,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010.
"The conditional autoregressive wishart model for multivariate stock market volatility,"
Economics Working Papers
2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
- Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
- Khismatullina, Marina & Vogt, Michael, 2023. "Nonparametric comparison of epidemic time trends: The case of COVID-19," Journal of Econometrics, Elsevier, vol. 232(1), pages 87-108.
- BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane, 2013.
"Multivariate volatility modeling of electricity futures,"
LIDAM Reprints CORE
2526, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner, C. & Pierret, D., 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers ISBA 2011013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, August.
- Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- BAUWENS, Luc & HAFNER, Christian & pierret, Diane, 2011. "Multivariate volatility modeling of electricity futures," LIDAM Discussion Papers CORE 2011011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Tommaso Proietti, 2014.
"Exponential Smoothing, Long Memory and Volatility Prediction,"
CEIS Research Paper
319, Tor Vergata University, CEIS, revised 30 Jul 2014.
- Tommaso Proietti, 2015. "Exponential Smoothing, Long Memory and Volatility Prediction," CREATES Research Papers 2015-51, Department of Economics and Business Economics, Aarhus University.
- Proietti, Tommaso, 2014. "Exponential Smoothing, Long Memory and Volatility Prediction," MPRA Paper 57230, University Library of Munich, Germany.
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- Feiyu Jiang & Dong Li & Ke Zhu, 2019. "Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model," Papers 1907.04147, arXiv.org, revised Oct 2020.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022.
"Dynamic Autoregressive Liquidity (DArLiQ),"
LIDAM Discussion Papers LFIN
2022002, Université catholique de Louvain, Louvain Finance (LFIN).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Cambridge Working Papers in Economics 2214, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Janeway Institute Working Papers 2206, Faculty of Economics, University of Cambridge.
- Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2016.
- Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
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"Volatility linkages between energy and agricultural commodity prices,"
SFB 649 Discussion Papers
SFB649DP2013-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
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"A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom,"
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22079, University Library of Munich, Germany.
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Cited by:
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"Semiparametric trending panel data models with cross-sectional dependence,"
Journal of Econometrics, Elsevier, vol. 171(1), pages 71-85.
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"Nonparametric estimation of a periodic sequence in the presence of a smooth trend,"
CeMMAP working papers
CWP23/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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"A semiparametric model for heterogeneous panel data with fixed effects,"
CeMMAP working papers
CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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"Testing for common trends in semi‐parametric panel data models with fixed effects,"
Econometrics Journal, Royal Economic Society, vol. 15(1), pages 56-100, February.
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- Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009.
"An Improved Bootstrap Test of Stochastic Dominance,"
Cowles Foundation Discussion Papers
1713, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010. "An improved bootstrap test of stochastic dominance," Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2009. "An improved bootstrap test of stochastic dominance," UC3M Working papers. Economics we094827, Universidad Carlos III de Madrid. Departamento de EconomÃa.
Cited by:
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers CWP24/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019.
"Choosing expected shortfall over VaR in Basel III using stochastic dominance,"
International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
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- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
- Yoichi Arai & Yu-Chin Hsu & Toru Kitagawa & Ismael Mourifié & Yuanyuan Wan, 2021.
"Testing identifying assumptions in fuzzy regression discontinuity designs,"
CeMMAP working papers
CWP16/21, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yoichi Arai & Yu-Chin Hsu & Toru Kitagawa & Ismael Mourifie & Yuanyuan Wan, 2018. "Testing Identifying Assumptions In Fuzzy Regression Discontinuity Designs," Working Papers tecipa-623, University of Toronto, Department of Economics.
- Yoichi Arai & Yu-Chin Hsu & Toru Kitagawa & Ismael Mourifié & Yuanyuan Wan, 2019. "Testing identifying assumptions in fuzzy regression discontinuity designs," CeMMAP working papers CWP10/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yoichi Arai & Yu‐Chin Hsu & Toru Kitagawa & Ismael Mourifié & Yuanyuan Wan, 2022. "Testing identifying assumptions in fuzzy regression discontinuity designs," Quantitative Economics, Econometric Society, vol. 13(1), pages 1-28, January.
- Yoichi Arai & Yu-Chin Hsu & Toru Kitagawa & Ismael Mourifié & Yuanyuan Wan, 2018. "Testing identifying assumptions in fuzzy regression discontinuity designs," CeMMAP working papers CWP50/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Toru Kitagawa & Aleksey Tetenov, 2018.
"Who Should Be Treated? Empirical Welfare Maximization Methods for Treatment Choice,"
Econometrica, Econometric Society, vol. 86(2), pages 591-616, March.
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- Toru Kitagawa & Aleksey Tetenov, 2015. "Who should be Treated? Empirical Welfare Maximization Methods for Treatment Choice," Carlo Alberto Notebooks 402, Collegio Carlo Alberto.
- Toru Kitagawa & Aleksey Tetenov, 2015. "Who should be treated? Empirical welfare maximization methods for treatment choice," CeMMAP working papers CWP10/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers 24/12, Institute for Fiscal Studies.
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"Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models,"
CeMMAP working papers
CWP51/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Le-Yu Chen & Sokbae (Simon) Lee, 2017. "Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models," CeMMAP working papers 51/17, Institute for Fiscal Studies.
- Le-Yu Chen & Sokbae (Simon) Lee, 2015. "Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models," CeMMAP working papers 26/15, Institute for Fiscal Studies.
- Sokbae (Simon) Lee & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2014.
"Testing for a general class of functional inequalities,"
CeMMAP working papers
CWP09/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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- Donald W.K. Andrews & Xiaoxia Shi, 2010.
"Inference Based on Conditional Moment Inequalities,"
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- Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
- Donald W.K. Andrews & Xiaoxia Shi, 2010. "Inference Based on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1761, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews & Xiaoxia Shi, 2013. "Inference Based on Conditional Moment Inequalities," Econometrica, Econometric Society, vol. 81(2), pages 609-666, March.
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- David M. Kaplan & Matt Goldman, 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Working Papers 1801, Department of Economics, University of Missouri.
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"A stochastic dominance approach to financial risk management strategies,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
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- Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012.
"Inference on counterfactual distributions,"
CeMMAP working papers
05/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2008. "Inference On Counterfactual Distributions," Boston University - Department of Economics - Working Papers Series wp2008-005, Boston University - Department of Economics.
- Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013. "Inference on Counterfactual Distributions," Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on Counterfactual Distributions," Papers 0904.0951, arXiv.org, revised Sep 2013.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers CWP05/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers 17/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers CWP17/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers 09/09, Institute for Fiscal Studies.
- Jesus Gonzalo & Jose Olmo, 2014.
"Conditional Stochastic Dominance Tests In Dynamic Settings,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
- Gonzalo, Jesús & Olmo, José, 2010. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1029, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, Jesús & Olmo, José, 2013. "Conditional stochastic dominance tests in dynamic settings," UC3M Working papers. Economics we1205, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Brendan K. Beare & Juwon Seo, 2022. "Stochastic arbitrage with market index options," Papers 2207.00949, arXiv.org, revised Jul 2022.
- Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
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- Sokbae Lee & Yoon-Jae Whang, 2009.
"Nonparametric Tests of Conditional Treatment Effects,"
Cowles Foundation Discussion Papers
1740, Cowles Foundation for Research in Economics, Yale University.
- Sokbae (Simon) Lee & Yoon-Jae Whang, 2009. "Nonparametric tests of conditional treatment effects," CeMMAP working papers CWP36/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Lee, K. & Linton, O. & Whang, Y-J., 2020. "Testing for Time Stochastic Dominance," Cambridge Working Papers in Economics 20121, Faculty of Economics, University of Cambridge.
- Chrisopher J. Bennett & Brennan S. Thompson, 2012. "Moving the Goalposts: Subjective Performance Benchmarks and the Aumann-Serrano Measure of Riskiness," Working Papers 057, Ryerson University, Department of Economics, revised Oct 2014.
- Donald W.K. Andrews & Xu Cheng & Patrik Guggenberger, 2011.
"Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests,"
Cowles Foundation Discussion Papers
1813, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
- Firpo, Sergio & Galvao, Antonio F. & Parker, Thomas, 2023.
"Uniform inference for value functions,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1680-1699.
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- Le-Yu Chen & Jerzy Szroeter, 2012.
"Testing multiple inequality hypotheses: a smoothed indicator approach,"
CeMMAP working papers
16/12, Institute for Fiscal Studies.
- Le-Yu Chen & Jerzy Szroeter, 2012. "Testing multiple inequality hypotheses: a smoothed indicator approach," CeMMAP working papers CWP16/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Le-Yu & Szroeter, Jerzy, 2014. "Testing multiple inequality hypotheses: A smoothed indicator approach," Journal of Econometrics, Elsevier, vol. 178(P3), pages 678-693.
- Parker, Thomas, 2019. "Asymptotic inference for the constrained quantile regression process," Journal of Econometrics, Elsevier, vol. 213(1), pages 174-189.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers 28/13, Institute for Fiscal Studies.
- Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers CWP53/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2015.
"Constrained conditional moment restriction models,"
CeMMAP working papers
59/15, Institute for Fiscal Studies.
- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2015. "Constrained conditional moment restriction models," CeMMAP working papers CWP59/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Whitney K. Newey & Andres Santos, 2023. "Constrained Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 91(2), pages 709-736, March.
- David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich, 2017.
"Bayesian Assessment of Lorenz and Stochastic Dominance,"
Department of Economics - Working Papers Series
2029, The University of Melbourne.
- David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich, 2020. "Bayesian assessment of Lorenz and stochastic dominance," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 767-799, May.
- David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich, 2017. "Bayesian assessment of Lorenz and stochastic dominance," Monash Econometrics and Business Statistics Working Papers 15/17, Monash University, Department of Econometrics and Business Statistics.
- Daniel Hedblom & Brent Hickman & John List, 2019.
"Toward an Understanding of Corporate Social Responsibility: Theory and Field Experimental Evidence,"
Natural Field Experiments
00675, The Field Experiments Website.
- Daniel Hedblom & Brent R. Hickman & John A. List, 2019. "Toward an Understanding of Corporate Social Responsibility: Theory and Field Experimental Evidence," NBER Working Papers 26222, National Bureau of Economic Research, Inc.
- Hongyi Jiang & Zhenting Sun & Shiyun Hu, 2023. "A Nonparametric Test of $m$th-degree Inverse Stochastic Dominance," Papers 2306.12271, arXiv.org, revised Jul 2023.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016.
"Conditional quantile processes based on series or many regressors,"
CeMMAP working papers
46/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP46/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
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- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val, 2011. "Conditional Quantile Processes based on Series or Many Regressors," Papers 1105.6154, arXiv.org, revised Aug 2018.
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- Toru Kitagawa, 2013. "A bootstrap test for instrument validity in heterogeneous treatment effect models," CeMMAP working papers 53/13, Institute for Fiscal Studies.
- Marat Molyboga & Seungho Baek & John F. O. Bilson, 2017. "Assessing hedge fund performance with institutional constraints: evidence from CTA funds," Journal of Asset Management, Palgrave Macmillan, vol. 18(7), pages 547-565, December.
- Rahul Deb & Ludovic Renou, 2022. "Which wage distributions are consistent with statistical discrimination?," Working Papers tecipa-736, University of Toronto, Department of Economics.
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"Loss aversion and the welfare ranking of policy interventions,"
Papers
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"Inference Based on Many Conditional Moment Inequalities,"
Cowles Foundation Discussion Papers
2010, Cowles Foundation for Research in Economics, Yale University.
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"Robust Forecast Comparison,"
Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
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1906.00003, arXiv.org, revised Jan 2021.
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Econometrics and Statistics, Elsevier, vol. 10(C), pages 9-26.
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"Rationalizing Rational Expectations: Characterizations and Tests,"
TSE Working Papers
21-1211, Toulouse School of Economics (TSE).
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"Comparing distributions by multiple testing across quantiles,"
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1319, Department of Economics, University of Missouri, revised Feb 2018.
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- Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.
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- Miguel A. Delgado & Juan Carlos Escanciano, 2013.
"Conditional Stochastic Dominance Testing,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 16-28, January.
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- Yu‐Chin Hsu & Shu Shen, 2021. "Testing monotonicity of conditional treatment effects under regression discontinuity designs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 346-366, April.
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"Estimation and inference for distribution functions and quantile functions in treatment effect models,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 383-397.
- Stephen G. Donald & Yu-Chin Hsu, 2012. "Estimation and Inference for Distribution Functions and Quantile Functions in Treatment Effect Models," IEAS Working Paper : academic research 12-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Hongyi Jiang & Zhenting Sun, 2023. "Testing Partial Instrument Monotonicity," Papers 2308.08390, arXiv.org, revised Aug 2023.
- Mohamed Khaled & Paul Makdissi & Myra Yazbeck, 2016.
"Income-Related Health Transfers Principles and Orderings of Joint Distributions of Income and Health,"
Working Papers
160009, Canadian Centre for Health Economics.
- Mohamed Khaled & Paul Makdissi & Myra Yazbeck, 2016. "Income-Related Health Transfers Principles and Orderings of Joint Distributions of Income and Health," Discussion Papers Series 574, School of Economics, University of Queensland, Australia.
- Khaled, Mohamad A. & Makdissi, Paul & Yazbeck, Myra, 2018. "Income-related health transfers principles and orderings of joint distributions of income and health," Journal of Health Economics, Elsevier, vol. 57(C), pages 315-331.
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- Sungwon Lee, 2021. "Partial Identification and Inference for Conditional Distributions of Treatment Effects," Papers 2108.00723, arXiv.org, revised Nov 2023.
- Fan, Yanqin & Park, Sang Soo, 2012. "Confidence intervals for the quantile of treatment effects in randomized experiments," Journal of Econometrics, Elsevier, vol. 167(2), pages 330-344.
- Yu-Chin Hsu & Robert P. Lieli, 2021. "Inference for ROC Curves Based on Estimated Predictive Indices," Papers 2112.01772, arXiv.org.
- P. C. Álvarez-Esteban & E. del Barrio & J. A. Cuesta-Albertos & C. Matrán, 2016. "A contamination model for the stochastic order," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(4), pages 751-774, December.
- Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016.
"A nonparametric test of a strong leverage hypothesis,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sung Jae Jun & Yoonseok Lee & Youngki Shin, 2016.
"Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 302-311, April.
- Yoonseok Lee & Sung Jae Jun & Youngki Shin, 2014. "Treatment Effects with Unobserved Heterogeneity: A Set Identification Approach," Center for Policy Research Working Papers 169, Center for Policy Research, Maxwell School, Syracuse University.
- Lee, Kyungho & Linton, Oliver & Whang, Yoon-Jae, 2023. "Testing for time stochastic dominance," Journal of Econometrics, Elsevier, vol. 235(2), pages 352-371.
- Brendan K. Beare & Jackson D. Clarke, 2022. "Modified Wilcoxon-Mann-Whitney tests of stochastic dominance," Papers 2210.08892, arXiv.org.
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- Chen, Qihui & Fang, Zheng, 2019. "Inference on functionals under first order degeneracy," Journal of Econometrics, Elsevier, vol. 210(2), pages 459-481.
- David Lander & David Gunawan & William E. Griffiths & Duangkamon Chotikapanich, 2016. "Bayesian Assessment of Lorenz and Stochastic Dominance Using a Mixture of Gamma Densities," Department of Economics - Working Papers Series 2023, The University of Melbourne.
- Yu-Chin Hsu & Martin Huber & Ying-Ying Lee & Chu-An Liu, 2021. "Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment with High-Dimensional Data," Papers 2106.04237, arXiv.org, revised Aug 2022.
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- Garry F. Barrett & Stephen G. Donald & Yu-Chin Hsu, 2015.
"Consistent Tests for Poverty Dominance Relations,"
IEAS Working Paper : academic research
15-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Barrett, Garry F. & Donald, Stephen G. & Hsu, Yu-Chin, 2016. "Consistent tests for poverty dominance relations," Journal of Econometrics, Elsevier, vol. 191(2), pages 360-373.
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- Valentina Corradi & Sainan Jin & Norman R. Swanson, 2023. "Robust forecast superiority testing with an application to assessing pools of expert forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 596-622, June.
- Toru Kitagawa & Aleksey Tetenov, 2017. "Who should be treated? Empirical welfare maximization methods for treatment choice," CeMMAP working papers 24/17, Institute for Fiscal Studies.
- Ram N. Acharya & Rajan Ghimire & Apar GC & Don Blayney, 2019. "Effect of Cover Crop on Farm Profitability and Risk in the Southern High Plains," Sustainability, MDPI, vol. 11(24), pages 1-13, December.
- Amparo Ba'illo & Javier C'arcamo & Carlos Mora-Corral, 2024. "Tests for almost stochastic dominance," Papers 2403.15258, arXiv.org.
- Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017. "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, vol. 196(2), pages 368-378.
- Sokbae (Simon) Lee & Kyungchui (Kevin) Song & Yoon-Jae Whang, 2014. "Testing for a general class of functional inequalities," CeMMAP working papers 09/14, Institute for Fiscal Studies.
- Zhenting Sun & Kaspar Wuthrich, 2022. "Pairwise Valid Instruments," Papers 2203.08050, arXiv.org, revised Jan 2024.
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- Seo, Juwon, 2018. "Tests of stochastic monotonicity with improved power," Journal of Econometrics, Elsevier, vol. 207(1), pages 53-70.
- Oliver Linton & Søren Feodor Nielsen & Jens Perch Nielsen, 2009.
"Nonparametric Regression with a Latent Time Series,"
STICERD - Econometrics Paper Series
538, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen, 2009. "Non-parametric regression with a latent time series," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 187-207, July.
Cited by:
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers 02/13, Institute for Fiscal Studies.
- Dursun Aydın & Ersin Yılmaz, 2021. "Semiparametric modeling of the right-censored time-series based on different censorship solution techniques," Empirical Economics, Springer, vol. 61(4), pages 2143-2172, October.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013.
"A semiparametric model for heterogeneous panel data with fixed effects,"
CeMMAP working papers
CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
- Woocheol Kim & Oliver Linton, 2009.
"Estimation Of A Semiparametricigarch(1,1) Model,"
STICERD - Econometrics Paper Series
539, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kim, Woocheol & Linton, Oliver, 2011. "Estimation Of A Semiparametric Igarch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 27(3), pages 639-661, June.
Cited by:
- Till Strohsal & Enzo Weber, 2014.
"Mean-variance cointegration and the expectations hypothesis,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
- Till Strohsal & Enzo Weber, 2011. "Mean-Variance Cointegration and the Expectations Hypothesis," SFB 649 Discussion Papers SFB649DP2011-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Strohsal, Till & Weber, Enzo, 2010. "Mean-Variance Cointegration and the Expectations Hypothesis," University of Regensburg Working Papers in Business, Economics and Management Information Systems 442, University of Regensburg, Department of Economics.
- Chen, Xiaohong & Linton, Oliver & Jacho-Chávez, David T., 2009.
"An alternative way of computing efficient instrumental variable estimators,"
LSE Research Online Documents on Economics
58016, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & David T. Jacho-Chávez & Oliver Linton, 2009. "An Alternative Way of ComputingEfficient Instrumental VariableEstimators," STICERD - Econometrics Paper Series 536, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013.
"Inference for vast dimensional elliptical distributions,"
Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
- Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
- Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
- DiTraglia, Francis J., 2016.
"Using invalid instruments on purpose: Focused moment selection and averaging for GMM,"
Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
- Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM," PIER Working Paper Archive 14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020.
"TailCoR,"
Papers
2011.14817, arXiv.org.
- Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
- Francis DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 15-027, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 10 Aug 2015.
- Efang Kong & Oliver Linton & Yingcun Xia, 2009.
"Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model,"
STICERD - Econometrics Paper Series
535, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010. "Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1529-1564, October.
Cited by:
- Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013.
"Intersection Bounds: Estimation and Inference,"
Econometrica, Econometric Society, vol. 81(2), pages 667-737, March.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers CWP19/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers 33/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2011. "Intersection bounds: estimation and inference," CeMMAP working papers CWP34/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers 19/09, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2011. "Intersection bounds: estimation and inference," CeMMAP working papers 34/11, Institute for Fiscal Studies.
- Graciela Boente & Alejandra Martínez, 2017. "Marginal integration M-estimators for additive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 231-260, June.
- Marc Hallin & Zudi Lu & Davy Paindaveine & Miroslav Siman, 2012. "Local Constant and Local Bilinear Multiple-Output Quantile Regression," Working Papers ECARES ECARES 2012-003, ULB -- Universite Libre de Bruxelles.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2011.
"Semiparametric Estimation with Generated Covariates,"
SFB 649 Discussion Papers
SFB649DP2011-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2011. "Semiparametric Estimation with Generated Covariates," IZA Discussion Papers 6084, Institute of Labor Economics (IZA).
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric estimation with generated covariates," Working Paper Series in Economics 81, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Mammen, Enno & Rothe, Christoph & Schienle, Melanie, 2016. "Semiparametric Estimation With Generated Covariates," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1140-1177, October.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2014. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers SFB649DP2014-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Song, Song & Ritov, Ya’acov & Härdle, Wolfgang K., 2012. "Bootstrap confidence bands and partial linear quantile regression," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 244-262.
- Shin Kanaya, 2015.
"Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach,"
CREATES Research Papers
2015-50, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin, 2017. "Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach," Econometric Theory, Cambridge University Press, vol. 33(4), pages 874-914, August.
- Chiang, Harold D. & Hsu, Yu-Chin & Sasaki, Yuya, 2019. "Robust uniform inference for quantile treatment effects in regression discontinuity designs," Journal of Econometrics, Elsevier, vol. 211(2), pages 589-618.
- Härdle, Wolfgang Karl & Ritov, Ya’acov & Wang, Weining, 2015. "Tie the straps: Uniform bootstrap confidence bands for semiparametric additive models," Journal of Multivariate Analysis, Elsevier, vol. 134(C), pages 129-145.
- Fan, Yanqin & Guerre, Emmanuel & Zhu, Dongming, 2017. "Partial identification of functionals of the joint distribution of “potential outcomes”," Journal of Econometrics, Elsevier, vol. 197(1), pages 42-59.
- Rothe, Christoph & Firpo, Sergio, 2013.
"Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions,"
IZA Discussion Papers
7564, Institute of Labor Economics (IZA).
- Rothe, Christoph & Firpo, Sergio Pinheiro, 2013. "Semiparametric estimation and inference using doubly robust moment conditions," Textos para discussão 330, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Bravo, Francesco & Chu, Ba & Jacho-Chavez, David, 2013.
"Semiparametric estimation of moment condition models with weakly dependent data,"
MPRA Paper
79686, University Library of Munich, Germany, revised 2016.
- Francesco Bravo & Ba M. Chu & David T. Jacho-Chávez, 2017. "Semiparametric estimation of moment condition models with weakly dependent data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(1), pages 108-136, January.
- Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
- Zhongjun Qu & Jungmo Yoon, 2011.
"Nonparametric Estimation and Inference on Conditional Quantile Processes,"
Boston University - Department of Economics - Working Papers Series
WP2011-059, Boston University - Department of Economics.
- Qu, Zhongjun & Yoon, Jungmo, 2015. "Nonparametric estimation and inference on conditional quantile processes," Journal of Econometrics, Elsevier, vol. 185(1), pages 1-19.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016.
"Conditional quantile processes based on series or many regressors,"
CeMMAP working papers
46/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Ivan Fernandez-Val, 2016. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP46/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván, 2019. "Conditional quantile processes based on series or many regressors," Journal of Econometrics, Elsevier, vol. 213(1), pages 4-29.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val, 2011. "Conditional quantile processes based on series or many regressors," CeMMAP working papers CWP19/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val, 2011. "Conditional Quantile Processes based on Series or Many Regressors," Papers 1105.6154, arXiv.org, revised Aug 2018.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013.
"Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets,"
Economics Series Working Papers
646, University of Oxford, Department of Economics.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," CREATES Research Papers 2013-06, Department of Economics and Business Economics, Aarhus University.
- Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," NBER Working Papers 18833, National Bureau of Economic Research, Inc.
- Härdle, Wolfgang K. & Song, Song, 2010. "Confidence Bands In Quantile Regression," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1180-1200, August.
- Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015.
"Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions,"
CeMMAP working papers
CWP68/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia-Young Michael Fu & Joel L. Horowitz & Matthias Parey, 2015. "Testing exogeneity in nonparametric instrumental variables identified by conditional quantile restrictions," CeMMAP working papers 68/15, Institute for Fiscal Studies.
- Pedro H. C. Sant'Anna & Qi Xu, 2023. "Difference-in-Differences with Compositional Changes," Papers 2304.13925, arXiv.org.
- Sarnetzki, Florian & Dzemski, Andreas, 2014. "Overidentification test in a nonparametric treatment model with unobserved heterogeneity," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100620, Verein für Socialpolitik / German Economic Association.
- Härdle, Wolfgang Karl & Wang, Weining & Yu, Lining, 2016.
"TENET: Tail-Event driven NETwork risk,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 499-513.
- Wolfgang Karl Härdle & Natalia Sirotko-Sibirskaya & Weining Wang, 2014. "TENET: Tail-Event driven NETwork risk," SFB 649 Discussion Papers SFB649DP2014-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Karl Härdle & Ya'acov Ritov & Weining Wang, 2013. "Tie the straps: uniform bootstrap confidence bands for bounded influence curve estimators," SFB 649 Discussion Papers SFB649DP2013-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Pavel Boček & Miroslav Šiman, 2017. "On weighted and locally polynomial directional quantile regression," Computational Statistics, Springer, vol. 32(3), pages 929-946, September.
- Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
- Gerard, François & Rokkanen, Miikka & Rothe, Christoph, 2016.
"Identification and Inference in Regression Discontinuity Designs with a Manipulated Running Variable,"
CEPR Discussion Papers
11048, C.E.P.R. Discussion Papers.
- Gerard, Francois & Rokkanen, Miikka & Rothe, Christoph, 2015. "Identification and Inference in Regression Discontinuity Designs with a Manipulated Running Variable," IZA Discussion Papers 9604, Institute of Labor Economics (IZA).
- Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Härdle, 2014.
"Confidence Corridors for Multivariate Generalized Quantile Regression,"
SFB 649 Discussion Papers
SFB649DP2014-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle, 2017. "Confidence Corridors for Multivariate Generalized Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 70-85, January.
- Juan Carlos Escanciano, 2020. "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers 2005.09951, arXiv.org.
- Cizek, Pavel & Sadikoglu, Serhan, 2022.
"Nonseparable Panel Models with Index Structure and Correlated Random Effects,"
Discussion Paper
2022-009, Tilburg University, Center for Economic Research.
- Cizek, Pavel & Sadikoglu, Serhan, 2022. "Nonseparable Panel Models with Index Structure and Correlated Random Effects," Other publications TiSEM 7899deb9-0eda-47e6-a3b8-2, Tilburg University, School of Economics and Management.
- Mammen, Enno & Van Keilegom, Ingrid & Yu, Kyusang, 2013. "Expansion for Moments of Regression Quantiles with Applications to Nonparametric Testing," LIDAM Discussion Papers ISBA 2013027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Laurent Davezies & Xavier D'Haultfoeuille & Louise Laage, 2021. "Identification and Estimation of Average Marginal Effects in Fixed Effects Logit Models," Papers 2105.00879, arXiv.org, revised Oct 2022.
- Yingying DONG & Ying-Ying LEE & Michael GOU, 2019. "Regression Discontinuity Designs with a Continuous Treatment," Discussion papers 19058, Research Institute of Economy, Trade and Industry (RIETI).
- Eliana Christou & Annabel Settle & Andreas Artemiou, 2021. "Nonlinear dimension reduction for conditional quantiles," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 15(4), pages 937-956, December.
- Li, Jialiang & Zhang, Wenyang & Kong, Efang, 2018. "Factor models for asset returns based on transformed factors," Journal of Econometrics, Elsevier, vol. 207(2), pages 432-448.
- Christou, Eliana & Akritas, Michael G., 2016. "Single index quantile regression for heteroscedastic data," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 169-182.
- Cattaneo, Matias D. & Farrell, Max H., 2013. "Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators," Journal of Econometrics, Elsevier, vol. 174(2), pages 127-143.
- Chiang, Harold D. & Sasaki, Yuya, 2019. "Causal inference by quantile regression kink designs," Journal of Econometrics, Elsevier, vol. 210(2), pages 405-433.
- Haitian Xie, 2021. "Uniform Convergence Results for the Local Linear Regression Estimation of the Conditional Distribution," Papers 2112.08546, arXiv.org, revised Jun 2023.
- Efang Kong & Oliver Linton & Yingcun Xia, 2011.
"Global Bahadur representation for nonparametric censored regression quantiles and its applications,"
CeMMAP working papers
CWP33/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013. "Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications," Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
- Laura Liu & Alexandre Poirier & Ji-Liang Shiu, 2021. "Identification and Estimation of Partial Effects in Nonlinear Semiparametric Panel Models," Papers 2105.12891, arXiv.org, revised Dec 2023.
- Wolfgang Karl Härdle & Ya’acov Ritov & Song Song, 2010. "Partial Linear Quantile Regression and Bootstrap Confidence Bands," SFB 649 Discussion Papers SFB649DP2010-002, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Daniel Hlubinka & Lukáš Kotík & Miroslav Šiman, 2022. "Multivariate quantiles with both overall and directional probability interpretation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(4), pages 1586-1604, December.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
- Zongwu Cai & Ying Fang & Ming Lin & Shengfang Tang, 2020. "Inferences for Partially Conditional Quantile Treatment Effect Model," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202005, University of Kansas, Department of Economics, revised Feb 2020.
- Noh, Hohsuk & El Ghouch, Anouar & Van Keilegom, Ingrid, 2011. "Quality of fit measures in the framework of quantile regression," LIDAM Discussion Papers ISBA 2011025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Emmanuel Guerre & Camille Sabbah, 2009. "Uniform Bias Study and Bahadur Representation for Local Polynomial Estimators of the Conditional Quantile Function," Working Papers 648, Queen Mary University of London, School of Economics and Finance.
- Iglesias, Emma M. & Linton, Oliver, 2009.
"Estimation of tail thickness parameters from GJR-GARCH models,"
UC3M Working papers. Economics
we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
Cited by:
- Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
- Emma M. Iglesias, 2012. "An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market," Applied Economics, Taylor & Francis Journals, vol. 44(35), pages 4631-4637, December.
- Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
- Ngai Chan & Liang Peng & Rongmao Zhang, 2012. "Interval estimation of the tail index of a GARCH(1,1) model," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 546-565, September.
- Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
- Beran, Jan & Schell, Dieter, 2012. "On robust tail index estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3430-3443.
- Gordon Anderson & Oliver Linton & Yoon-Jae Wang, 2009.
"Non Parametric Estimation of a Polarization Measure,"
Working Papers
tecipa-363, University of Toronto, Department of Economics.
- Gordon Anderson & Oliver Linton & Yoon-Jae Whang, 2009. "Nonparametric Estimation of a Polarization Measure," STICERD - Econometrics Paper Series 534, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Anderson, Gordon & Linton, Oliver & Whang, Yoon-Jae, 2009. "Nonparametric estimation of a polarization measure," LSE Research Online Documents on Economics 25378, London School of Economics and Political Science, LSE Library.
- Anderson, Gordon & Oliver, Linton & Whang, Yoon-Jae, 2009. "Nonparametric estimation of a polarization measure," UC3M Working papers. Economics we095130, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gordon Anderson & Oliver Linton & Yoon-Jae Whang, 2009. "Nonparametric estimation of a polarization measure," CeMMAP working papers CWP14/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gordon Anderson & Oliver Linton & Yoon-Jae Whang, 2009. "Nonparametric Estimation of a Polarization Measure," Cowles Foundation Discussion Papers 1714, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Sokbae Lee & Yoon-Jae Whang, 2009.
"Nonparametric Tests of Conditional Treatment Effects,"
Cowles Foundation Discussion Papers
1740, Cowles Foundation for Research in Economics, Yale University.
- Sokbae (Simon) Lee & Yoon-Jae Whang, 2009. "Nonparametric tests of conditional treatment effects," CeMMAP working papers CWP36/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gordon Anderson, 2010. "Polarization Of The Poor: Multivariate Relative Poverty Measurement Sans Frontiers," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 56(1), pages 84-101, March.
- Gordon Anderson & Teng Wah Leo & Oliver Linton, 2010. "Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures," Working Papers tecipa-387, University of Toronto, Department of Economics.
- Gordon Anderson & Kinda Hachem, 2009. "Institutions and Economic Outcomes: A Dominance Based Analysis of Causality and Multivariate Welfare With Discrete and Continuous Variables," Working Papers tecipa-378, University of Toronto, Department of Economics.
- Amal Helu & Hani Samawi & Robert Vogel, 2011. "Nonparametric overlap coefficient estimation using ranked set sampling," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 385-397.
- Gordon Anderson & Oliver Linton & Teng Leo, 2012. "A polarization-cohesion perspective on cross-country convergence," Journal of Economic Growth, Springer, vol. 17(1), pages 49-69, March.
- Maria Grazia Pittau & Roberto Zelli & Paul A. Johnson, 2010. "Mixture Models, Convergence Clubs, And Polarization," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 56(1), pages 102-122, March.
- Hani M. Samawi & Amal Helu & Robert Vogel, 2011. "A nonparametric test of symmetry based on the overlapping coefficient," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(5), pages 885-898, February.
- Yingcun Xia & Wolfgang Härdle & Oliver Linton, 2009.
"Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator,"
SFB 649 Discussion Papers
SFB649DP2009-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hardle, Wolfgang & Xia, Yingcun & Linton, Oliver, 2009. "Optimal smoothing for a computationally and statistically efficient single index estimator," LSE Research Online Documents on Economics 58173, London School of Economics and Political Science, LSE Library.
Cited by:
- Michal Grajek & Lars-Hendrik Röller, 2009.
"Regulation and investment in network industries: Evidence from European telecoms,"
ESMT Research Working Papers
ESMT-09-004, ESMT European School of Management and Technology.
- Michał Grajek & Lars-Hendrik Röller, 2012. "Regulation and Investment in Network Industries: Evidence from European Telecoms," Journal of Law and Economics, University of Chicago Press, vol. 55(1), pages 189-216.
- Michał Grajek & Lars-Hendrik Röller, 2009. "Regulation and Investment in Network Industries: Evidence from European Telecoms," SFB 649 Discussion Papers SFB649DP2009-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Maria Grith & Wolfgang Härdle & Juhyun Park, 2009. "Shape invariant modelling pricing kernels and risk aversion," SFB 649 Discussion Papers SFB649DP2009-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Roland Strausz, 2010.
"The Political Economy of Regulatory Risk,"
CESifo Working Paper Series
2953, CESifo.
- Roland Strausz, 2009. "The Political Economy of Regulatory Risk," SFB 649 Discussion Papers SFB649DP2009-040, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Chuan Goh, 2009. "Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators," Working Papers tecipa-375, University of Toronto, Department of Economics.
- Barbara Choroś & Wolfgang Härdle & Ostap Okhrin, 2009. "CDO and HAC," SFB 649 Discussion Papers SFB649DP2009-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Sokbae (Simon) Lee & Oliver Linton & Yoon-Jae Whang, 2008.
"Testing for stochastic monotonicity,"
CeMMAP working papers
CWP21/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Oliver Linton & Yoon-Jae Whang, 2009. "Testing for Stochastic Monotonicity," Econometrica, Econometric Society, vol. 77(2), pages 585-602, March.
- Lee, Sokbae & Linton, Oliver & Whang, Yoon-Jae, 2006. "Testing for stochastic monotonicity," LSE Research Online Documents on Economics 4425, London School of Economics and Political Science, LSE Library.
- Sokbae Lee & Oliver Linton & Yoon-Jae Whang, 2006. "Testing For Stochasticmonotonicity," STICERD - Econometrics Paper Series 504, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Sokbae Lee & Ryo Okui & Yoon†Jae Whang, 2017.
"Doubly robust uniform confidence band for the conditional average treatment effect function,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1207-1225, November.
- Lee, Sokbae & Okui, Ryo & Whang, Yoon-Jae, 2017. "Doubly robust uniform confidence band for the conditional average treatment effect function," LSE Research Online Documents on Economics 86852, London School of Economics and Political Science, LSE Library.
- Sokbae (Simon) Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly robust uniform confidence band for the conditional average treatment effect function," CeMMAP working papers 03/16, Institute for Fiscal Studies.
- Sokbae (Simon) Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly robust uniform confidence band for the conditional average treatment effect function," CeMMAP working papers CWP03/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly Robust Uniform Confidence Band For The Conditional Average Treatment Effect Function," KIER Working Papers 931, Kyoto University, Institute of Economic Research.
- Sokbae Lee & Ryo Okui & Yoon-Jae Whang, 2016. "Doubly Robust Uniform Confidence Band for the Conditional Average Treatment Effect Function," Papers 1601.02801, arXiv.org, revised Oct 2016.
- Ismael Mourifie & Marc Henry & Romuald Meango, 2017.
"Sharp bounds and testability of a Roy model of STEM major choices,"
Papers
1709.09284, arXiv.org, revised Nov 2019.
- Ismaël Mourifié & Marc Henry & Romuald Méango, 2020. "Sharp Bounds and Testability of a Roy Model of STEM Major Choices," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3220-3283.
- Ismael Mourifié & Marc Henry & Romuald Méango, 2018. "Sharp Bounds and Testability of a Roy Model of STEM Major Choices," Working Papers 2018-084, Human Capital and Economic Opportunity Working Group.
- Ismael Mourifie & Marc Henry & Romuald Meango, 2018. "Sharp Bounds And Testability Of A Roy Model Of Stem Major Choices," Working Papers tecipa-624, University of Toronto, Department of Economics.
- Matthew A. Masten & Alexandre Poirier, 2018. "Interpreting Quantile Independence," Papers 1804.10957, arXiv.org.
- Takashi Kamihigashi & John Stachurski, 2011. "Existence, Stability and Computation of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem," Discussion Paper Series DP2011-32, Research Institute for Economics & Business Administration, Kobe University.
- Misha Beek & Hennie Daniels, 2014. "A Non-parametric Test for Partial Monotonicity in Multiple Regression," Computational Economics, Springer;Society for Computational Economics, vol. 44(1), pages 87-100, June.
- Victor Chernozhukov & Sokbae Lee & Adam M. Rosen, 2013.
"Intersection Bounds: Estimation and Inference,"
Econometrica, Econometric Society, vol. 81(2), pages 667-737, March.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers CWP19/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers 33/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2011. "Intersection bounds: estimation and inference," CeMMAP working papers CWP34/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2012. "Intersection bounds: estimation and inference," CeMMAP working papers CWP33/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2009. "Intersection Bounds: estimation and inference," CeMMAP working papers 19/09, Institute for Fiscal Studies.
- Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2011. "Intersection bounds: estimation and inference," CeMMAP working papers 34/11, Institute for Fiscal Studies.
- Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014.
"Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting,"
Working Papers
201404, University of California at Riverside, Department of Economics.
- Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012.
"Inference on counterfactual distributions,"
CeMMAP working papers
05/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2008. "Inference On Counterfactual Distributions," Boston University - Department of Economics - Working Papers Series wp2008-005, Boston University - Department of Economics.
- Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013. "Inference on Counterfactual Distributions," Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on Counterfactual Distributions," Papers 0904.0951, arXiv.org, revised Sep 2013.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers CWP05/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers 17/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers CWP17/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers 09/09, Institute for Fiscal Studies.
- Markus Jantti & Stephen P. Jenkins, 2014.
"Income Mobility,"
Working Papers
319, ECINEQ, Society for the Study of Economic Inequality.
- Jäntti, Markus & Jenkins, Stephen P., 2013. "Income Mobility," IZA Discussion Papers 7730, Institute of Labor Economics (IZA).
- P. Jenkins, Stephen & Jäntti, Markus, 2013. "Income mobility," ISER Working Paper Series 2013-23, Institute for Social and Economic Research.
- Markus Jäntti & Stephen P. Jenkins, 2013. "Income Mobility," SOEPpapers on Multidisciplinary Panel Data Research 607, DIW Berlin, The German Socio-Economic Panel (SOEP).
- Takashi Kamihigashi & John Stachurski, 2011. "Stability of Stationary Distributions in Monotone Economies," ANU Working Papers in Economics and Econometrics 2011-561, Australian National University, College of Business and Economics, School of Economics.
- Salim Bouzebda & Amel Nezzal & Tarek Zari, 2022. "Uniform Consistency for Functional Conditional U -Statistics Using Delta-Sequences," Mathematics, MDPI, vol. 11(1), pages 1-39, December.
- Daniel Wilhelm, 2019.
"Testing for the presence of measurement error,"
CeMMAP working papers
CWP48/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Daniel Wilhelm, 2019. "Testing for the Presence of Measurement Error," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-18, Economic Statistics Centre of Excellence (ESCoE).
- Daniel Wilhelm, 2018. "Testing for the presence of measurement error," CeMMAP working papers CWP45/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gutknecht, Daniel, 2016. "Testing for monotonicity under endogeneity," Journal of Econometrics, Elsevier, vol. 190(1), pages 100-114.
- Le-Yu Chen & Jerzy Szroeter, 2009.
"Hypothesis testing of multiple inequalities: the method of constraint chaining,"
CeMMAP working papers
CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers 13/09, Institute for Fiscal Studies.
- Salim Bouzebda & Thouria El-hadjali & Anouar Abdeldjaoued Ferfache, 2023. "Uniform in Bandwidth Consistency of Conditional U-statistics Adaptive to Intrinsic Dimension in Presence of Censored Data," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1548-1606, August.
- Daouia, Abdelaati & Noh, Hohsuk & Park, Byeong U., 2013.
"Data envelope fitting with constrained polynomial splines,"
TSE Working Papers
13-449, Toulouse School of Economics (TSE).
- Abdelaati Daouia & Hohsuk Noh & Byeong U. Park, 2016. "Data envelope fitting with constrained polynomial splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 3-30, January.
- Denis Chetverikov & Daniel Wilhelm, 2017.
"Nonparametric instrumental variable estimation under monotonicity,"
CeMMAP working papers
CWP14/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm, 2017. "Nonparametric Instrumental Variable Estimation Under Monotonicity," Econometrica, Econometric Society, vol. 85, pages 1303-1320, July.
- Denis Chetverikov & Daniel Wilhelm, 2015. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers CWP39/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm, 2015. "Nonparametric instrumental variable estimation under monotonicity," Papers 1507.05270, arXiv.org.
- Denis Chetverikov & Daniel Wilhelm, 2016. "Nonparametric instrumental variable estimation under monotonicity," CeMMAP working papers CWP48/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Zhongjun Qu & Jungmo Yoon, 2011.
"Nonparametric Estimation and Inference on Conditional Quantile Processes,"
Boston University - Department of Economics - Working Papers Series
WP2011-059, Boston University - Department of Economics.
- Qu, Zhongjun & Yoon, Jungmo, 2015. "Nonparametric estimation and inference on conditional quantile processes," Journal of Econometrics, Elsevier, vol. 185(1), pages 1-19.
- Chetverikov, Denis & Wilhelm, Daniel & Kim, Dongwoo, 2021.
"An Adaptive Test Of Stochastic Monotonicity,"
Econometric Theory, Cambridge University Press, vol. 37(3), pages 495-536, June.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2020. "An Adaptive Test of Stochastic Monotonicity," CeMMAP working papers CWP17/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2018. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP24/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2019. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP49/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arden Finn & Murray Leibbrandt & Vimal Ranchhod, 2016. "Patterns of persistence: Intergenerational mobility and education in South Africa," SALDRU Working Papers 175, Southern Africa Labour and Development Research Unit, University of Cape Town.
- Aradillas-López, Andrés & Gandhi, Amit & Quint, Daniel, 2016. "A simple test for moment inequality models with an application to English auctions," Journal of Econometrics, Elsevier, vol. 194(1), pages 96-115.
- Delgado, Miguel A. & Escanciano, Juan Carlos, 2012. "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, vol. 170(1), pages 68-75.
- Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan, 2022. "High-dimensional test for alpha in linear factor pricing models with sparse alternatives," Journal of Econometrics, Elsevier, vol. 229(1), pages 152-175.
- José Romeo & Nelson Tanaka & Antonio Pedroso-de-Lima & Victor Salinas-Torres, 2013. "Large sample properties for a class of copulas in bivariate survival analysis," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 997-1015, November.
- Maribel Jiménez, 2016. "Movilidad Intergeneracional del Ingreso en Argentina. Un Análisis de sus Cambios Temporales desde el Enfoque de Igualdad de Oportunidades," CEDLAS, Working Papers 0203, CEDLAS, Universidad Nacional de La Plata.
- Ibarra-Ramírez Raúl, 2011. "Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach," Working Papers 2011-03, Banco de México.
- Vladimir Vladimirovich Vinogradov & Richard Bruce Paris, 2021. "On two extensions of the canonical Feller–Spitzer distribution," Journal of Statistical Distributions and Applications, Springer, vol. 8(1), pages 1-25, December.
- Takashi Kamihigashi & John Stachurski, 2014.
"Partial Stochastic Dominance,"
Discussion Paper Series
DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
- Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Working Papers 2014-403, Department of Research, Ipag Business School.
- Armstrong, Timothy B. & Chan, Hock Peng, 2016.
"Multiscale adaptive inference on conditional moment inequalities,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 24-43.
- Timothy B. Armstrong & Hock Peng Chan, 2013. "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1885R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2014.
- Timothy B. Armstrong & Hock Peng Chan, 2013. "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1885, Cowles Foundation for Research in Economics, Yale University.
- Timothy B. Armstrong & Hock Peng Chan, 2013. "Multiscale Adaptive Inference on Conditional Moment Inequalities," Cowles Foundation Discussion Papers 1885R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2015.
- Daniel Gutknecht, 2013. "Testing for Monotonicity under Endogeneity An Application to the Reservation Wage Function," Economics Series Working Papers 673, University of Oxford, Department of Economics.
- Ying-Ying Lee, 2018. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Papers 1811.00157, arXiv.org.
- Valentino Dardanoni & Mario Fiorini & Antonio Forcina, 2008.
"Stochastic Monotonicity in Intergenerational Mobility Tables,"
Working Paper Series
156, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Valentino Dardanoni & Mario Fiorini & Antonio Forcina, 2012. "Stochastic monotonicity in intergenerational mobility tables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(1), pages 85-107, January.
- Sungwon Lee, 2021. "Partial Identification and Inference for Conditional Distributions of Treatment Effects," Papers 2108.00723, arXiv.org, revised Nov 2023.
- Christopher A. Hennessy & Ilya A. Strebulaev, 2020. "Beyond Random Assignment: Credible Inference and Extrapolation in Dynamic Economies," Journal of Finance, American Finance Association, vol. 75(2), pages 825-866, April.
- Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
- Salim Bouzebda & Inass Soukarieh, 2022. "Non-Parametric Conditional U -Processes for Locally Stationary Functional Random Fields under Stochastic Sampling Design," Mathematics, MDPI, vol. 11(1), pages 1-69, December.
- Gutknecht, Daniel, 2012. "Do Reservation Wages Decline Monotonically? A Novel Statistical Test," Economic Research Papers 270635, University of Warwick - Department of Economics.
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FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
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Cited by:
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"Recent advances in electricity price forecasting: A review of probabilistic forecasting,"
Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
- Jakub Nowotarski & Rafal Weron, 2016. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports HSC/16/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011.
"Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range,"
KIER Working Papers
775, Kyoto University, Institute of Economic Research.
- Chen, Cathy W.S. & Gerlach, Richard & Hwang, Bruce B.K. & McAleer, Michael, 2012. "Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range," International Journal of Forecasting, Elsevier, vol. 28(3), pages 557-574.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Documentos de Trabajo del ICAE 2011-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chen, C.W.S. & Gerlach, R. & Hwang, B.B.K. & McAleer, M.J., 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range," Econometric Institute Research Papers EI 2011-17, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," Working Papers in Economics 11/22, University of Canterbury, Department of Economics and Finance.
- Zongwu Cai & Haiqiang Chen & Xiaosai Liao, 2020. "A New Robust Inference for Predictive Quantile Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202002, University of Kansas, Department of Economics, revised Feb 2020.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
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"Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics,"
Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
- Chun, So Yeon & Shapiro, Alexander & Uryasev, Stan, 2011. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," MPRA Paper 30132, University Library of Munich, Germany.
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"Systemic risk and asymmetric responses in the financial industry,"
Journal of Banking & Finance, Elsevier, vol. 58(C), pages 471-485.
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Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 649-677.
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"Model Risk of Expected Shortfall,"
ICMA Centre Discussion Papers in Finance
icma-dp2017-10, Henley Business School, University of Reading.
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"Network quantile autoregression,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 345-358.
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- Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk Model-at-Risk," Post-Print hal-01386003, HAL.
- Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-01243413, HAL.
- Bonga-Bonga, Lumengo & Manguzvane, Mathias Mandla, 2018.
"Assessing the extent of contagion of sovereign credit risk among BRICS countries,"
MPRA Paper
89200, University Library of Munich, Germany.
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"Applying a microfounded-forecasting approach to predict Brazilian inflation,"
Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
- Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2016. "Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation," Working Papers Series 436, Central Bank of Brazil, Research Department.
- De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
- Wagner Piazza Gaglianone & João Victor Issler, 2014.
"Microfounded Forecasting,"
Working Papers Series
372, Central Bank of Brazil, Research Department.
- Gaglianone, Wagner Piazza & Issler, João Victor, 2019. "Microfounded forecasting," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 813, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gaglianone, Wagner Piazza & Issler, João Victor, 2015. "Microfounded forecasting," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 766, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wang, Jying-Nan & Du, Jiangze & Hsu, Yuan-Teng, 2018. "Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 120-138.
- Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
- Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
- Wagner Piazza Gaglianone & Luiz Renato Lima, 2012.
"Constructing Density Forecasts from Quantile Regressions,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1589-1607, December.
- Wagner Piazza Gaglianone & Luiz Renato Lima, 2012. "Constructing Density Forecasts from Quantile Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1589-1607, December.
- Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- David Kohns & Tibor Szendrei, 2020. "Horseshoe Prior Bayesian Quantile Regression," Papers 2006.07655, arXiv.org, revised Mar 2021.
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"An integrated macro-financial risk-based approach to the stressed capital requirement,"
Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
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"Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary,"
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- Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017.
"Evaluation of exchange rate point and density forecasts: An application to Brazil,"
International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
- Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2016. "Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil," Working Papers Series 446, Central Bank of Brazil, Research Department.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
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"Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests,"
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- Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Finance, Presses universitaires de Grenoble, vol. 33(1), pages 79-112.
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- Karmakar, Madhusudan & Paul, Samit, 2019. "Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 699-709.
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"Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models,"
Economics Working Paper Series
1517, University of St. Gallen, School of Economics and Political Science.
- Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models," MPRA Paper 72197, University Library of Munich, Germany, revised 10 Jun 2016.
- Richard Gerlach & Chao Wang, 2016. "Forecasting risk via realized GARCH, incorporating the realized range," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 501-511, April.
- Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
- Timo Dimitriadis & Andrew J. Patton & Patrick W. Schmidt, 2019.
"Testing Forecast Rationality for Measures of Central Tendency,"
Papers
1910.12545, arXiv.org, revised Jun 2023.
- Dimitriadis, Timo & Patton, Andrew J. & Schmidt, Patrick W., 2020. "Testing forecast rationality for measures of central tendency," Hohenheim Discussion Papers in Business, Economics and Social Sciences 12-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Liu Xiaochun & Luger Richard, 2018. "Markov-switching quantile autoregression: a Gibbs sampling approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(2), pages 1, April.
- Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
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"Equity market information and credit risk signaling: A quantile cointegrating regression approach,"
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- Pradhan, Ashis Kumar & Tiwari, Aviral Kumar, 2021. "Estimating the market risk of clean energy technologies companies using the expected shortfall approach," Renewable Energy, Elsevier, vol. 177(C), pages 95-100.
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"Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos,"
Borradores de Economia
939, Banco de la Republica de Colombia.
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"Markov switching quantile autoregression,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
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"Dynamic factor Value-at-Risk for large heteroskedastic portfolios,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
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- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
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"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
DES - Working Papers. Statistics and Econometrics. WS
ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Sebastian Bayer & Timo Dimitriadis, 2022. "Regression-Based Expected Shortfall Backtesting [Backtesting Expected Shortfall]," Journal of Financial Econometrics, Oxford University Press, vol. 20(3), pages 437-471.
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- Gerlach, Richard & Abeywardana, Sachin, 2016. "Variational Bayes for assessment of dynamic quantile forecasts," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1385-1402.
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- Timo Dimitriadis & Sebastian Bayer, 2017. "A Joint Quantile and Expected Shortfall Regression Framework," Papers 1704.02213, arXiv.org, revised Aug 2017.
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- Richard Gerlach & Declan Walpole & Chao Wang, 2017. "Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 199-215, February.
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"Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary,"
PIER Working Paper Archive
08-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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- Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2008. "Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary," STICERD - Econometrics Paper Series 527, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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Cited by:
- Gonzalo, J. & Olmo, J., 2008.
"Testing Downside Risk Efficiency Under Market Distress,"
Working Papers
08/11, Department of Economics, City University London.
- Gonzalo, Jesús & Olmo, José, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Le-Yu Chen & Jerzy Szroeter, 2009.
"Hypothesis testing of multiple inequalities: the method of constraint chaining,"
CeMMAP working papers
CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers 13/09, Institute for Fiscal Studies.
- Gonzalo, Jesús & Olmo, José, 2009. "Downside Risk Efficiency Under Market Distress," UC3M Working papers. Economics we094423, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Christopher J. Bennett, 2009. "Consistent and Asymptotically Unbiased MinP Tests of Multiple Inequality Moment Restrictions," Vanderbilt University Department of Economics Working Papers 0908, Vanderbilt University Department of Economics.
- Martin Huber & Giovanni Mellace, 2015.
"Testing Instrument Validity for LATE Identification Based on Inequality Moment Constraints,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 398-411, May.
- Huber, Martin & Mellace, Giovanni, 2011. "Testing instrument validity for LATE identification based on inequality moment constraints," Economics Working Paper Series 1143, University of St. Gallen, School of Economics and Political Science.
- Sheng Li & Oliver Linton, 2007.
"Evaluating hedge fund performance: a stochastic dominance approach,"
FMG Discussion Papers
dp591, Financial Markets Group.
- Li, Sheng & Linton, Oliver, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," LSE Research Online Documents on Economics 24486, London School of Economics and Political Science, LSE Library.
Cited by:
- Guo, Dongmei & Hu, Yi & Wang, Shouyang & Zhao, Lin, 2016. "Comparing risks with reference points: A stochastic dominance approach," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 105-116.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007.
"Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns,"
Swiss Finance Institute Research Paper Series
07-26, Swiss Finance Institute.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
Cited by:
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
- Kunpeng Li & Qi Li & Lina Lu, 2018.
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2009.
"Efficiency in Large Dynamic Panel Models with Common Factor,"
Swiss Finance Institute Research Paper Series
09-12, Swiss Finance Institute.
- Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(5), pages 961-1020, October.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
- Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
- Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Kalnina, Ilze & Linton, Oliver, 2007.
"Inference about realized volatility using infill subsampling,"
LSE Research Online Documents on Economics
4411, London School of Economics and Political Science, LSE Library.
- Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series 523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Kim Christensen & Mark Podolskij & Nopporn Thamrongrat & Bezirgen Veliyev, 2015.
"Inference from high-frequency data: A subsampling approach,"
CREATES Research Papers
2015-45, Department of Economics and Business Economics, Aarhus University.
- Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
- Jean Jacod & Yingying Li & Per A. Mykland & Mark Podolskij & Mathias Vetter, 2007. "Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9," CREATES Research Papers 2007-43, Department of Economics and Business Economics, Aarhus University.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2007.
"Microstructure noise in the continuous case: the pre-averaging approach,"
Technical Reports
2007,41, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Jacod, Jean & Li, Yingying & Mykland, Per A. & Podolskij, Mark & Vetter, Mathias, 2009. "Microstructure noise in the continuous case: The pre-averaging approach," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2249-2276, July.
- Mykland, Per A. & Zhang, Lan, 2016. "Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price," Journal of Econometrics, Elsevier, vol. 194(2), pages 242-262.
- Linton, Oliver & Mammen, Enno, 2006.
"Nonparametric transformation to white noise,"
LSE Research Online Documents on Economics
4426, London School of Economics and Political Science, LSE Library.
- Linton, Oliver B. & Mammen, Enno, 2008. "Nonparametric transformation to white noise," Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
- Oliver Linton & Qiying Wang, 2013.
"Non-parametric transformation regression with non-stationary data,"
CeMMAP working papers
CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007.
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns,"
FMG Discussion Papers
dp599, Financial Markets Group.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
- Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Juliane Geller & Michael H. Neumann, 2018. "Improved local polynomial estimation in time series regression," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-27, January.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
- Ozabaci, Deniz & Henderson, Daniel J., 2014.
"Additive Kernel Estimates of Returns to Schooling,"
IZA Discussion Papers
8736, Institute of Labor Economics (IZA).
- Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers 16/13, Institute for Fiscal Studies.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case," Mathematics, MDPI, vol. 8(6), pages 1-20, June.
- Mammen, Enno & Martínez-Miranda, María Dolores & Nielsen, Jens Perch & Vogt, Michael, 2021. "Calendar effect and in-sample forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 31-52.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns – The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers 2020-20, University of Graz, Department of Economics.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Liangjun Su & Aman Ullah & Yun Wang, 2013. "Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator," Empirical Economics, Springer, vol. 45(2), pages 1009-1024, October.
- Kalnina, Ilze & Linton, Oliver, 2006.
"Estimating quadratic variation consistently in the presence of correlated measurement error,"
LSE Research Online Documents on Economics
4413, London School of Economics and Political Science, LSE Library.
Cited by:
- Neil Shephard & Dacheng Xiu, 2012.
"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Series Working Papers
604, University of Oxford, Department of Economics.
- Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Papers 2012-W04, Economics Group, Nuffield College, University of Oxford.
- Kalnina, Ilze & Linton, Oliver, 2007.
"Inference about realized volatility using infill subsampling,"
LSE Research Online Documents on Economics
4411, London School of Economics and Political Science, LSE Library.
- Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series 523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Ole E Barndorff-Nielsen & Peter Hansen & Asger Lunde & Neil Shephard, 2006.
"Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise,"
OFRC Working Papers Series
2006fe05, Oxford Financial Research Centre.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise," Economics Papers 2006-W03, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009.
"Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading,"
Global COE Hi-Stat Discussion Paper Series
gd08-037, Institute of Economic Research, Hitotsubashi University.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006.
"Subsampling realised kernels,"
Economics Series Working Papers
278, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter R. Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," OFRC Working Papers Series 2006fe06, Oxford Financial Research Centre.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
- Kim Christensen & Mark Podolskij & Mathias Vetter, 2009.
"Bias-correcting the realized range-based variance in the presence of market microstructure noise,"
Finance and Stochastics, Springer, vol. 13(2), pages 239-268, April.
- Christensen, Kim & Podolskij, Mark & Vetter, Mathias, 2006. "Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise," Technical Reports 2006,52, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Lidan Grossmass, 2014. "Obtaining and Predicting the Bounds of Realized Correlations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 150(III), pages 191-226, September.
- Elezovic, Suad, 2009. "Functional modelling of volatility in the Swedish limit order book," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2107-2118, April.
- O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009. "Realized kernels in practice: trades and quotes," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 1-32, November.
- Neil Shephard & Dacheng Xiu, 2012.
"Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices,"
Economics Series Working Papers
604, University of Oxford, Department of Economics.
- Connor, Gregory & Linton, Oliver, 2006.
"Semiparametric estimation of a characteristic-based factor model of common stock returns,"
LSE Research Online Documents on Economics
4424, London School of Economics and Political Science, LSE Library.
- Connor, Gregory & Linton, Oliver, 2007. "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
- Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series 506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Charle Augusto Londoño, 2011.
"Regresión del cuantil aplicada al modelo de redes neuronales artificiales,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
- Charle Augusto Llondono, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAVIAR para el mercado de valores colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 62-109, July.
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
- Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
- Sung Hoon Choi, 2021. "Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia," Papers 2108.10250, arXiv.org, revised May 2022.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007.
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns,"
FMG Discussion Papers
dp599, Financial Markets Group.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
- Kunpeng Li & Qi Li & Lina Lu, 2018.
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015.
"Nonparametric testing for anomaly effects in empirical asset pricing models,"
Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014. "Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models," Working Papers 09-2014, Singapore Management University, School of Economics.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
- Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Pan, Haozi, 2023.
"Estimation of Characteristics-based Quantile Factor Models,"
CEPR Discussion Papers
18115, C.E.P.R. Discussion Papers.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús & Pan, Haozi, 2023. "Estimation of characteristics-based quantile factor models," UC3M Working papers. Economics 37095, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023. "Estimation of Characteristics-based Quantile Factor Models," Papers 2304.13206, arXiv.org.
- Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Xiang, Jingjie & Li, Kunpeng & Cui, Guowei, 2018. "A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models," Economics Letters, Elsevier, vol. 171(C), pages 144-148.
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007.
"Time Series Modelling with Semiparametric Factor Dynamics,"
SFB 649 Discussion Papers
SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017.
"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023.
"Beta-Sorted Portfolios,"
Staff Reports
1068, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Jul 2023.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
- Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
Cited by:
- Colling, Benjamin & Van Keilegom, Ingrid, 2016. "Goodness-of-fit tests in semiparametric transformation models using the integrated regression function," LIDAM Discussion Papers ISBA 2016031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Joel L. Horowitz & Sokbae (Simon) Lee, 2015.
"Nonparametric estimation and inference under shape restrictions,"
CeMMAP working papers
CWP67/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Horowitz, Joel L. & Lee, Sokbae, 2017. "Nonparametric estimation and inference under shape restrictions," Journal of Econometrics, Elsevier, vol. 201(1), pages 108-126.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2016. "Nonparametric estimation and inference under shape restrictions," CeMMAP working papers CWP29/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Vanhems, Anne & Van Keilegom, Ingrid, 2013. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2013018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ruixuan Liu, 2020. "A competing risks model with time‐varying heterogeneity and simultaneous failure," Quantitative Economics, Econometric Society, vol. 11(2), pages 535-577, May.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2015. "Nonparametric estimation and inference under shape restrictions," CeMMAP working papers 67/15, Institute for Fiscal Studies.
- Koohyun Kwon & Soonwoo Kwon, 2020. "Adaptive Inference in Multivariate Nonparametric Regression Models Under Monotonicity," Papers 2011.14219, arXiv.org.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2016. "Nonparametric estimation and inference under shape restrictions," CeMMAP working papers 29/16, Institute for Fiscal Studies.
- Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015.
"Specification testing for transformation models with an application to generalized accelerated failure-time models,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
- Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
- Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).
- Krief, Jerome M., 2017. "Direct instrumental nonparametric estimation of inverse regression functions," Journal of Econometrics, Elsevier, vol. 201(1), pages 95-107.
- Christoph Breunig & Stephan Martin, 2020. "Nonclassical Measurement Error in the Outcome Variable," Papers 2009.12665, arXiv.org, revised May 2021.
- Vanhems, Anne & Van Keilegom, Ingrid, 2011. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2011011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011.
"Nonparametric Identification and Estimation of Transformation Models,"
CAM Working Papers
2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
- Vanhems, Anne & Van Keilegom, Ingrid, 2019.
"Estimation Of A Semiparametric Transformation Model In The Presence Of Endogeneity,"
Econometric Theory, Cambridge University Press, vol. 35(1), pages 73-110, February.
- Van Keilegom, Ingrid & Vanhems, Anne, 2016. "Estimation of a semiparametric transformation model in the presence of endogeneity," TSE Working Papers 16-654, Toulouse School of Economics (TSE).
- Centorrino, Samuele & Florens, Jean-Pierre, 2021. "Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors," Econometrics and Statistics, Elsevier, vol. 17(C), pages 35-63.
- Colling, Benjamin & Van Keilegom, Ingrid, 2017. "Goodness-of-fit tests in semiparametric transformation models using the integrated regression function," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 10-30.
- Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006.
"Are there Monday effects in Stock Returns: A Stochastic Dominance Approach,"
FMG Discussion Papers
dp568, Financial Markets Group.
- Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2007. "Are there Monday effects in stock returns: A stochastic dominance approach," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 736-755, December.
- Cho, Young-Hyun & Linton, Oliver & Whang, Yoon-Jae, 2006. "Are there Monday effects in stock returns: a stochastic dominance approach," LSE Research Online Documents on Economics 24520, London School of Economics and Political Science, LSE Library.
Cited by:
- Chuan-Hao Hsu & Hung-Gay Fung & Yi-Ping Chang, 2016. "The performance of Taiwanese firms after a share repurchase announcement," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1251-1269, November.
- Chundakkadan, Radeef & Nedumparambil, Elizabeth, 2022. "In search of COVID-19 and stock market behavior," Global Finance Journal, Elsevier, vol. 54(C).
- Christos Kollias & Stephanos Papadamou, 2012.
"Rogue State Behavior and Markets: The Financial Fallout of North Korean Nuclear Tests,"
Economics of Security Working Paper Series
67, DIW Berlin, German Institute for Economic Research.
- Kollias Christos & Papadamou Stephanos & Psarianos Iacovos, 2014. "Rogue State Behavior and Markets: the Financial Fallout of North Korean Nuclear Tests," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 20(2), pages 1-26, April.
- Kaplanski, Guy & Levy, Haim, 2010. "Sentiment and stock prices: The case of aviation disasters," Journal of Financial Economics, Elsevier, vol. 95(2), pages 174-201, February.
- Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021.
"Another look at calendar anomalies,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Discussion Paper Series 2019_02, Department of Economics, University of Macedonia, revised Feb 2019.
- Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Working Paper series 19-07, Rimini Centre for Economic Analysis.
- Charles, Amélie, 2010.
"The day-of-the-week effects on the volatility: The role of the asymmetry,"
European Journal of Operational Research, Elsevier, vol. 202(1), pages 143-152, April.
- Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Zhuo Qiao & Wing-Keung Wong, 2015. "Which is a better investment choice in the Hong Kong residential property market: a big or small property?," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1670-1685, April.
- Linton, O. & Wu, J., 2016.
"A coupled component GARCH model for intraday and overnight volatility,"
Cambridge Working Papers in Economics
1671, Faculty of Economics, University of Cambridge.
- Oliver Linton & Jianbin Wu, 2017. "A coupled component GARCH model for intraday and overnight volatility," CeMMAP working papers CWP05/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Wu, J., 2018. "A Coupled Component GARCH Model for Intraday and Overnight Volatility," Cambridge Working Papers in Economics 1879, Faculty of Economics, University of Cambridge.
- Ichev, Riste & Marinč, Matej, 2018. "Stock prices and geographic proximity of information: Evidence from the Ebola outbreak," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 153-166.
- Qiao, Zhuo & Pukthuanthong, Kuntara, 2019. "Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?," Finance Research Letters, Elsevier, vol. 28(C), pages 39-44.
- Laurence E. Blose & Vijay Gondhalekar, 2013. "Weekend gold returns in bull and bear markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 609-622, September.
- Robert Elliott & Ying Zhou, 2013.
"State-Owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach,"
Discussion Papers
13-03, Department of Economics, University of Birmingham.
- Robert Elliott & Ying Zhou, 2013. "State-owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach," The World Economy, Wiley Blackwell, vol. 36(8), pages 1000-1028, August.
- Sheng-Ping Yang & Thanh Nguyen, 2019. "Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market," JRFM, MDPI, vol. 12(3), pages 1-10, September.
- Scherf, Matthias & Matschke, Xenia & Rieger, Marc Oliver, 2022. "Stock market reactions to COVID-19 lockdown: A global analysis," Finance Research Letters, Elsevier, vol. 45(C).
- Kaiser, Lars, 2019. "Seasonality in cryptocurrencies," Finance Research Letters, Elsevier, vol. 31(C).
- Irshad Hira & Taib Hasniza Mohd & Hussain Haroon & Hussain Rana Yassir, 2023. "Conventional and Islamic Equity Market Reaction Towards Terrorism: Evidence Based on Target Types, Location and Islamic Calendar Months," Studia Universitatis „Vasile Goldis” Arad – Economics Series, Sciendo, vol. 33(4), pages 70-116, December.
- Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat & Young, Martin, 2021. "Do climate risks matter for green investment?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Chui, David & Wing Cheng, Wui & Chi Chow, Sheung & LI, Ya, 2020. "Eastern Halloween effect: A stochastic dominance approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
- Levy, Tamir & Yagil, Joseph, 2012. "The week-of-the-year effect: Evidence from around the globe," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1963-1974.
- Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
- Kim Chang Sik, 2009. "Test for Spatial Dominances in the Distribution of Stock Returns: Evidence from the Korean Stock Market Before and After the East Asian Financial Crisis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-27, September.
- Radeef Chundakkadan, 2021. "Light a lamp and look at the stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
- Olfa Chaouachi & Imen Dhaou, 2020. "The Day of the Week Effect: Unconditional and Conditional Market Risk Analysis," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 94-98.
- Cohen, Gil, 2014. "Why don’t you trade only four days a year? An empirical study into the abnormal returns of quarters first trading day," Economics Letters, Elsevier, vol. 124(3), pages 335-337.
- Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2021. "The day-of-the-week-effect on the volatility of commodities," Resources Policy, Elsevier, vol. 71(C).
- Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
- Audrius Kabašinskas & Lina Kadikinaitė, 2016. "The construction of an investment portfolio using stochastic programming," Journal of Sustainable Finance & Investment, Taylor & Francis Journals, vol. 6(3), pages 151-160, July.
- Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
- Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012. "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, vol. 28, pages 69-90.
- Santi, Caterina & Zwinkels, Remco C.J., 2023. "Exploring style herding by mutual funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Ali CELÝK, 2021. "Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 15(1), pages 61-81.
- Kapalczynski, Anna & Lien, Donald, 2021. "Effectiveness of Augmented Dollar-Cost Averaging," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Kumar, Satish, 2016. "Revisiting calendar anomalies: Three decades of multicurrency evidence," Journal of Economics and Business, Elsevier, vol. 86(C), pages 16-32.
- McSweeney, Brendan, 2009. "The roles of financial asset market failure denial and the economic crisis: Reflections on accounting and financial theories and practices," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 835-848, August.
- Jeffrey E. Jarrett, 2008. "Predicting Daily Stock Returns: A Lengthy Study of the Hong Kong and Tokyo Stock Exchanges," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(1), pages 37-51, April.
- Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
- Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
- Erling Røed Larsen, 2021. "Intra‐Week Price Patterns in the Housing Market," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(1), pages 327-352, January.
- Al-Khazali, Osamah, 2014. "Revisiting fast profit investor sentiment and stock returns during Ramadan," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 158-170.
- Linton, Oliver & Seo, Myunghwan, 2005.
"A smoothed least squares estimator for threshold regression models,"
LSE Research Online Documents on Economics
4434, London School of Economics and Political Science, LSE Library.
- Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
Cited by:
- Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012.
"Regression towards the mode,"
Journal of Econometrics, Elsevier, vol. 170(1), pages 92-101.
- Kemp, GCR & Santos Silva, JMC, 2010. "Regression towards the mode," Economics Discussion Papers 5757, University of Essex, Department of Economics.
- Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli, 2018. "A Regime Shift Model with Nonparametric Switching Mechanism," IRTG 1792 Discussion Papers 2018-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Yélou, Clément & Larue, Bruno & Tran, Kien C., 2010. "Threshold effects in panel data stochastic frontier models of dairy production in Canada," Economic Modelling, Elsevier, vol. 27(3), pages 641-647, May.
- Young-Joo Kim & Myung Hwan Seo, 2017. "Is There a Jump in the Transition?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 241-249, April.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Donayre Luiggi & Eo Yunjong & Morley James, 2018.
"Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-11, February.
- Donayre, Luiggi & Eo, Yunjong & Morley, James, 2014. "Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples," Working Papers 2014-04, University of Sydney, School of Economics.
- Li, Dong & Tong, Howell, 2016. "Nested sub-sample search algorithm for estimation of threshold models," LSE Research Online Documents on Economics 68880, London School of Economics and Political Science, LSE Library.
- Rothfelder, Mario & Boldea, Otilia, 2019.
"Testing for a Threshold in Models with Endogenous Regressors,"
Other publications TiSEM
94a7c921-f27f-43a0-82f4-4, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 40ca581a-e228-49ae-911f-e, Tilburg University, School of Economics and Management.
- Rothfelder, Mario & Boldea, Otilia, 2019. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2019-030, Tilburg University, Center for Economic Research.
- Mario P. Rothfelder & Otilia Boldea, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Papers 2207.10076, arXiv.org.
- Rothfelder, Mario & Boldea, Otilia, 2016. "Testing for a Threshold in Models with Endogenous Regressors," Discussion Paper 2016-029, Tilburg University, Center for Economic Research.
- Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
- Junho Lee & Ying Sun & Huixia Judy Wang, 2021. "Spatial cluster detection with threshold quantile regression," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
- Daniel Ordoñez-Callamand & Luis F. Melo-Velandia & Oscar M. Valencia-Arana, 2017. "Current Account Sustainability in Latin America Considering Nonlinearities," Borradores de Economia 987, Banco de la Republica de Colombia.
- Dong Li & Shiqing Ling & Rongmao Zhang, 2016. "On a Threshold Double Autoregressive Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 68-80, January.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015.
"Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models,"
CREATES Research Papers
2015-10, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017. "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers 15-019/III, Tinbergen Institute.
- Olaoye, Olumide O. & Eluwole, Oluwatosin O. & Ayesha, Aziz & Afolabi, Olugbenga O., 2020. "Government spending and economic growth in ECOWAS: An asymmetric analysis," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Bruce E. Hansen, 2017. "Regression Kink With an Unknown Threshold," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 228-240, April.
- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Seo, Myung Hwan, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Youngki Shin, 2009. "Length-bias Correction in Transformation Models with Supplementary Data," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 658-681.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
- Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
- Egger, Peter & Erhardt, Katharina & Keuschnigg, Christian, 2014.
"Heterogeneous Tax Sensitivity of Firm-level Investments,"
Economics Series
306, Institute for Advanced Studies.
- Egger, Peter H. & Erhardt, Katharina & Keuschnigg, Christian, 2020. "Heterogeneous tax sensitivity of firm-level investments," Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 512-538.
- Egger, Peter & Erhardt, Katharina & Keuschnigg, Christian, 2014. "Heterogeneous Tax Sensitivity of Firm-level Investments," Economics Working Paper Series 1426, University of St. Gallen, School of Economics and Political Science.
- Keuschnigg, Christian & Egger, Peter & ,, 2018. "Heterogeneous Tax Sensitivity of Firm-level Investments," CEPR Discussion Papers 13341, C.E.P.R. Discussion Papers.
- Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
- Yoonseok Lee & Yulong Wang, 2019.
"Threshold Regression with Nonparametric Sample Splitting,"
Papers
1905.13140, arXiv.org, revised Jan 2021.
- Lee, Yoonseok & Wang, Yulong, 2023. "Threshold regression with nonparametric sample splitting," Journal of Econometrics, Elsevier, vol. 235(2), pages 816-842.
- Andros Kourtellos & Thanasis Stengos & Yiguo Sun, 2017.
"Endogeneity in Semiparametric Threshold Regression,"
University of Cyprus Working Papers in Economics
10-2017, University of Cyprus Department of Economics.
- Kourtellos, Andros & Stengos, Thanasis & Sun, Yiguo, 2022. "Endogeneity In Semiparametric Threshold Regression," Econometric Theory, Cambridge University Press, vol. 38(3), pages 562-595, June.
- Andros Kourtellos & Thanasis Stengos & Yiguo Sun, 2017. "Endogeneity in Semiparametric Threshold Regression," Working Paper series 17-13, Rimini Centre for Economic Analysis.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2011.
"Structural Threshold Regression,"
University of Cyprus Working Papers in Economics
13-2011, University of Cyprus Department of Economics.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009. "Structural Threshold Regression," Working Paper series 22_09, Rimini Centre for Economic Analysis.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009. "Structural Threshold Regression," Working Papers 0907, University of Guelph, Department of Economics and Finance.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2011. "Structural Threshold Regression," Working Paper series 49_11, Rimini Centre for Economic Analysis.
- Kourtellos, Andros & Stengos, Thanasis & Tan, Chih Ming, 2016. "Structural Threshold Regression," Econometric Theory, Cambridge University Press, vol. 32(4), pages 827-860, August.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2008. "Structural Threshold Regression," Discussion Papers Series, Department of Economics, Tufts University 0717, Department of Economics, Tufts University.
- Chen, Haiqiang & Li, Yingxing & Lin, Ming & Zhu, Yanli, 2018. "A Regime Shift Model with Nonparametric Switching Mechanism," IRTG 1792 Discussion Papers 2018-048, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chaoyi Chen & Yiguo Sun & Yao Rao, 2023. "Threshold MIDAS Forecasting of Inflation Rate," Working Papers 202314, University of Liverpool, Department of Economics.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2013.
"Estimation and inference in threshold type regime switching models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 8, pages 189-205,
Edward Elgar Publishing.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2012. "Estimation and inference in threshold type regime switching models," UC3M Working papers. Economics we1204, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Lee, Sokbae & Seo, Myung Hwan, 2007.
"Semiparametric estimation of a binary response model with a change-point due to a covariate threshold,"
LSE Research Online Documents on Economics
6806, London School of Economics and Political Science, LSE Library.
- Sokbae Lee & Myunghwan Seo, 2007. "Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold," STICERD - Econometrics Paper Series 516, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lee, Sokbae & Seo, Myung Hwan, 2008. "Semiparametric estimation of a binary response model with a change-point due to a covariate threshold," Journal of Econometrics, Elsevier, vol. 144(2), pages 492-499, June.
- N. R. Ramírez-Rondán, 2020.
"Maximum likelihood estimation of dynamic panel threshold models,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(3), pages 260-276, March.
- Nelson Ramírez-Rondán, 2015. "Maximum Likelihood Estimation of Dynamic Panel Threshold Models," Working Papers 32, Peruvian Economic Association.
- Haiqiang Chen, "undated".
"Robust Estimation and Inference for Threshold Models with Integrated Regressors,"
Working Papers
2013-12-02, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chen, Haiqiang, 2015. "Robust Estimation And Inference For Threshold Models With Integrated Regressors," Econometric Theory, Cambridge University Press, vol. 31(4), pages 778-810, August.
- Haiqiang Chen, 2013. "Robust Estimation and Inference for Threshold Models with Integrated Regressors," SFB 649 Discussion Papers SFB649DP2013-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Myung Hwan Seo & Yongcheol Shin, 2014.
"Dynamic Panels with Threshold Effect and Endogeneity,"
STICERD - Econometrics Paper Series
577, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Seo, Myung Hwan & Shin, Yongcheol, 2016. "Dynamic panels with threshold effect and endogeneity," Journal of Econometrics, Elsevier, vol. 195(2), pages 169-186.
- Hong, Han & Mahajan, Aprajit & Nekipelov, Denis, 2015. "Extremum estimation and numerical derivatives," Journal of Econometrics, Elsevier, vol. 188(1), pages 250-263.
- Jiatong Li & Hongqiang Yan, 2024. "Uniform Inference in High-Dimensional Threshold Regression Models," Papers 2404.08105, arXiv.org.
- Shuyu Li & Rongrong Li, 2021. "Revisiting the Existence of EKC Hypothesis under Different Degrees of Population Aging: Empirical Analysis of Panel Data from 140 Countries," IJERPH, MDPI, vol. 18(23), pages 1-19, December.
- Sun, Yuying & Han, Ai & Hong, Yongmiao & Wang, Shouyang, 2018. "Threshold autoregressive models for interval-valued time series data," Journal of Econometrics, Elsevier, vol. 206(2), pages 414-446.
- Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019.
"Robust inference for threshold regression models,"
LSE Research Online Documents on Economics
100333, London School of Economics and Political Science, LSE Library.
- Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan, 2019. "Robust inference for threshold regression models," Journal of Econometrics, Elsevier, vol. 210(2), pages 291-309.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018.
"Factor-Driven Two-Regime Regression,"
Department of Economics Working Papers
2018-14, McMaster University.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Factor-Driven Two-Regime Regression," Papers 1810.11109, arXiv.org, revised Sep 2020.
- Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2019. "Factor-Driven Two-Regime Regression," Working Paper Series no128, Institute of Economic Research, Seoul National University.
- Qusai Mohammad Qasim Alabed & Fathin Faizah Said & Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi & Mohammed Daher Alshammary, 2021. "Energy–Growth Nexus in the MENA Region: A Dynamic Panel Threshold Estimation," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Iglesias Emma M, 2010. "First and Second Order Asymptotic Bias Correction of Nonlinear Estimators in a Non-Parametric Setting and an Application to the Smoothed Maximum Score Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-30, May.
- Duan Lianjie, 2023. "Export Cutoff Productivity, Uncertainty and Duration of Waiting for Exporting," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 17(1), pages 1-19, January.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2009.
"Do Institutions Rule? The Role of Heterogeneity in the Institutions vs. Geography Debate,"
Working Papers
0910, University of Guelph, Department of Economics and Finance.
- Andros Kourtellos & Thanasis Strengos & Chih Ming Tan, 2009. "Do Institutions Rule? The Role of Heterogeneity in the Institutions vs. Geography Debate," Discussion Papers Series, Department of Economics, Tufts University 0735, Department of Economics, Tufts University.
- Andros Kourtellos & Thanasis Stengos & Chih ming Tan, 2010. "Do institutions rule? The role of heterogeneity in the institutions vs. geography debate," Economics Bulletin, AccessEcon, vol. 30(3), pages 1710-1719.
- Miao, Ke & Li, Kunpeng & Su, Liangjun, 2020. "Panel threshold models with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 219(1), pages 137-170.
- Chaoyi Chen & Yiguo Sun, 2018. "Monte Carlo Comparison for Nonparametric Threshold Estimators," JRFM, MDPI, vol. 11(3), pages 1-15, August.
- Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
- Yu, Ping, 2015. "Adaptive estimation of the threshold point in threshold regression," Journal of Econometrics, Elsevier, vol. 189(1), pages 83-100.
- Alogoskoufis, George & Malliaris, A.G. & Stengos, Thanasis, 2023. "The scope and methodology of economic and financial asymmetries," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
- Hasanov, Fakhri J. & Aliyev, Ruslan & Taskin, Dilvin & Suleymanov, Elchin, 2023. "Oil rents and non-oil economic growth in CIS oil exporters. The role of financial development," Resources Policy, Elsevier, vol. 82(C).
- Kourtellos, A. & Tan, C.M. & Stengos, T., 2008.
"THRET: Threshold Regression with Endogenous Threshold Variables,"
Working Papers
0801, University of Guelph, Department of Economics and Finance.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," University of Cyprus Working Papers in Economics 3-2008, University of Cyprus Department of Economics.
- Andros Kourtellos & Thanasis Stengos & Chih Ming Tan, 2008. "THRET: Threshold Regression with Endogenous Threshold Variables," Working Paper series 05_08, Rimini Centre for Economic Analysis.
- Massacci, Daniele, 2013. "A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns," Economics Letters, Elsevier, vol. 119(2), pages 199-203.
- Rothfelder, Mario P. & Boldea, Otilia, 2022. "Testing for a Threshold in Models with Endogenous Regressors," Other publications TiSEM 674deead-8826-450a-8f56-f, Tilburg University, School of Economics and Management.
- Chlibi Souhir & Jawadi Fredj & Sellami Mohamed, 2017. "Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 47-63, February.
- Zhu Yanli & Chen Haiqiang & Lin Ming, 2019. "Threshold models with time-varying threshold values and their application in estimating regime-sensitive Taylor rules," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(5), pages 1-17, December.
- Post, G.T. & Linton, O. & Whang, Y-J., 2005.
"Testing for Stochastic Dominance Efficiency,"
ERIM Report Series Research in Management
ERS-2005-033-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
Cited by:
- Arvanitis, Stelios & Topaloglou, Nikolas, 2017. "Testing for prospect and Markowitz stochastic dominance efficiency," Journal of Econometrics, Elsevier, vol. 198(2), pages 253-270.
- Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020.
"Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach,"
Working Papers
2020-009, Department of Research, Ipag Business School.
- Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
- Sungro Lee, Chang Sik Kim, In-Moo Kim & Chang Sik Kim & In-Moo Kim, 2012. "Testing the Monday Effect using High-frequency Intraday Returns: A Spatial Dominance Approach," Korean Economic Review, Korean Economic Association, vol. 28, pages 69-90.
- Woocheol Kim & Oliver Linton, 2004.
"A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models,"
FMG Discussion Papers
dp509, Financial Markets Group.
- Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
- Kim, Woocheol & Linton, Oliver, 2004. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 24758, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Chen, Bin & Song, Zhaogang, 2013. "Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach," Journal of Econometrics, Elsevier, vol. 173(1), pages 83-107.
- Chen, Bin & Hong, Yongmiao, 2012. "Testing For The Markov Property In Time Series," Econometric Theory, Cambridge University Press, vol. 28(1), pages 130-178, February.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Oliver Linton & Yoon-Jae Whang, 2004.
"A Quantilogram Approach to Evaluating Directional Predictability,"
Cowles Foundation Discussion Papers
1454, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Yoon-Jae Whang, 2003. "A Quantilogram Approach to Evaluating Directional Predictability," STICERD - Econometrics Paper Series 463, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Whang, Yoon-Jae, 2003. "A quantilogram approach to evaluating directional predictability," LSE Research Online Documents on Economics 2112, London School of Economics and Political Science, LSE Library.
Cited by:
- Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
- Stanislav Anatolyev & Nikolay Gospodinov, 2007.
"Modeling Financial Return Dynamics by Decomposition,"
Working Papers
w0095, New Economic School (NES).
- Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR).
- Gilbert W. Bassett, 2004.
"Pessimistic Portfolio Allocation and Choquet Expected Utility,"
Journal of Financial Econometrics, Oxford University Press, vol. 2(4), pages 477-492.
- Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers CWP09/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
- Gilbert W. Bassett Jr Bassett & Roger Koenker & Gregory Kordas, 2004. "Pessimistic portfolio allocation and Choquet expected utility," CeMMAP working papers 09/04, Institute for Fiscal Studies.
- Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
- Benoit Perron & Oliver Linton, 2004.
"The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model,"
FMG Discussion Papers
dp514, Financial Markets Group.
- Linton, Oliver & Perron, Benoit, 2000. "The shape of the risk premium: evidence from a semiparametric GARCH model," LSE Research Online Documents on Economics 24769, London School of Economics and Political Science, LSE Library.
- LINTON, Olivier & PERRON, Benoît, 1999. "The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model," Cahiers de recherche 9911, Universite de Montreal, Departement de sciences economiques.
Cited by:
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012.
"Semiparametric inference in a GARCH-in-mean model,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, Department of Economics and Business Economics, Aarhus University.
- Ghosh, Anisha & Linton, Oliver, 2007.
"Consistent estimation of the risk-return tradeoff in the presence of measurement error,"
LSE Research Online Documents on Economics
24506, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
- Ghosh, Anisha & Linton, Oliver, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," UC3M Working papers. Economics we094928, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Kim, Woocheol & Linton, Oliver B., 2004.
"The live method for generalized additive volatility models,"
LSE Research Online Documents on Economics
321, London School of Economics and Political Science, LSE Library.
- Kim, Woocheol & Linton, Oliver, 2004. "The Live Method For Generalized Additive Volatility Models," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1094-1139, December.
Cited by:
- Xu, Ke-Li & Phillips, Peter C. B., 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Ke-Li Xu & Peter C. B. Phillips, 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
- Douglas Gomes dos Santos & Flávio Augusto Ziegelmann, 2008. "Estimação de volatilidade em períodos de crise: Modelos aditivos semi-paramétricos versus modelos versus modelo Garch," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807201932370, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Enno Mammen & Oliver Linton, 2004.
"Estimating Semiparametric ARCH Models by Kernel Smoothing Methods,"
FMG Discussion Papers
dp511, Financial Markets Group.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Perron, Benoit, 2004. "Détection non paramétrique de sauts dans la volatilité des marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 229-251, Juin-Sept.
- Linton, Oliver & Srisuma, Sorawoot, 2010.
"Semiparametric estimation of Markov decision processeswith continuous state space,"
LSE Research Online Documents on Economics
58187, London School of Economics and Political Science, LSE Library.
- Srisuma, Sorawoot & Linton, Oliver, 2012. "Semiparametric estimation of Markov decision processes with continuous state space," Journal of Econometrics, Elsevier, vol. 166(2), pages 320-341.
- Oliver Linton & Sorawoot Srisuma, 2010. "Semiparametric Estimation of Markov Decision Processeswith Continuous State Space," STICERD - Econometrics Paper Series 550, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Woocheol Kim, 2004. "Identification And Estimation Of Nonparametric Structural," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society.
- Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
- Michael Sabbatini & Oliver Linton, 2004.
"A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices,"
FMG Discussion Papers
dp516, Financial Markets Group.
Cited by:
- Kiyotaka Satoyoshi & Hidetoshi Mitsui, 2011. "Empirical Study of Nikkei 225 Options with the Markov Switching GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 55-68, March.
- Oliver Linton, 2004.
"Nonparametric inference for unbalance time series data,"
CeMMAP working papers
CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver, 2005. "Nonparametric Inference For Unbalanced Time Series Data," Econometric Theory, Cambridge University Press, vol. 21(1), pages 143-157, February.
- Linton, Oliver, 2004. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 2116, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series 474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
Cited by:
- Phillips, Peter C.B., 2005.
"Automated Discovery In Econometrics,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
- Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation for Research in Economics, Yale University.
- Andrew J. Patton, 2006.
"Estimation of multivariate models for time series of possibly different lengths,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173.
- Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173, March.
- Linton, Oliver & Mammen, Enno, 2003.
"Estimating semiparametric ARCH (∞) models by kernel smoothing methods,"
LSE Research Online Documents on Economics
58068, London School of Economics and Political Science, LSE Library.
- O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
Cited by:
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers CWP24/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Meister, Alexander & Kreiß, Jens-Peter, 2016. "Statistical inference for nonparametric GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3009-3040.
- Xilong Chen & Eric Ghysels, 2011. "News--Good or Bad--and Its Impact on Volatility Predictions over Multiple Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 46-81, October.
- Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers 24/12, Institute for Fiscal Studies.
- Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Degui Li & Zudi Lu & Oliver Linton, 2011.
"Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,"
Monash Econometrics and Business Statistics Working Papers
16/11, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012. "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
- Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
- Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Hidalgo, Javier & Zaffaroni, Paolo, 2007.
"A goodness-of-fit test for ARCH([infinity]) models,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 835-875, December.
- Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
- Linton, Oliver B. & Mammen, Enno, 2008.
"Nonparametric transformation to white noise,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
- Yu, Jun, 2012.
"A semiparametric stochastic volatility model,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
- Jun Yu, 2008. "A Semiparametric Stochastic Volatility Model," Working Papers CoFie-04-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Stanislav Anatolyev, 2005.
"Optimal Instruments in Time Series: A Survey,"
Working Papers
w0069, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2007. "Optimal Instruments In Time Series: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007.
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns,"
FMG Discussion Papers
dp599, Financial Markets Group.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
- Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers 28/13, Institute for Fiscal Studies.
- Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
- HAFNER, Christian & PREMINGER, Arie, 2016.
"On Asymptotic Theory for ARCH(infinite) Models,"
LIDAM Discussion Papers CORE
2016030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian M. Hafner & Arie Preminger, 2017. "On asymptotic theory for ARCH([infinite]) models," LIDAM Reprints CORE 2917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Preminger, Arie, 2017. "On asymptotic theory for ARCH(infinite) models," LIDAM Discussion Papers ISBA 2017009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Preminger, Arie, 2017. "On Asymptotic Theory for ARCH (infinity) Models," LIDAM Reprints ISBA 2017041, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Chen, Xiaohong & Huang, Zhuo & Yi, Yanping, 2021. "Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models," Journal of Econometrics, Elsevier, vol. 222(1), pages 484-501.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Songhua Tan & Qianqian Zhu, 2022. "Asymmetric linear double autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 371-388, May.
- Degui Li & Oliver Linton & Zudi Lu, 2010.
"Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate,"
STICERD - Econometrics Paper Series
549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2010. "Loch linear fitting under near epoch dependence: uniform consistency with convergence rate," LSE Research Online Documents on Economics 58160, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Zhuo Huang & Yanping Yi, 2019. "Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models," Cowles Foundation Discussion Papers 2215, Cowles Foundation for Research in Economics, Yale University.
- Perron, Benoit, 2004. "Détection non paramétrique de sauts dans la volatilité des marchés financiers," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 229-251, Juin-Sept.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
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"Semiparametric estimation of Markov decision processeswith continuous state space,"
LSE Research Online Documents on Economics
58187, London School of Economics and Political Science, LSE Library.
- Srisuma, Sorawoot & Linton, Oliver, 2012. "Semiparametric estimation of Markov decision processes with continuous state space," Journal of Econometrics, Elsevier, vol. 166(2), pages 320-341.
- Oliver Linton & Sorawoot Srisuma, 2010. "Semiparametric Estimation of Markov Decision Processeswith Continuous State Space," STICERD - Econometrics Paper Series 550, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Woocheol Kim, 2004. "Identification And Estimation Of Nonparametric Structural," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society.
- Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
- Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016.
"A nonparametric test of a strong leverage hypothesis,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
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"Modeling the Volatility-Return Trade-Off When Volatility May Be Nonstationary,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-32, February.
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- Dag Tjøstheim, 2012. "Rejoinder on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 469-476, September.
- Matthieu Garcin & Clément Goulet, 2015. "Non-parameteric news impact curve: a variational approach," Documents de travail du Centre d'Economie de la Sorbonne 15086rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Feb 2017.
- Muhammad Surajo Sanusi, 2017. "Investigating the sources of Black’s leverage effect in oil and gas stocks," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318812-131, January.
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- Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions,"
Boston College Working Papers in Economics
585, Boston College Department of Economics, revised 04 Sep 2006.
- Arthur Lewbel & Oliver Linton, 2007. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Econometrica, Econometric Society, vol. 75(4), pages 1209-1227, July.
Cited by:
- Nir Billfeld & Moshe Kim, 2019. "Semiparametric Wavelet-based JPEG IV Estimator for endogenously truncated data," Papers 1908.02166, arXiv.org.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Le-Yu Chen, 2009. "Identification of structural dynamic discrete choice models," CeMMAP working papers CWP08/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014.
"Semiparametric methods in nonlinear time series analysis: a selective review,"
Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
- Patrick Saart & Jiti Gao, 2012. "Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review," Monash Econometrics and Business Statistics Working Papers 21/12, Monash University, Department of Econometrics and Business Statistics.
- Daniel J. Henderson, 2009.
"A Non‐parametric Examination of Capital–Skill Complementarity,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 519-538, August.
- Henderson, Daniel J., 2008. "A Nonparametric Examination of Capital-Skill Complementarity," IZA Discussion Papers 3865, Institute of Labor Economics (IZA).
- Escanciano, Juan Carlos & Jacho-Chávez, David T. & Lewbel, Arthur, 2014.
"Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 426-443.
- Juan Carlos Escanciano & David Jacho-Chavez & Arthur Lewbel, 2010. "Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing," Boston College Working Papers in Economics 756, Boston College Department of Economics, revised 31 Jan 2012.
- Chetverikov, Denis & Wilhelm, Daniel & Kim, Dongwoo, 2021.
"An Adaptive Test Of Stochastic Monotonicity,"
Econometric Theory, Cambridge University Press, vol. 37(3), pages 495-536, June.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2020. "An Adaptive Test of Stochastic Monotonicity," CeMMAP working papers CWP17/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2018. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP24/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2019. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP49/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Delgado, Miguel A. & Escanciano, Juan Carlos, 2012. "Distribution-free tests of stochastic monotonicity," Journal of Econometrics, Elsevier, vol. 170(1), pages 68-75.
- Dong, Yingying & Lewbel, Arthur, 2011.
"Nonparametric identification of a binary random factor in cross section data,"
Journal of Econometrics, Elsevier, vol. 163(2), pages 163-171, August.
- Yingying Dong & Arthur Lewbel, 2009. "Nonparametric Identification of a Binary Random Factor in Cross Section Data," Boston College Working Papers in Economics 707, Boston College Department of Economics, revised 01 Jul 2010.
- Yingyong Dong & Arthur Lewbel, 2009. "Nonparametric identification of a binary random factor in cross section data," CeMMAP working papers CWP16/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Centorrino, Samuele & Florens, Jean-Pierre, 2021. "Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors," Econometrics and Statistics, Elsevier, vol. 17(C), pages 35-63.
- Sungwon Lee, 2020. "Nonparametric Identification and Estimation of Panel Quantile Models with Sample Selection," Working Papers 2012, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Mototsugu Shintani & Oliver Linton, 2003.
"Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos,"
Vanderbilt University Department of Economics Working Papers
0309, Vanderbilt University Department of Economics.
- Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
- Shintani, Mototsugu & Linton, Oliver, 2002. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
Cited by:
- Dominique Guegan & Justin Leroux, 2009. "Local Lyapunov Exponents: A new way to predict chaotic systems," Post-Print halshs-00511996, HAL.
- Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
- Matilla-García, Mariano & Marín, Manuel Ruiz, 2010.
"A new test for chaos and determinism based on symbolic dynamics,"
Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 600-614, December.
- Mariano Matilla-García & Manuel Ruiz Marín, 2010. "A New Test for Chaos and Determinism based on Symbolic Dynamics," Post-Print hal-00911819, HAL.
- Bask, Miia & Bask, Mikael, 2013.
"Social Influence and the Matthew Mechanism: The Case of an Artificial Cultural Market,"
Working Paper Series
2013:11, Uppsala University, Department of Economics.
- Bask, Miia & Bask, Mikael, 2014. "Social influence and the Matthew mechanism: The case of an artificial cultural market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 412(C), pages 113-119.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
- Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute.
- Bask, Mikael & Widerberg, Anna, 2009.
"Market structure and the stability and volatility of electricity prices,"
Energy Economics, Elsevier, vol. 31(2), pages 278-288, March.
- Bask, Mikael & Widerberg, Anna, 2008. "Market Structure and the Stability and Volatility of Electricity Prices," Working Papers in Economics 327, University of Gothenburg, Department of Economics.
- Borusyak, K., 2011. "Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management," Journal of the New Economic Association, New Economic Association, issue 11, pages 85-105.
- Guégan, Dominique & Leroux, Justin, 2009. "Forecasting chaotic systems: The role of local Lyapunov exponents," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2401-2404.
- Dominique Guegan & Justin Leroux, 2010. "Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems," Post-Print halshs-00462454, HAL.
- Bask, Mikael, 2007.
"Measuring potential market risk,"
Bank of Finland Research Discussion Papers
20/2007, Bank of Finland.
- Bask, Mikael, 2010. "Measuring potential market risk," Journal of Financial Stability, Elsevier, vol. 6(3), pages 180-186, September.
- Belaire-Franch, Jorge, 2018.
"Exchange rates expectations and chaotic dynamics: A replication study,"
Economics Discussion Papers
2018-34, Kiel Institute for the World Economy (IfW Kiel).
- Belaire-Franch, Jorge, 2018. "Exchange rates expectations and chaotic dynamics: A replication study," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-9.
- Dominique Guegan, 2009.
"Chaos in Economics and Finance,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
halshs-00375713, HAL.
- Dominique Guegan, 2009. "Chaos in economics and finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00187885, HAL.
- Dominique Guégan, 2007. "Chaos in economics and finance," Documents de travail du Centre d'Economie de la Sorbonne b07054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2009.
- Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
- Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Post-Print halshs-00259238, HAL.
- William Barnett, 2005.
"Comment on 'Chaotic Monetary Dynamics with Confidence',"
Macroeconomics
0505017, University Library of Munich, Germany.
- Barnett, William A., 2006. "Comments on "Chaotic monetary dynamics with confidence"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 253-255, March.
- William Barnett, 2006. "Comment on 'Chaotic Monetary Dynamics with Confidence'," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200602, University of Kansas, Department of Economics.
- Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
- Bask, Mikael & Widerberg, Anna, 2007. "The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis," Working Papers in Economics 267, University of Gothenburg, Department of Economics.
- DIMA, Bogdan & DIMA, Ştefana Maria & IOAN, Roxana, 2021. "Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX," Finance Research Letters, Elsevier, vol. 43(C).
- Lorenzo Trapani, 2021.
"Testing for strict stationarity in a random coefficient autoregressive model,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(3), pages 220-256, April.
- Lorenzo Trapani, 2018. "Testing for strict stationarity in a random coefficient autoregressive model," Discussion Papers 18/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Dominique Guegan & Justin Leroux, 2009. "Forecasting chaotic systems: The role of local Lyapunov exponents," Post-Print halshs-00431726, HAL.
- Shintani, Mototsugu, 2008.
"A dynamic factor approach to nonlinear stability analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Econometric Society 2004 Far Eastern Meetings 538, Econometric Society.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
- Dominique Guégan & Justin Leroux, 2007.
"Forecasting chaotic systems: The role of local Lyapunov exponents,"
Cahiers de recherche
07-12, HEC Montréal, Institut d'économie appliquée.
- Dominique Guegan & Justin Leroux, 2009. "Forecasting chaotic systems: The role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00431726, HAL.
- Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259238, HAL.
- Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems: the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne b08014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2008.
- Mastroeni, Loretta & Vellucci, Pierluigi & Naldi, Maurizio, 2019. "A reappraisal of the chaotic paradigm for energy commodity prices," Energy Economics, Elsevier, vol. 82(C), pages 167-178.
- Sandubete, Julio E. & Escot, Lorenzo, 2020. "Chaotic signals inside some tick-by-tick financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
- Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108.
- Miia Bask & Mikael Bask, 2015. "Cumulative (Dis)Advantage and the Matthew Effect in Life-Course Analysis," PLOS ONE, Public Library of Science, vol. 10(11), pages 1-14, November.
- Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
- Santamaría-Bonfil, G. & Reyes-Ballesteros, A. & Gershenson, C., 2016. "Wind speed forecasting for wind farms: A method based on support vector regression," Renewable Energy, Elsevier, vol. 85(C), pages 790-809.
- Marisa Faggini, 2011. "Chaotic Time Series Analysis in Economics: Balance and Perspectives," Working papers 25, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Marco Pangallo, 2020. "Synchronization of endogenous business cycles," Papers 2002.06555, arXiv.org, revised Jun 2023.
- Dominique Guegan & Justin Leroux, 2009. "Local Lyapunov Exponents: A new way to predict chaotic systems," PSE-Ecole d'économie de Paris (Postprint) halshs-00511996, HAL.
- Dominique Guegan & Justin Leroux, 2009. "Forecasting chaotic systems: The role of local Lyapunov exponents," PSE-Ecole d'économie de Paris (Postprint) halshs-00431726, HAL.
- Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
- Marco Pangallo, 2023. "Synchronization of endogenous business cycles," LEM Papers Series 2023/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Marisa Faggini & Bruna Bruno & Anna Parziale, 2019. "Does Chaos Matter in Financial Time Series Analysis?," International Journal of Economics and Financial Issues, Econjournals, vol. 9(4), pages 18-24.
- Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics.
- Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
- Wolff, Rodney C. & Yao, Qiwei & Tong, Howell, 2004.
"Statistical tests for Lyapunov exponents of deterministic systems,"
LSE Research Online Documents on Economics
154, London School of Economics and Political Science, LSE Library.
- Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
- Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Lucía Inglada-Pérez & Pablo Coto-Millán, 2021. "A Chaos Analysis of the Dry Bulk Shipping Market," Mathematics, MDPI, vol. 9(17), pages 1-35, August.
- Escot, Lorenzo & Sandubete, Julio E., 2023. "Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms," Applied Mathematics and Computation, Elsevier, vol. 436(C).
- Patrick Krieger & Carsten Lausberg & Kristin Wellner, 2018. "Einblicke in die Gründe für nicht-normalverteilte Immobilienrenditen: eine explorative Untersuchung deutscher Wohnimmobilienportfolios [Insights into the reasons for non-normal real estate returns:," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 4(1), pages 49-79, November.
- Dominique Guégan & Justin Leroux, 2008. "Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems," Cahiers de recherche 08-10, HEC Montréal, Institut d'économie appliquée.
- Xu, Fei & Lai, Yongzeng & Shu, Xiao-Bao, 2018. "Chaos in integer order and fractional order financial systems and their synchronization," Chaos, Solitons & Fractals, Elsevier, vol. 117(C), pages 125-136.
- Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2006.
"The stability of electricity prices: estimation and inference of the Lyapunov exponents,"
Bank of Finland Research Discussion Papers
9/2006, Bank of Finland.
- Bask, Mikael & Liu, Tung & Widerberg, Anna, 2007. "The stability of electricity prices: Estimation and inference of the Lyapunov exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 565-572.
- Mikael Bask & Tung Liu & Anna Widerberg, 2006. "The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponent," Working Papers 200603, Ball State University, Department of Economics, revised Apr 2006.
- Giannerini Simone & Rosa Rodolfo, 2004. "Assessing Chaos in Time Series: Statistical Aspects and Perspectives," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-25, May.
- Serletis, Apostolos & Shahmoradi, Asghar & Serletis, Demitre, 2007. "Effect of noise on estimation of Lyapunov exponents from a time series," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 883-887.
- Yankou Diasso, 2014. "Dynamique du prix international du coton : aléas, aversion au risque et chaos," Recherches économiques de Louvain, De Boeck Université, vol. 80(4), pages 53-86.
- BenSaïda, Ahmed & Litimi, Houda, 2013. "High level chaos in the exchange and index markets," Chaos, Solitons & Fractals, Elsevier, vol. 54(C), pages 90-95.
- Matilla-Garcia, Mariano & Ruiz Marin, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
- Lucía Inglada-Pérez & Sandra González y Gil, 2024. "A Study on the Nature of Complexity in the Spanish Electricity Market Using a Comprehensive Methodological Framework," Mathematics, MDPI, vol. 12(6), pages 1-21, March.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric estimation of homothetic and homothetically separable functions,"
CeMMAP working papers
CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Estimation of Homothetic and Homothetically Separable Functions," STICERD - Econometrics Paper Series 461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lewbel, Arthur & Linton, Oliver, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," LSE Research Online Documents on Economics 2066, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers 14/03, Institute for Fiscal Studies.
Cited by:
- Muhammad Nazmul Khan, 2022. "Estimating empirical marginal adjustment cost function: a power series approach," Empirical Economics, Springer, vol. 63(6), pages 3185-3210, December.
- Wolfgang Härdle & Oliver Linton & Wang, Qihua, 2003.
"Semiparametric regression analysis with missing response at random,"
CeMMAP working papers
CWP11/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wang Q. & Linton O. & Hardle W., 2004. "Semiparametric Regression Analysis With Missing Response at Random," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 334-345, January.
Cited by:
- Wangli Xu & Xu Guo, 2013. "Nonparametric checks for varying coefficient models with missing response at random," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(4), pages 459-482, May.
- Bindele, Huybrechts F., 2018. "Covariates missing at random under signed-rank inference," Econometrics and Statistics, Elsevier, vol. 8(C), pages 78-93.
- Lai, Peng & Wang, Qihua, 2014. "Semiparametric efficient estimation for partially linear single-index models with responses missing at random," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 33-50.
- Zhong, Ping-Shou & Chen, Sixia, 2014. "Jackknife empirical likelihood inference with regression imputation and survey data," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 193-205.
- Ash Abebe & Huybrechts F. Bindele & Masego Otlaadisa & Boikanyo Makubate, 2021. "Robust estimation of single index models with responses missing at random," Statistical Papers, Springer, vol. 62(5), pages 2195-2225, October.
- Sun, Zhihua & Wang, Qihua & Dai, Pengjie, 2009. "Model checking for partially linear models with missing responses at random," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 636-651, April.
- Qihua Wang & Tao Zhang & Wolfgang Karl Härdle, 2014. "An Extended Single Index Model with Missing Response at Random," SFB 649 Discussion Papers SFB649DP2014-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Levon Demirdjian & Majid Mojirsheibani, 2019. "Kernel classification with missing data and the choice of smoothing parameters," Statistical Papers, Springer, vol. 60(5), pages 1487-1513, October.
- Xuewen Lu & Heng Lian & Wanrong Liu, 2012. "Semiparametric estimation for inverse density weighted expectations when responses are missing at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(1), pages 139-152.
- Peixin Zhao & Xinrong Tang, 2016. "Imputation based statistical inference for partially linear quantile regression models with missing responses," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 991-1009, November.
- Majid Mojirsheibani & Timothy Reese, 2017. "Kernel regression estimation for incomplete data with applications," Statistical Papers, Springer, vol. 58(1), pages 185-209, March.
- Bianco, Ana & Boente, Graciela & González-Manteiga, Wenceslao & Pérez-González, Ana, 2010. "Estimation of the marginal location under a partially linear model with missing responses," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 546-564, February.
- Yan-Ting Xiao & Fu-Xiao Li, 2020. "Estimation in partially linear varying-coefficient errors-in-variables models with missing response variables," Computational Statistics, Springer, vol. 35(4), pages 1637-1658, December.
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2015.
"Generalised partially linear regression with misclassified data and an application to labour market transitions,"
ZEW Discussion Papers
15-043, ZEW - Leibniz Centre for European Economic Research.
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2017. "Generalized partially linear regression with misclassified data and an application to labour market transitions," Computational Statistics & Data Analysis, Elsevier, vol. 110(C), pages 145-159.
- Dlugosz, Stephan & Mammen, Enno & Wilke, Ralf A., 2015. "Generalised partially linear regression with misclassied data and an application to labour market transitions," FDZ-Methodenreport 201510 (en), Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Chen, Song Xi & Van Keilegom, Ingrid, 2013.
"Estimation in semiparametric models with missing data,"
LIDAM Reprints ISBA
2013024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Song Chen & Ingrid Van Keilegom, 2013. "Estimation in semiparametric models with missing data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 785-805, August.
- Francesco Bravo & David Jacho-Chavez, 2011. "Empirical Likelihood for Efficient Semiparametric Average Treatment Effects," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 1-24.
- Zhao, Hui & Zhao, Pu-Ying & Tang, Nian-Sheng, 2013. "Empirical likelihood inference for mean functionals with nonignorably missing response data," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 101-116.
- Francesco Bravo, 2013. "Partially linear varying coefficient models with missing at random responses," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 721-762, August.
- Tang, Niansheng & Xia, Linli & Yan, Xiaodong, 2019. "Feature screening in ultrahigh-dimensional partially linear models with missing responses at random," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 208-227.
- Chen, Songxi, 2012. "Estimation in semiparametric models with missing data," MPRA Paper 46216, University Library of Munich, Germany.
- Inkmann, J., 2005.
"Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited,"
Other publications TiSEM
c39cff1f-16c1-4446-a83f-c, Tilburg University, School of Economics and Management.
- Inkmann, J., 2005. "Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited," Discussion Paper 2005-131, Tilburg University, Center for Economic Research.
- Wangli Xu & Xu Guo & Lixing Zhu, 2012. "Goodness-of-fitting for partial linear model with missing response at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(1), pages 103-118.
- Xiaohui Liu & Zhizhong Wang & Xuemei Hu, 2011. "Testing heteroscedasticity in partially linear models with missing covariates," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 321-337.
- Mariela Sued & Marina Valdora & Víctor Yohai, 2020. "Robust doubly protected estimators for quantiles with missing data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(3), pages 819-843, September.
- Wangli Xu & Lixing Zhu, 2013. "Testing the adequacy of varying coefficient models with missing responses at random," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 53-69, January.
- Lu Li & Niwen Zhou & Lixing Zhu, 2022. "Outcome regression-based estimation of conditional average treatment effect," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(5), pages 987-1041, October.
- Bianco, Ana M. & Boente, Graciela & González-Manteiga, Wenceslao & Pérez-González, Ana, 2015. "Robust inference in partially linear models with missing responses," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 88-98.
- Nian-Sheng Tang & Pu-Ying Zhao, 2013. "Empirical likelihood semiparametric nonlinear regression analysis for longitudinal data with responses missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 639-665, August.
- Yu-Ye Zou & Han-Ying Liang & Jing-Jing Zhang, 2015. "Nonlinear wavelet density estimation with data missing at random when covariates are present," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(8), pages 967-995, November.
- Ana M. Bianco & Graciela Boente & Wenceslao González-Manteiga & Ana Pérez-González, 2019. "Plug-in marginal estimation under a general regression model with missing responses and covariates," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 106-146, March.
- Wang, Qihua & Su, Miaomiao & Wang, Ruoyu, 2021. "A beyond multiple robust approach for missing response problem," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
- Nengxiang Ling & Rui Kan & Philippe Vieu & Shuyu Meng, 2019. "Semi-functional partially linear regression model with responses missing at random," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 82(1), pages 39-70, January.
- Bindele, Huybrechts F. & Nguelifack, Brice M., 2019. "Generalized signed-rank estimation for regression models with non-ignorable missing responses," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 14-33.
- Bindele, Huybrechts F. & Abebe, Ash, 2015. "Semi-parametric rank regression with missing responses," Journal of Multivariate Analysis, Elsevier, vol. 142(C), pages 117-132.
- Guo, Xu & Fang, Yun & Zhu, Xuehu & Xu, Wangli & Zhu, Lixing, 2018. "Semiparametric double robust and efficient estimation for mean functionals with response missing at random," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 325-339.
- Bravo, Francesco & Escanciano, Juan Carlos & Van Keilegom, Ingrid, 2015. "Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference," LIDAM Discussion Papers ISBA 2015016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Wang, Qihua & Sun, Zhihua, 2007. "Estimation in partially linear models with missing responses at random," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1470-1493, August.
- Weiwei Zhang & Jingxuan Luo & Shengyun Ma, 2023. "Estimation in Semi-Varying Coefficient Heteroscedastic Instrumental Variable Models with Missing Responses," Mathematics, MDPI, vol. 11(23), pages 1-20, December.
- Qihua Wang & Gregg Dinse & Chunling Liu, 2012. "Hazard function estimation with cause-of-death data missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 415-438, April.
- Nengxiang Ling & Lilei Cheng & Philippe Vieu & Hui Ding, 2022. "Missing responses at random in functional single index model for time series data," Statistical Papers, Springer, vol. 63(2), pages 665-692, April.
- Ana Bianco & Graciela Boente & Wenceslao González-Manteiga & Ana Pérez-González, 2011. "Asymptotic behavior of robust estimators in partially linear models with missing responses: the effect of estimating the missing probability on the simplified marginal estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 524-548, November.
- Xue, Liugen & Zhang, Jinghua, 2020. "Empirical likelihood for partially linear single-index models with missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Chen, Xiaohong & Hong, Han & Tarozzi, Alessandro, 2008.
"Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects,"
Working Papers
42, Yale University, Department of Economics.
- Xiaohong Chen & Han Hong & Alessandro Tarozzi, 2008. "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects," Cowles Foundation Discussion Papers 1644, Cowles Foundation for Research in Economics, Yale University.
- Shuanghua Luo & Changlin Mei & Cheng-yi Zhang, 2017. "Smoothed empirical likelihood for quantile regression models with response data missing at random," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 95-116, January.
- Mojirsheibani, Majid & Montazeri, Zahra, 2007. "On nonparametric classification with missing covariates," Journal of Multivariate Analysis, Elsevier, vol. 98(5), pages 1051-1071, May.
- Yu Shen & Han-Ying Liang, 2018. "Quantile regression and its empirical likelihood with missing response at random," Statistical Papers, Springer, vol. 59(2), pages 685-707, June.
- Zhangong Zhou & Linjun Tang, 2019. "Testing for parametric component of partially linear models with missing covariates," Statistical Papers, Springer, vol. 60(3), pages 747-760, June.
- A. Pérez-González & J. Vilar-Fernández & W. González-Manteiga, 2009. "Asymptotic properties of local polynomial regression with missing data and correlated errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 85-109, March.
- M. Hristache & V. Patilea, 2017. "Conditional moment models with data missing at random," Biometrika, Biometrika Trust, vol. 104(3), pages 735-742.
- Guo, Xu & Wang, Tao & Xu, Wangli & Zhu, Lixing, 2014. "Dimension reduction with missing response at random," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 228-242.
- Bryan S. Graham & Cristine Campos De Xavier Pinto & Daniel Egel, 2012.
"Inverse Probability Tilting for Moment Condition Models with Missing Data,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(3), pages 1053-1079.
- Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2008. "Inverse Probability Tilting for Moment Condition Models with Missing Data," NBER Working Papers 13981, National Bureau of Economic Research, Inc.
- Tianfa Xie & Zhihua Sun & Liuquan Sun, 2012. "A consistent model specification test for a partial linear model with covariates missing at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(4), pages 841-856, December.
- Wang, Zhaoliang & Xue, Liugen & Liu, Juanfang, 2019. "Checking nonparametric component for partially nonlinear model with missing response," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 1-8.
- Hu, Yanan & Yang, Yaqi & Wang, Chunyu & Tian, Maozai, 2017. "Imputation in nonparametric quantile regression with complex data," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 120-130.
- Liang, Hua & Su, Haiyan & Zou, Guohua, 2008. "Confidence intervals for a common mean with missing data with applications in an AIDS study," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 546-553, December.
- Yongsong Qin & Jianjun Li, 2011. "Empirical likelihood for partially linear models with missing responses at random," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(2), pages 497-511.
- Shuanghua Luo & Cheng-yi Zhang, 2016. "Nonparametric $$M$$ M -type regression estimation under missing response data," Statistical Papers, Springer, vol. 57(3), pages 641-664, September.
- Qi-Hua Wang, 2009. "Statistical estimation in partial linear models with covariate data missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 47-84, March.
- Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
- Xue, Liugen & Xue, Dong, 2011. "Empirical likelihood for semiparametric regression model with missing response data," Journal of Multivariate Analysis, Elsevier, vol. 102(4), pages 723-740, April.
- Lai, Peng & Liu, Yiming & Liu, Zhi & Wan, Yi, 2017. "Model free feature screening for ultrahigh dimensional data with responses missing at random," Computational Statistics & Data Analysis, Elsevier, vol. 105(C), pages 201-216.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003.
"Consistent Testing for Stochastic Dominance under General Sampling Schemes,"
SFB 373 Discussion Papers
2003,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 735-765.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent testing for stochastic dominance under general sampling schemes," LSE Research Online Documents on Economics 2208, London School of Economics and Political Science, LSE Library.
Cited by:
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers CWP24/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chuan-Hao Hsu & Hung-Gay Fung & Yi-Ping Chang, 2016. "The performance of Taiwanese firms after a share repurchase announcement," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1251-1269, November.
- Maasoumi, Esfandiar & Eren, Ozkan, 2006. "The Information Basis of Matching with Propensity Score," Departmental Working Papers 0606, Southern Methodist University, Department of Economics.
- Zhuo Qiao & Ephraim Clark & Wing-Keung Wong, 2014. "Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 251-274, March.
- Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019.
"Choosing expected shortfall over VaR in Basel III using stochastic dominance,"
International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
- Chang, C-L. & Jiménez-Martín, J.A. & Maasoumi, E. & McAleer, M.J., 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Econometric Institute Research Papers EI2015-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Michel McAleer & Teodosio Pérez-Amaral, 2015. "Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance," Tinbergen Institute Discussion Papers 15-133/III, Tinbergen Institute.
- Vivek Dehejia & Marcel Voia, 2008. "International Income Comparisons and Location Choice: Methodology, Analysis, and Implications," Carleton Economic Papers 08-02, Carleton University, Department of Economics.
- Fong, Wai Mun, 2016. "Stochastic dominance and the omega ratio," Finance Research Letters, Elsevier, vol. 17(C), pages 7-9.
- Tukiainen, Janne, 2008. "Testing for common costs in the City of Helsinki bus transit auctions," International Journal of Industrial Organization, Elsevier, vol. 26(6), pages 1308-1322, November.
- Anissa Chaibi & Maria-Lenuta Ciupac-Ulici & Mircea-Cristian Gherman, 2014. "Do Recent Stochastic Tools Help to Better Understand Investors Preference and Asset Allocation?," Working Papers 2014-130, Department of Research, Ipag Business School.
- Esfandiar Maasoumi & Daniel L. Millimet & Dipanwita Sarkar, 2009. "Who Benefits from Marriage?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(1), pages 1-33, February.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers 24/12, Institute for Fiscal Studies.
- Linton, Oliver & Seo, Myung Hwan & Whang, Yoon-Jae, 2023. "Testing stochastic dominance with many conditioning variables," Journal of Econometrics, Elsevier, vol. 235(2), pages 507-527.
- Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007.
"Growth and convergence: A profile of distribution dynamics and mobility,"
Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
- Maasoumi, Esfandiar & Racine, Jeff, 2006. "Growth And Convergence: A Profile Of Distribution Dynamics And Mobility," Departmental Working Papers 0605, Southern Methodist University, Department of Economics.
- Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2015. "An environmental degradation index based on stochastic dominance," Empirical Economics, Springer, vol. 48(1), pages 439-459, February.
- Park, Joon Y., 2005.
"The Spatial Analysis of Time Series,"
Working Papers
2005-07, Rice University, Department of Economics.
- Joon Y. Park, 2004. "The Spatial Analysis of Time Series," Econometric Society 2004 North American Winter Meetings 595, Econometric Society.
- Arvanitis, Stelios & Post, Thierry & Potì, Valerio & Karabati, Selcuk, 2021. "Nonparametric tests for Optimal Predictive Ability," International Journal of Forecasting, Elsevier, vol. 37(2), pages 881-898.
- Guo, Xu & Wong, Wing-Keung & Zhu, Lixing, 2013. "Make Almost Stochastic Dominance really Almost," MPRA Paper 49745, University Library of Munich, Germany.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning tests for Markowitz stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Esfandiar Maasoumi & M. Melinda Pitts & Ke Wu, 2014.
"The gap between the conditional wage distributions of incumbents and the newly hired employees: decomposition and uniform ordering,"
FRB Atlanta Working Paper
2014-22, Federal Reserve Bank of Atlanta.
- Esfandiar Maasoumi & Melinda Pitts & Ke Wu, 2014. "The Gap between the Conditional Wage Distributions of Incumbents and the Newly Hired Employees: Decomposition and Uniform Ordering," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 587-612, Emerald Group Publishing Limited.
- Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
- Oliver Linton & Katja Smetanina, 2015. "Mean Ratio Statistic for measuring predictability," CeMMAP working papers 08/15, Institute for Fiscal Studies.
- Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019.
"Hedge Fund Strategies: A non-Parametric Analysis,"
Department of Economics and Statistics Cognetti de Martiis. Working Papers
201902, University of Turin.
- Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
- Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2013.
"Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures,"
Econometric Institute Research Papers
EI 2013-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Tinbergen Institute Discussion Papers 13-132/III, Tinbergen Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Working Papers in Economics 13/30, University of Canterbury, Department of Economics and Finance.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Documentos de Trabajo del ICAE 2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
- Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
- Wen-Hao Chen & Jean-Yves Duclos, 2009.
"Testing for poverty dominance: an application to Canada,"
Working Papers
379, Barcelona School of Economics.
- Wen-Hao Chen & Jean-Yves Duclos, 2008. "Testing for Poverty Dominance: an Application to Canada," Cahiers de recherche 0836, CIRPEE.
- Chen, Wen-Hao & Duclos, Jean-Yves, 2008. "Testing for Poverty Dominance: An Application to Canada," IZA Discussion Papers 3829, Institute of Labor Economics (IZA).
- Wen‐Hao Chen & Jean‐Yves Duclos, 2011. "Testing for poverty dominance: an application to Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(3), pages 781-803, August.
- Wen-Hao Chen & Jean-Yves Duclos, 2011. "Testing for poverty dominance: an application to Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 44(3), pages 781-803, August.
- Jean-Yves Duclos & Wen-Hao Chen, 2009. "Testing for Poverty Dominance: An Application to Canada," UFAE and IAE Working Papers 769.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Kim Huynh & David Jacho-Chávez & Robert Petrunia & Marcel Voia, 2015. "A nonparametric analysis of firm size, leverage and labour productivity distribution dynamics," Empirical Economics, Springer, vol. 48(1), pages 337-360, February.
- Härdle, Wolfgang Karl & Schulz, Rainer & Xie, Taojun, 2019. "Cooling Measures and Housing Wealth: Evidence from Singapore," IRTG 1792 Discussion Papers 2019-001, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," JRFM, MDPI, vol. 1(1), pages 1-40, December.
- Bogomolov, Marina & Davidov, Ori, 2019. "Order restricted univariate and multivariate inference with adjustment for covariates in partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 133(C), pages 20-27.
- Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
- Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015.
"A stochastic dominance approach to financial risk management strategies,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
- Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Esfandiar Maasoumi & Teodosio Pérez Amaral, 2014. "A Stochastic Dominance Approach to Financial Risk Management Strategies," Documentos de Trabajo del ICAE 2014-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2014.
- Post, Thierry & Kopa, Miloš, 2013. "Aggregate investor preferences and beliefs: A comment," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 187-190.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010.
"Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance,"
Working Papers in Economics
10/22, University of Canterbury, Department of Economics and Finance.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CIRJE F-Series CIRJE-F-744, CIRJE, Faculty of Economics, University of Tokyo.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2011. "Investor Preferences for Oil Spot and Futures based on Mean-Variance and Stochastic Dominance," KIER Working Papers 755, Kyoto University, Institute of Economic Research.
- Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance," CARF F-Series CARF-F-220, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Khan, Shakeeb & Ponomareva, Maria & Tamer, Elie, 2011.
"Identification of Panel Data Models with Endogenous Censoring,"
MPRA Paper
30373, University Library of Munich, Germany.
- Shakeeb Khan & Maria Ponomareva & Elie Tamer, 2011. "Identification of Panel Data Models with Endogenous Censoring," Working Papers 11-07, Duke University, Department of Economics.
- Khan, Shakeeb & Ponomareva, Maria & Tamer, Elie, 2016. "Identification of panel data models with endogenous censoring," Journal of Econometrics, Elsevier, vol. 194(1), pages 57-75.
- Almas Heshmati & Esfandiar Maasoumi & Guanghua Wan, 2019. "An Analysis of the Determinants of Household Consumption Expenditure and Poverty in India," Economies, MDPI, vol. 7(4), pages 1-27, September.
- Tae-Hwy Lee & Yundong Tu & Aman Ullah, 2014.
"Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting,"
Working Papers
201404, University of California at Riverside, Department of Economics.
- Lee, Tae-Hwy & Tu, Yundong & Ullah, Aman, 2014. "Nonparametric and semiparametric regressions subject to monotonicity constraints: Estimation and forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 196-210.
- Andrey Lizyayev, 2012. "Stochastic dominance efficiency analysis of diversified portfolios: classification, comparison and refinements," Annals of Operations Research, Springer, vol. 196(1), pages 391-410, July.
- Linton, Oliver, 2005.
"Nonparametric Inference For Unbalanced Time Series Data,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 143-157, February.
- Oliver Linton, 2004. "Nonparametric inference for unbalance time series data," CeMMAP working papers CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver, 2004. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 2116, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series 474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
- Canepa, Alessandra & Chersoni, Giulia & Fontana, Magda, 2023.
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The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 1-14.
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"Consistent Tests for Poverty Dominance Relations,"
IEAS Working Paper : academic research
15-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
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"Monitoring poverty in a data deprived environment: The case of Lebanon,"
Working Papers
2302E Classification- I31, University of Ottawa, Department of Economics.
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- Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
- Duangkamon Chotikapanich & William E. Griffiths, 2006. "Bayesian Assessment of Lorenz and Stochastic Dominance in Income Distributions," Department of Economics - Working Papers Series 960, The University of Melbourne.
- Millimet Daniel L & Wang Le, 2006. "A Distributional Analysis of the Gender Earnings Gap in Urban China," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 5(1), pages 1-50, February.
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- Post, Thierry & Kopa, Miloš, 2013. "General linear formulations of stochastic dominance criteria," European Journal of Operational Research, Elsevier, vol. 230(2), pages 321-332.
- Chuang, O-Chia & Kuan, Chung-Ming & Tzeng, Larry Y., 2017. "Testing for central dominance: Method and application," Journal of Econometrics, Elsevier, vol. 196(2), pages 368-378.
- Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
- Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.
- Post, Thierry & Karabatı, Selçuk & Arvanitis, Stelios, 2018. "Portfolio optimization based on stochastic dominance and empirical likelihood," Journal of Econometrics, Elsevier, vol. 206(1), pages 167-186.
- Al-Khazali, Osamah & Lean, Hooi Hooi & Samet, Anis, 2014. "Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach," Pacific-Basin Finance Journal, Elsevier, vol. 28(C), pages 29-46.
- Mariusz Górajski & Zbigniew Kuchta, 2022. "Which hallmarks of optimal monetary policy rules matter in Poland? A stochastic dominance approach," Bank i Kredyt, Narodowy Bank Polski, vol. 53(2), pages 149-182.
- Kolokolova, Olga & Le Courtois, Olivier & Xu, Xia, 2022. "Is the index efficient? A worldwide tour with stochastic dominance," Journal of Financial Markets, Elsevier, vol. 59(PB).
- Marcel Voia & Liqun Wang & Ricardas Zitikis, 2009. "A Distributional Analysis of Treatment Effects on Subpopulations of a Socioeconomic Experiment," Carleton Economic Papers 09-02, Carleton University, Department of Economics, revised 05 Feb 2010.
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- Tabri, Rami V., 2015. "Empirical Likelihood for Robust Poverty Comparisons," Working Papers 2015-02, University of Sydney, School of Economics, revised May 2015.
- Stelios Arvanitis & Thierry Post & Nikolas Topaloglou, 2021. "Stochastic Bounds for Reference Sets in Portfolio Analysis," Management Science, INFORMS, vol. 67(12), pages 7737-7754, December.
- Charles Beach, 2023. "Quantile Tool Box Measures for Empirical Analysis and for Testing Distributional Comparisons in Direct Distribution-Free Fashion," Working Paper 1508, Economics Department, Queen's University.
- Kyungchul Song, 2009. "Testing Predictive Ability and Power Robustification," PIER Working Paper Archive 09-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Brian McCaig & Adonis Yatchew, 2007. "International welfare comparisons and nonparametric testing of multivariate stochastic dominance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 951-969.
- Wang, Ming-Hui & Ke, Mei-Chu & Liang Liao, Tung & Chiang, Yi-Chein & Hsu, Chuan-Hao, 2020. "Alternative estimation method of earnings growth rate for PEGR strategy," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Clark, Ephraim & Qiao, Zhuo, 2020. "The value premium puzzle, behavior versus risk: New evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 12-21.
- Gordon Anderson & Thierry Post, 2018. "Increasing discriminatory power in well-being analysis using convex stochastic dominance," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 51(3), pages 551-561, October.
- Francesco Andreoli, 2018. "Robust Inference for Inverse Stochastic Dominance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 146-159, January.
- J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
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- Fang, Yi, 2012. "Aggregate investor preferences and beliefs in stock market: A stochastic dominance analysis," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 528-547.
- Oliver Linton, 2004. "Nonparametric inference for unbalance time series data," CeMMAP working papers 06/04, Institute for Fiscal Studies.
- Dehejia Vivek H. & Voia Marcel C., 2012. "International Income Comparisons and Social Welfare: Methodology, Analysis, and Implications," Journal of Globalization and Development, De Gruyter, vol. 3(1), pages 1-24, June.
- Clark, Ephraim & Kassimatis, Konstantinos, 2012. "An empirical analysis of marginal conditional stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1144-1151.
- Belzunce, Félix & Martínez-Riquelme, Carolina, 2023. "A new stochastic dominance criterion for dependent random variables with applications," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 165-176.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002.
"Consistent Testing for Stochastic Dominance: A Subsampling Approach,"
FMG Discussion Papers
dp407, Financial Markets Group.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent testing for stochastic dominance: a subsampling approach," LSE Research Online Documents on Economics 24755, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Esfandiar Maasoumi & Whang, Yoon-Jae, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," Cowles Foundation Discussion Papers 1356, Cowles Foundation for Research in Economics, Yale University, revised Mar 2002.
- Yoon-Jae Whang & Esfandiar Maasoumi & Oliver Linton, 2004. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers dp508, Financial Markets Group.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2002. "Consistent testing for stochastic dominance: a subsampling approach," LSE Research Online Documents on Economics 24927, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," STICERD - Econometrics Paper Series 433, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Wang, 2002. "Consistent testing for stochastic dominance: a subsampling approach," CeMMAP working papers CWP03/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2002. "Consistent testing for stochastic dominance : a subsampling approach," LSE Research Online Documents on Economics 2207, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Wang, 2002. "Consistent testing for stochastic dominance: a subsampling approach," CeMMAP working papers 03/02, Institute for Fiscal Studies.
Cited by:
- Maasoumi, Esfandiar & Racine, Jeff & Stengos, Thanasis, 2007.
"Growth and convergence: A profile of distribution dynamics and mobility,"
Journal of Econometrics, Elsevier, vol. 136(2), pages 483-508, February.
- Maasoumi, Esfandiar & Racine, Jeff, 2006. "Growth And Convergence: A Profile Of Distribution Dynamics And Mobility," Departmental Working Papers 0605, Southern Methodist University, Department of Economics.
- Park, Joon Y., 2005.
"The Spatial Analysis of Time Series,"
Working Papers
2005-07, Rice University, Department of Economics.
- Joon Y. Park, 2004. "The Spatial Analysis of Time Series," Econometric Society 2004 North American Winter Meetings 595, Econometric Society.
- Wen-Hao Chen & Jean-Yves Duclos, 2009.
"Testing for poverty dominance: an application to Canada,"
Working Papers
379, Barcelona School of Economics.
- Wen-Hao Chen & Jean-Yves Duclos, 2008. "Testing for Poverty Dominance: an Application to Canada," Cahiers de recherche 0836, CIRPEE.
- Chen, Wen-Hao & Duclos, Jean-Yves, 2008. "Testing for Poverty Dominance: An Application to Canada," IZA Discussion Papers 3829, Institute of Labor Economics (IZA).
- Wen‐Hao Chen & Jean‐Yves Duclos, 2011. "Testing for poverty dominance: an application to Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(3), pages 781-803, August.
- Wen-Hao Chen & Jean-Yves Duclos, 2011. "Testing for poverty dominance: an application to Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 44(3), pages 781-803, August.
- Jean-Yves Duclos & Wen-Hao Chen, 2009. "Testing for Poverty Dominance: An Application to Canada," UFAE and IAE Working Papers 769.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Gonzalo, J. & Olmo, J., 2008.
"Testing Downside Risk Efficiency Under Market Distress,"
Working Papers
08/11, Department of Economics, City University London.
- Gonzalo, Jesús & Olmo, José, 2008. "Testing downside risk efficiency under market distress," UC3M Working papers. Economics we084321, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Millimet, Daniel & Wang, Le, 2005. "Is the Quantity-Quality Trade-off Really a Trade-off for All?," Departmental Working Papers 0502, Southern Methodist University, Department of Economics.
- George Milunovich & Susan Thorp, 2005.
"Valuing Volatility Spillovers,"
International Finance
0506008, University Library of Munich, Germany.
- George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
- Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
- Néstor Gandelman, 2005.
"Community tax evasion models: A stochastic dominance test,"
Journal of Applied Economics, Universidad del CEMA, vol. 8, pages 279-297, November.
- Gandelman, Nestor, 2005. "Community Tax Evasion Models: A Stochastic Dominance Test," Journal of Applied Economics, Universidad del CEMA, vol. 8(2), pages 1-19, November.
- Néstor Gandelman, 2005. "Community Tax Evasion Models: A Stochastic Dominance Test," Journal of Applied Economics, Taylor & Francis Journals, vol. 8(2), pages 279-297, November.
- Gordon Anderson, 2008. "The empirical assessment of multidimensional welfare, inequality and poverty: Sample weighted multivariate generalizations of the Kolmogorov–Smirnov two sample tests for stochastic dominance," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 6(1), pages 73-87, March.
- Ozkan Eren & Daniel Millimet, 2007.
"Time to learn? The organizational structure of schools and student achievement,"
Empirical Economics, Springer, vol. 32(2), pages 301-332, May.
- Eren, Ozkan & Millimet, Daniel, 2005. "Time to Learn? The Organizational Structure of Schools and Student Achievement," Departmental Working Papers 0506, Southern Methodist University, Department of Economics.
- Ozkan Eren & Daniel L. Millimet, 2008. "Time to learn? The organizational structure of schools and student achievement," Studies in Empirical Economics, in: Christian Dustmann & Bernd Fitzenberger & Stephen Machin (ed.), The Economics of Education and Training, pages 47-78, Springer.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007.
"Stochastic Dominance Analysis of iShares,"
The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 89-101.
- Dominic Gasbarro & Wing-Keung Wong & J. Kenton Zumwalt, 2007. "Stochastic Dominance Analysis of iShares," Finance Working Papers 21919, East Asian Bureau of Economic Research.
- Maasoumi, Esfandiar & Millimet, Daniel & Sarkar, Dipanwita, 2005. "The Distribution of Returns to Marriage," Departmental Working Papers 0503, Southern Methodist University, Department of Economics.
- Suhejla Hoiti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2005.
"Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments,"
DEA Working Papers
14, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 522-554.
- Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
- Linton, Oliver & Whang, Yoon-Jae, 2002.
"Nonparametric estimation with aggregated data,"
LSE Research Online Documents on Economics
320, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Whang, Yoon-Jae, 2002. "Nonparametric Estimation With Aggregated Data," Econometric Theory, Cambridge University Press, vol. 18(2), pages 420-468, April.
- Linton, Oliver & Whang, Yoon-Jae, 2000. "Nonparametric estimation with aggregated data," LSE Research Online Documents on Economics 2092, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Yoon-Jae Whang, 2000. "Nonparametric Estimation with Aggregated Data," STICERD - Econometrics Paper Series 397, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Delaigle, Aurore & Meister, Alexander, 2007. "Nonparametric Regression Estimation in the Heteroscedastic Errors-in-Variables Problem," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1416-1426, December.
- Joel L. Horowitz, 2013. "Ill-posed inverse problems in economics," CeMMAP working papers CWP37/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Meister, Alexander, 2007. "Optimal convergence rates for density estimation from grouped data," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1091-1097, June.
- Carroll, Raymond J. & Delaigle, Aurore & Hall, Peter, 2009. "Nonparametric Prediction in Measurement Error Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 993-1003.
- Li, Tong & Hsiao, Cheng, 2004. "Robust estimation of generalized linear models with measurement errors," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 51-65.
- Felt, Marie-Hélène, 2020. "On the identification of joint distributions using marginals and aggregates," Economics Letters, Elsevier, vol. 194(C).
- Raymond J. Carroll & Aurore Delaigle & Peter Hall, 2007. "Non‐parametric regression estimation from data contaminated by a mixture of Berkson and classical errors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(5), pages 859-878, November.
- Xiaohong Chen & Yingyao Hu, 2006. "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors," Cowles Foundation Discussion Papers 1590, Cowles Foundation for Research in Economics, Yale University.
- Joel L. Horowitz, 2013. "Ill-posed inverse problems in economics," CeMMAP working papers 37/13, Institute for Fiscal Studies.
- Phuong, Cao Xuan & Thuy, Le Thi Hong, 2019. "Density deconvolution from grouped data with additive errors," Statistics & Probability Letters, Elsevier, vol. 148(C), pages 74-81.
- Marie-Hélène Felt, 2018. "A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions," Staff Working Papers 18-29, Bank of Canada.
- Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen, 2002.
"More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors,"
Cowles Foundation Discussion Papers
1375, Cowles Foundation for Research in Economics, Yale University.
- Carroll, Raymond J & Linton, Oliver & Mammen, Enno & Xiao, Zhijie, 2002. "More efficient kernel estimation in nonparametric regression with autocorrelated errors," LSE Research Online Documents on Economics 2017, London School of Economics and Political Science, LSE Library.
- Raymond J Carroll & Oliver Linton & Enno Mammen & Zhijie Xiao, 2002. "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," STICERD - Econometrics Paper Series 435, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.
- Sophie DABO-NIANG & Christian FRANCQ & Jean-Michel ZAKOIAN, 2009.
"Combining Nonparametric and Optimal Linear Time Series Predictions,"
Working Papers
2009-18, Center for Research in Economics and Statistics.
- Dabo-Niang, Sophie & Francq, Christian & Zakoïan, Jean-Michel, 2010. "Combining Nonparametric and Optimal Linear Time Series Predictions," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1554-1565.
- Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002.
"Estimation of semiparametric models when the criterion function is not smooth,"
CeMMAP working papers
CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series 450, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
Cited by:
- Saraswata Chaudhuriy & David T. Frazierz & Eric Renault, 2016. "Indirect Inference with Endogenously Missing Exogenous Variables," CIRANO Working Papers 2016s-15, CIRANO.
- Galvao, Antonio F. & Montes-Rojas, Gabriel, 2015. "On the equivalence of instrumental variables estimators for linear models," Economics Letters, Elsevier, vol. 134(C), pages 13-15.
- Chen, Songnian, 2018. "Sequential estimation of censored quantile regression models," Journal of Econometrics, Elsevier, vol. 207(1), pages 30-52.
- Horowitz, Joel L. & Lee, Sokbae, 2009.
"Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative,"
Journal of Econometrics, Elsevier, vol. 152(2), pages 141-152, October.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2007. "Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative," CeMMAP working papers CWP02/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Tae-Hwan Kim & Christophe Muller, 2020. "Inconsistency transmission and variance reduction in two-stage quantile regression," Post-Print hal-02084505, HAL.
- Xiaohong Chen & Demian Pouzo, 2009.
"Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals,"
CeMMAP working papers
CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP09/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers 1640R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
- Chen, Xiaohong & Pouzo, Demian, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Working Papers 38, Yale University, Department of Economics.
- Chen, Xiaohong & Pouzo, Demian, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," Journal of Econometrics, Elsevier, vol. 152(1), pages 46-60, September.
- Kyoo il Kim, 2006.
"Set Inference for Semiparametric Discrete Games,"
Labor Economics Working Papers
22454, East Asian Bureau of Economic Research.
- Kyoo il Kim, 2006. "Set Inference for Semiparametric Discrete Games," Working Papers 16-2006, Singapore Management University, School of Economics.
- Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2017.
"Double/Debiased Machine Learning for Treatment and Structural Parameters,"
NBER Working Papers
23564, National Bureau of Economic Research, Inc.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey & James Robins, 2017. "Double/debiased machine learning for treatment and structural parameters," CeMMAP working papers 28/17, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey & James Robins, 2017. "Double/debiased machine learning for treatment and structural parameters," CeMMAP working papers CWP28/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Todd, Petra E., 2007.
"Implementing Nonparametric and Semiparametric Estimators,"
Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74,
Elsevier.
- Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Pedro H. C. Sant'Anna & Jun B. Zhao, 2018.
"Doubly Robust Difference-in-Differences Estimators,"
Papers
1812.01723, arXiv.org, revised May 2020.
- Sant’Anna, Pedro H.C. & Zhao, Jun, 2020. "Doubly robust difference-in-differences estimators," Journal of Econometrics, Elsevier, vol. 219(1), pages 101-122.
- Luciano de Castro & Antonio F. Galvao & David M. Kaplan & Xin Liu, 2017.
"Smoothed GMM for quantile models,"
Papers
1707.03436, arXiv.org, revised Feb 2018.
- de Castro, Luciano & Galvao, Antonio F. & Kaplan, David M. & Liu, Xin, 2019. "Smoothed GMM for quantile models," Journal of Econometrics, Elsevier, vol. 213(1), pages 121-144.
- Luciano de Castro & Antonio F. Galvao & David M. Kaplan & Xin Liu, 2018. "Smoothed GMM for quantile models," Working Papers 1803, Department of Economics, University of Missouri.
- Dong, Yingying, 2010. "Endogenous regressor binary choice models without instruments, with an application to migration," Economics Letters, Elsevier, vol. 107(1), pages 33-35, April.
- de Castro, Luciano & Galvao, Antonio F. & Noussair, Charles N. & Qiao, Liang, 2022. "Do people maximize quantiles?," Games and Economic Behavior, Elsevier, vol. 132(C), pages 22-40.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016.
"Program evaluation and causal inference with high-dimensional data,"
CeMMAP working papers
13/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fern'andez-Val & Christian Hansen, 2013. "Program Evaluation and Causal Inference with High-Dimensional Data," Papers 1311.2645, arXiv.org, revised Jan 2018.
- A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016. "Program evaluation and causal inference with high-dimensional data," CeMMAP working papers CWP13/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Bernard Salanie, 2013.
"Higher-order properties of approximate estimators,"
CeMMAP working papers
45/13, Institute for Fiscal Studies.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
- Muller, Christophe, 2018.
"Heterogeneity and nonconstant effect in two-stage quantile regression,"
Econometrics and Statistics, Elsevier, vol. 8(C), pages 3-12.
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- Hyungsik Roger Moon & Matthew Shum & Martin Weidner, 2017. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 12/17, Institute for Fiscal Studies.
- Hyungsik Roger Roger Moon & Matthew Shum & Martin Weidner, 2012. "Estimation of random coefficients logit demand models with interactive fixed effects," CeMMAP working papers 08/12, Institute for Fiscal Studies.
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Econometric Theory, Cambridge University Press, vol. 26(5), pages 1529-1564, October.
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- Linton, Oliver & Xiao, Zhijie, 2001. "A nonparametric regression estimator that adapts to error distribution of unknown form," LSE Research Online Documents on Economics 2120, London School of Economics and Political Science, LSE Library.
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"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
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- Chaouch, Mohamed, 2019. "Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 129-148.
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"Estimating features of a distribution from binomial data,"
CeMMAP working papers
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- Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011. "Estimating features of a distribution from binomial data," Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
- Lewbel, Arthur & Linton, Oliver & McFadden, D. L., 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Daniel McFadden & Oliver Linton, 1997. "Estimating Features of a Distribution from Binomial Data," Boston College Working Papers in Economics 442, Boston College Department of Economics, revised 01 Jul 2010.
Cited by:
- Christian Bontemps & Thierry Magnac & Eric Maurin, 2012.
"Set Identified Linear Models,"
Econometrica, Econometric Society, vol. 80(3), pages 1129-1155, May.
- Bontemps, Christian & Magnac, Thierry & Maurin, Eric, 2009. "Set Identified Linear Models," TSE Working Papers 09-090, Toulouse School of Economics (TSE).
- Christian Bontemps & Thierry Magnac & Eric Maurin, 2012. "Set Identified Linear Models," Post-Print halshs-00754590, HAL.
- Bontemps, Christian & Magnac, Thierry & Maurin, Eric, 2007. "Set Identified Linear Models," IDEI Working Papers 494, Institut d'Économie Industrielle (IDEI), Toulouse.
- Christian Bontemps & Thierry Magnac & Eric Maurin, 2012. "Set Identified Linear Models," PSE-Ecole d'économie de Paris (Postprint) halshs-00754590, HAL.
- Christian Bontemps & Thierry Magnac & Eric Maurin, 2011. "Set identified linear models," CeMMAP working papers CWP13/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arthur Lewbel & Xun Tang, 2012.
"Identification and Estimation of Games with Incomplete Information Using Excluded Regressors,"
Boston College Working Papers in Economics
808, Boston College Department of Economics, revised 05 Mar 2013.
- Lewbel, Arthur & Tang, Xun, 2015. "Identification and estimation of games with incomplete information using excluded regressors," Journal of Econometrics, Elsevier, vol. 189(1), pages 229-244.
- Thierry Kalisa & Mary Riddel & W. Douglass Shaw, 2016. "Willingness to pay to avoid arsenic-related risks: a special regressor approach," Journal of Environmental Economics and Policy, Taylor & Francis Journals, vol. 5(2), pages 143-162, July.
- Magnac, Thierry & Maurin, Eric, 2007.
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Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
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- Magnac, Thierry & Maurin, Eric, 2003. "Identification and Information in Monotone Binary Models," IDEI Working Papers 180, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2004.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric estimation of homothetic and homothetically separable functions,"
CeMMAP working papers
CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Estimation of Homothetic and Homothetically Separable Functions," STICERD - Econometrics Paper Series 461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lewbel, Arthur & Linton, Oliver, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," LSE Research Online Documents on Economics 2066, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers 14/03, Institute for Fiscal Studies.
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"Investigating the distribution of the value of travel time savings,"
Transportation Research Part B: Methodological, Elsevier, vol. 40(8), pages 688-707, September.
- Mogens Fosgerau, 2004. "Investigating the distribution of the value of travel time savings," Urban/Regional 0410005, University Library of Munich, Germany, revised 25 Nov 2004.
- Mogens Fosgerau, 2004. "Investigating the distribution of the value of travel time savings," Urban/Regional 0411006, University Library of Munich, Germany.
- Yingying Dong & Arthur Lewbel & Thomas Tao Yang, 2012.
"Comparing Features of Convenient Estimators for Binary Choice Models With Endogenous Regressors,"
Boston College Working Papers in Economics
789, Boston College Department of Economics, revised 15 May 2012.
- Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(3), pages 809-829, August.
- Bo E. Honore & Arthur Lewbel, 1998.
"Semiparametric Binary Choice Panel Data Models without Strictly Exogeneous Regressors,"
Boston College Working Papers in Economics
455, Boston College Department of Economics, revised 22 Sep 2001.
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- Jones, Benjamin A. & Ripberger, Joseph & Jenkins-Smith, Hank & Silva, Carol, 2017. "Estimating willingness to pay for greenhouse gas emission reductions provided by hydropower using the contingent valuation method," Energy Policy, Elsevier, vol. 111(C), pages 362-370.
- Arthur Lewbel, 2006. "Modeling Heterogeneity," Boston College Working Papers in Economics 650, Boston College Department of Economics.
- Yingying Dong & Arthur Lewbel, 2012.
"A Simple Estimator for Binary Choice Models With Endogenous Regressors,"
Boston College Working Papers in Economics
807, Boston College Department of Economics.
- Yingying Dong & Arthur Lewbel, 2015. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
- Yingying Dong & Arthur Lewbel, 2004. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Boston College Working Papers in Economics 604, Boston College Department of Economics, revised 15 Jun 2012.
- Yingying Dong & Arthur Lewbel, 2012. "Simple Estimators for Binary Choice Models with Endogenous Regressors," Working Papers 111204, University of California-Irvine, Department of Economics.
- Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
- Mogens Fosgerau, 2014. "Nonparametric approaches to describing heterogeneity," Chapters, in: Stephane Hess & Andrew Daly (ed.), Handbook of Choice Modelling, chapter 11, pages 257-267, Edward Elgar Publishing.
- Arthur Lewbel, 2002. "Ordered Response Threshold Estimation," Boston College Working Papers in Economics 535, Boston College Department of Economics, revised 29 Oct 2003.
- Matzkin, Rosa L., 2012. "Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 166(1), pages 106-115.
- Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Viewpoint: Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 809-829, August.
- Lewbel, Arthur, 2007.
"Endogenous selection or treatment model estimation,"
Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
- Arthur Lewbel, 2000. "Endogenous Selection Or Treatment Model Estimation," Boston College Working Papers in Economics 462, Boston College Department of Economics, revised 13 Jun 2007.
- Kim, Sooil, 2006. "Bias and Efficiency of Uniform Bid Design in Contingent Valuation," 2006 Annual meeting, July 23-26, Long Beach, CA 21335, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Mogens Fosgerau, 2005.
"Specification Of A Model To Measure The Value Of Travel Time Savings From Binomial Data,"
Urban/Regional
0508008, University Library of Munich, Germany.
- Mogens Fosgerau, 2005. "Specification Of A Model To Measure - The Value Of Travel Time Savings From Binomial Data," ERSA conference papers ersa05p77, European Regional Science Association.
- Robert J. Johnston & Kevin J. Boyle & Wiktor (Vic) Adamowicz & Jeff Bennett & Roy Brouwer & Trudy Ann Cameron & W. Michael Hanemann & Nick Hanley & Mandy Ryan & Riccardo Scarpa & Roger Tourangeau & Ch, 2017. "Contemporary Guidance for Stated Preference Studies," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 4(2), pages 319-405.
- Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(4), pages 769-803, August.
- Bravo, Francesco & Escanciano, Juan Carlos & Van Keilegom, Ingrid, 2015. "Wilks' Phenomenon in Two-Step Semiparametric Empirical Likelihood Inference," LIDAM Discussion Papers ISBA 2015016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Fosgerau, Mogens & Hjort, Katrine & Vincent Lyk-Jensen, Stéphanie, 2007. "An approach to the estimation of the distribution of marginal valuations from discrete choice data," MPRA Paper 3907, University Library of Munich, Germany.
- Lewbel, Arthur, 2000.
"Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables,"
Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
- Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics.
- Arthur Lewbel, 2005. "Simple Endogenous Binary Choice and Selection Panel Model Estimators," Boston College Working Papers in Economics 613, Boston College Department of Economics, revised 04 Sep 2006.
- Daniel McFadden, 2008. "Semiparametric analysis (in Russian)," Quantile, Quantile, issue 5, pages 29-40, September.
- Arthur Lewbel, 2018.
"The Identification Zoo - Meanings of Identification in Econometrics,"
Boston College Working Papers in Economics
957, Boston College Department of Economics, revised 14 Dec 2019.
- Arthur Lewbel, 2019. "The Identification Zoo: Meanings of Identification in Econometrics," Journal of Economic Literature, American Economic Association, vol. 57(4), pages 835-903, December.
- Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions,"
Boston College Working Papers in Economics
585, Boston College Department of Economics, revised 04 Sep 2006.
- Arthur Lewbel & Oliver Linton, 2007. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Econometrica, Econometric Society, vol. 75(4), pages 1209-1227, July.
- Arthur Lewbel & Xun Tang, 2010. "Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version," PIER Working Paper Archive 12-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 20 Mar 2012.
- Jones, Benjamin A. & Berrens, Robert P. & Jenkins-Smith, Hank & Silva, Carol & Ripberger, Joe & Carlson, Deven & Gupta, Kuhika & Wehde, Wesley, 2018. "In search of an inclusive approach: Measuring non-market values for the effects of complex dam, hydroelectric and river system operations," Energy Economics, Elsevier, vol. 69(C), pages 225-236.
- Linton, Oliver B. & Perch Nielsen, Jens & Van de Geer, Sara, 2001.
"Estimating Multiplicative and Additive Hazard Functions by Kernel Methods,"
Finance Working Papers
01-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Linton, Oliver & Perch Nielsen, Jens & van de Geer, Sara, 2001. "Estimating multiplicative and additive hazard functions by kernel methods," LSE Research Online Documents on Economics 2168, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Jens Perch Nielsen & Sara van de Geer, 2001. "Estimating Multiplicative and Additive Hazard Functions by Kernel Methods," STICERD - Econometrics Paper Series 411, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 403-423, September.
- Linton, Oliver & Xiao, Zhijie, 2001.
"Second-order approximation for adaptive regression estimators,"
LSE Research Online Documents on Economics
317, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Xiao, Zhijie, 2001. "Second-Order Approximation For Adaptive Regression Estimators," Econometric Theory, Cambridge University Press, vol. 17(5), pages 984-1024, October.
Cited by:
- Hidehiko Ichimura & Oliver Linton, 2003.
"Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators,"
STICERD - Econometrics Paper Series
451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers CWP04/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers 04/01, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
- Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2012.
"Optimal inference for instrumental variables regression with non-Gaussian errors,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 1-15.
- Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, Department of Economics and Business Economics, Aarhus University.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022.
"Dynamic Autoregressive Liquidity (DArLiQ),"
LIDAM Discussion Papers LFIN
2022002, Université catholique de Louvain, Louvain Finance (LFIN).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Cambridge Working Papers in Economics 2214, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Wang, Linqi, 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," LIDAM Discussion Papers ISBA 2022009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. M., 2022. "Dynamic Autoregressive Liquidity (DArLiQ)," Janeway Institute Working Papers 2206, Faculty of Economics, University of Cambridge.
- Tamaki, Kenichiro, 2007. "Second order optimality for estimators in time series regression models," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 638-659, March.
- Hidehiko Ichimura & Oliver Linton, 2001.
"Asymptotic expansions for some semiparametric program evaluation estimators,"
CeMMAP working papers
CWP04/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers 04/01, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
- Hidehiko Ichimura & Oliver Linton, 2003. "Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators," STICERD - Econometrics Paper Series 451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Toru Kitagawa & Chris Muris, 2015.
"Model averaging in semiparametric estimation of treatment effects,"
CeMMAP working papers
CWP46/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Toru Kitagawa & Chris Muris, 2015. "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers 46/15, Institute for Fiscal Studies.
- Kitagawa, Toru & Muris, Chris, 2016. "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, vol. 193(1), pages 271-289.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018.
"High dimensional semiparametric moment restriction models,"
CeMMAP working papers
CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Annette Bergemann & Bernd Fitzenberger & Stefan Speckesser, 2009.
"Evaluating the dynamic employment effects of training programs in East Germany using conditional difference-in-differences,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 797-823.
- Speckesser, Stefan & Fitzenberger, Bernd & Bergemann, Annette, 2004. "Evaluating the Dynamic Employment Effects of Training Programs in East Germany Using Conditional Difference-in-Differences," ZEW Discussion Papers 04-41, ZEW - Leibniz Centre for European Economic Research.
- Bergemann, Annette & Fitzenberger, Bernd & Speckesser, Stefan, 2005. "Evaluating the Dynamic Employment Effects of Training Programs in East Germany Using Conditional Difference-in-Differences," IZA Discussion Papers 1848, Institute of Labor Economics (IZA).
- Alberto Abadie & Guido W. Imbens, 2002. "Simple and Bias-Corrected Matching Estimators for Average Treatment Effects," NBER Technical Working Papers 0283, National Bureau of Economic Research, Inc.
- Fitzenberger, Bernd & Speckesser, Stefan, 2005.
"Employment Effects of the Provision of Specific Professional Skills and Techniques in Germany,"
ZEW Discussion Papers
05-77, ZEW - Leibniz Centre for European Economic Research.
- Fitzenberger, Bernd & Speckesser, Stefan, 2005. "Employment effects of the provision of specific professional skills and techniques in Germany," IAB-Discussion Paper 200521, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Bernd Fitzenberger & Stefan Speckesser, 2007. "Employment effects of the provision of specific professional skills and techniques in Germany," Empirical Economics, Springer, vol. 32(2), pages 529-573, May.
- Fitzenberger, Bernd & Speckesser, Stefan, 2005. "Employment Effects of the Provision of Specific Professional Skills and Techniques in Germany," IZA Discussion Papers 1868, Institute of Labor Economics (IZA).
- Bernd Fitzenberger & Aderonke Osikominu & Robert Völter, 2008.
"Get Training or Wait? Long-Run Employment Effects of Training Programs for the Unemployed in West Germany,"
Annals of Economics and Statistics, GENES, issue 91-92, pages 321-355.
- Fitzenberger, Bernd & Osikominu, Aderonke & Völter, Robert, 2006. "Get Training or Wait? Long-Run Employment Effects of Training Programs for the Unemployed in West Germany," IZA Discussion Papers 2121, Institute of Labor Economics (IZA).
- Fitzenberger, Bernd & Osikominu, Aderonke & Völter, Robert, 2006. "Get training or wait? : long-run employment effects of training programs for the unemployed in West Germany," IAB-Discussion Paper 200617, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Osikominu, Aderonke & Fitzenberger, Bernd & Völter, Robert, 2006. "Get Training or Wait? Long-Run Employment Effects of Training Programs for the Unemployed in West Germany," ZEW Discussion Papers 06-039, ZEW - Leibniz Centre for European Economic Research.
- Völter, Robert & Osikominu, Aderonke & Fitzenberger, Bernd, 2007. "Get Training or Wait? Long-Run Employment Effects of Training Programs for the Unemployed in West Germany," ZEW Discussion Papers 06-039 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Michael Lechner, 2004.
"Sequential Matching Estimation of Dynamic Causal Models,"
University of St. Gallen Department of Economics working paper series 2004
2004-06, Department of Economics, University of St. Gallen.
- Lechner, Michael, 2004. "Sequential Matching Estimation of Dynamic Causal Models," IZA Discussion Papers 1042, Institute of Labor Economics (IZA).
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023.
"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Toru Kitagawa & Chris Muris, 2013.
"Covariate selection and model averaging in semiparametric estimation of treatment effects,"
CeMMAP working papers
61/13, Institute for Fiscal Studies.
- Toru Kitagawa & Chris Muris, 2013. "Covariate selection and model averaging in semiparametric estimation of treatment effects," CeMMAP working papers CWP61/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Galdo, Jose C. & Smith, Jeffrey A. & Black, Dan A., 2007.
"Bandwidth Selection and the Estimation of Treatment Effects with Unbalanced Data,"
IZA Discussion Papers
3095, Institute of Labor Economics (IZA).
- Jose C. Galdo & Jeffrey Smith & Dan Black, 2008. "Bandwidth Selection and the Estimation of Treatment Effects with Unbalanced Data," Annals of Economics and Statistics, GENES, issue 91-92, pages 189-216.
- Biewen, Martin & Fitzenberger, Bernd & Osikominu, Aderonke & Waller, Marie, 2007.
"Which Program for Whom? Evidence on the Comparative Effectiveness of Public Sponsored Training Programs in Germany,"
ZEW Discussion Papers
07-042, ZEW - Leibniz Centre for European Economic Research.
- Biewen, Martin & Fitzenberger, Bernd & Osikominu, Aderonke & Waller, Marie, 2007. "Which Program for Whom? Evidence on the Comparative Effectiveness of Public Sponsored Training Programs in Germany," IZA Discussion Papers 2885, Institute of Labor Economics (IZA).
- Millimet, Daniel L. & Tchernis, Rusty, 2009.
"On the Specification of Propensity Scores, With Applications to the Analysis of Trade Policies,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 397-415.
- Daniel Millimet & Rusty Tchernis, 2006. "On the Specification of Propensity Scores: with Applications to the Analysis of Trade Policies," CAEPR Working Papers 2006-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, revised Jan 2008.
- Chen, Xiaohong & Linton, Oliver & Robinson, Peter, 2001.
"The estimation of conditional densities,"
LSE Research Online Documents on Economics
2312, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Oliver Linton & Peter M Robinson, 2001. "The Estimation of Conditional Densities," STICERD - Econometrics Paper Series 415, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Jan G. de Gooijer & Dawit Zerom, 2002.
"On Conditional Density Estimation,"
Tinbergen Institute Discussion Papers
02-032/4, Tinbergen Institute.
- Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176, May.
- Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021.
"Rates of expansions for functional estimators,"
LSE Research Online Documents on Economics
113436, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
- Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011. "Multivariate density estimation using dimension reducing information and tail flattening transformations," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
- Kateřina Konečná & Ivanka Horová, 2019. "Maximum likelihood method for bandwidth selection in kernel conditional density estimate," Computational Statistics, Springer, vol. 34(4), pages 1871-1887, December.
- Mercedes Esteban-Bravo & Jose M. Vidal-Sanz & Gökhan Yildirim, 2014.
"Valuing Customer Portfolios with Endogenous Mass and Direct Marketing Interventions Using a Stochastic Dynamic Programming Decomposition,"
Marketing Science, INFORMS, vol. 33(5), pages 621-640, September.
- Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M. & Yildirim, Gökhan, 2012. "Valuing customer portfolios with endogenous mass-and-direct-marketing interventions using a stochastic dynamic programming decomposition," DEE - Working Papers. Business Economics. WB wb121304, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Tindara Addabbo & Donata Favaro & Stefano Magrini, 2012. "Gender differences in productivity rewards: the role of human capital," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 59(1), pages 81-110, March.
- Donata Favaro & Stefano Magrini, 2005.
"Group versus individual discrimination among young workers: a distributional approach,"
Labor and Demography
0506003, University Library of Munich, Germany.
- Favaro, Donata & Magrini, Stefano, 2008. "Group versus individual discrimination among young workers: A distributional approach," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 37(5), pages 1856-1879, October.
- Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2012. "International market links and volatility transmission," Journal of Econometrics, Elsevier, vol. 170(1), pages 117-141.
- Tindara Addabbo & Donata Favaro & Stefano Magrini, 2010. "Gender differences in productivity rewards in Italy: the role of human capital," Working Papers 2010_11, Department of Economics, University of Venice "Ca' Foscari".
- Alejandro Quintela-Del-Río, 2008. "Hazard function given a functional variable: Non-parametric estimation under strong mixing conditions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(5), pages 413-430.
- Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
- Otneim, Håkon & Tjøstheim, Dag, 2016. "Non-parametric estimation of conditional densities: A new method," Discussion Papers 2016/22, Norwegian School of Economics, Department of Business and Management Science.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach,"
FMG Discussion Papers
dp382, Financial Markets Group.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004.
"Testing forward exchange rate unbiasedness efficiently: A semiparametric approach,"
Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 7(1), pages 325-353, May.
- Sima M. Fortsch & Jeong Hoon Choi & Elena A. Khapalova, 2022. "Competition can help predict sales," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 331-344, March.
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"Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions,"
Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 173-191,
Springer.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2005. "Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions," CIRANO Working Papers 2005s-03, CIRANO.
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"Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models,"
Discussion Paper
2015-001, Tilburg University, Center for Economic Research.
- Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Other publications TiSEM d1b040c9-db57-4e55-846f-4, Tilburg University, School of Economics and Management.
- Sakhanenko, Lyudmila, 2008. "Testing for ellipsoidal symmetry: A comparison study," Computational Statistics & Data Analysis, Elsevier, vol. 53(2), pages 565-581, December.
- Danilo Leal & Rodrigo Jiménez & Marco Riquelme & Víctor Leiva, 2023. "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale," Mathematics, MDPI, vol. 11(6), pages 1-27, March.
- Hodgson, Douglas J & Vorkink, Keith P, 2003.
"Efficient Estimation of Conditional Asset-Pricing Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
- Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004.
"Semiparametric multivariate volatility models,"
Papers
2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
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"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Sladana Babic & Laetitia Gelbgras & Marc Hallin & Christophe Ley, 2019. "Optimal tests for elliptical symmetry: specified and unspecified location," Working Papers ECARES 2019-26, ULB -- Universite Libre de Bruxelles.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper series
38_07, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
- Hailong Qian & Heather L. Bednarek, 2015. "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, vol. 35(1), pages 338-348.
- Taras Bodnar & Arjun K. Gupta & Valdemar Vitlinskyi & Taras Zabolotskyy, 2019. "Statistical Inference for the Beta Coefficient," Risks, MDPI, vol. 7(2), pages 1-14, May.
- Vitali Alexeev & Alex Maynard, 2010.
"Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks,"
Working Papers
1001, University of Guelph, Department of Economics and Finance.
- Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
- Peremans, Kris & Van Aelst, Stefan, 2018. "Robust inference for seemingly unrelated regression models," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 212-224.
- Asimit, Alexandru V. & Jones, Bruce L., 2007. "Extreme behavior of bivariate elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 53-61, July.
- Dawood Ashraf, 2016. "Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices," Journal of Business Ethics, Springer, vol. 134(2), pages 209-228, March.
- Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
- Vintilă Georgeta & Păunescu Radu Alin, 2015. "Econometric Tests of the CAPM Model for a Portfolio Composed of Companies Listed on Nasdaq and Dow Jones Components," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 453-480, November.
- Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
- Manuel Galea & David Cademartori & Roberto Curci & Alonso Molina, 2020. "Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution," JRFM, MDPI, vol. 13(6), pages 1-22, June.
- Zheyuan Zhang & Huiying Wu & Sammy Xiaoyan Ying & Jiaxing You, 2023. "Corporate Innovation and Disclosure Strategy," Abacus, Accounting Foundation, University of Sydney, vol. 59(1), pages 76-133, March.
- Guermat, Cherif & Freeman, Mark C., 2010. "A net beta test of asset pricing models," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 1-9, January.
- Mototsugu Shintani & Oliver Linton, 2001.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
Vanderbilt University Department of Economics Working Papers
0111, Vanderbilt University Department of Economics.
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group.
Cited by:
- Musselwhite, Gary & Herath, Gamini, 2007. "Chaos theory and assessment of forest stakeholder attitudes towards Australian forest policy," Forest Policy and Economics, Elsevier, vol. 9(8), pages 947-964, May.
- Tapas MISHRA & Mamata PARHI & Claude DIEBOLT, 2014.
"Evolutionary efficiency and distributive effects of inertia in cross-country life-satisfaction,"
Economies et Sociétés (Serie 'Histoire Economique Quantitative'), Association Française de Cliométrie (AFC), issue 49, pages 1335-1356, Août.
- Tapas Mishra & Mamata Parhi & Claude Diebolt, 2014. "Evolutionary efficiency and distributive effects of inertia in cross-country life-satisfaction," Post-Print hal-01741858, HAL.
- Tapas Mishra & Mamata Parhi & Claude Diebolt, 2014. "Evolutionary efficiency and distributive effects of inertia in cross-country life-satisfaction," Working Papers 06-14, Association Française de Cliométrie (AFC).
- Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
- Cars Hommes & Sebastiano Manzan, 2006. "Testing for Nonlinear Structure and Chaos in Economic Time. A Comment," Tinbergen Institute Discussion Papers 06-030/1, Tinbergen Institute.
- Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
- Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
- Shintani, Mototsugu, 2008.
"A dynamic factor approach to nonlinear stability analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Econometric Society 2004 Far Eastern Meetings 538, Econometric Society.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated".
"Testing Chaotic Dynamics via Lyapunov Exponents,"
Working Papers
2000-07, FEDEA.
- Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
- Sandubete, Julio E. & Escot, Lorenzo, 2020. "Chaotic signals inside some tick-by-tick financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Elena Olmedo & Ricardo Gimeno & Lorenzo Escot & Ruth Mateos, 2007. "Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 44(129), pages 91-108.
- Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
- Shintani, Mototsugu & Linton, Oliver, 2002.
"Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos,"
LSE Research Online Documents on Economics
2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
- Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
- Orzeszko, Witold, 2008. "The new method of measuring the effects of noise reduction in chaotic data," Chaos, Solitons & Fractals, Elsevier, vol. 38(5), pages 1355-1368.
- Mototsugu Shintani, 2002.
"A Nonparametric Measure of Convergence Toward Purchasing Power Parity,"
Vanderbilt University Department of Economics Working Papers
0219, Vanderbilt University Department of Economics, revised Jul 2004.
- Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604.
- Mototsugu Shintani, 2003. "A Nonparametric Measure of Convergence Toward Purchasing Power Parity," Levine's Working Paper Archive 506439000000000172, David K. Levine.
- Vitaliy Vandrovych, 2005. "Study of Nonlinearities in the Dynamics of Exchange Rates: Is There Any Evidence of Chaos?," Computing in Economics and Finance 2005 234, Society for Computational Economics.
- Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
- Hommes, C.H. & Manzan, S., 2005. "Testing for Nonlinear Structure and Chaos in Economic Time Series: A Comment," CeNDEF Working Papers 05-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Escot, Lorenzo & Sandubete, Julio E., 2023. "Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms," Applied Mathematics and Computation, Elsevier, vol. 436(C).
- Orlando Gomes, 2004.
"Heterogeneous Researchers in a Two-Sector Representative Consumer Economy,"
GE, Growth, Math methods
0409009, University Library of Munich, Germany.
- Gomes, Orlando, 2006. "Heterogeneous Researchers in a Two-Sector Representative Consumer Economy," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.
- Vogl, Markus, 2022. "Controversy in financial chaos research and nonlinear dynamics: A short literature review," Chaos, Solitons & Fractals, Elsevier, vol. 162(C).
- Mototsugu Shintani, 2006. "A nonparametric measure of convergence towards purchasing power parity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(5), pages 589-604, July.
- Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
- Serletis, Apostolos & Shahmoradi, Asghar & Serletis, Demitre, 2007. "Effect of noise on estimation of Lyapunov exponents from a time series," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 883-887.
- Pogany, Peter, 2010. "What’s wrong with the world? Rationality! A critique of economic anthropology in the spirit of Jean Gebser," MPRA Paper 26458, University Library of Munich, Germany.
- Tapas Mishra & Mamata Parhi & Raúl Fuentes, 2015. "How Interdependent are Cross-Country Happiness Dynamics?," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 122(2), pages 491-518, June.
- Linton, Oliver, 2000.
"Efficient estimation of generalized additive nonparametric regression models,"
LSE Research Online Documents on Economics
314, London School of Economics and Political Science, LSE Library.
- Linton, Oliver B., 2000. "Efficient Estimation Of Generalized Additive Nonparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 16(4), pages 502-523, August.
Cited by:
- Gayle, Wayne-Roy, 2013. "Identification and N-consistent estimation of a nonlinear panel data model with correlated unobserved effects," Journal of Econometrics, Elsevier, vol. 175(2), pages 71-83.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000.
"Yield Curve Estimation by Kernel Smoothing Methods,"
Econometric Society World Congress 2000 Contributed Papers
0235, Econometric Society.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
- Kalnina, Ilze & Linton, Oliver, 2007.
"Inference about realized volatility using infill subsampling,"
LSE Research Online Documents on Economics
4411, London School of Economics and Political Science, LSE Library.
- Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series 523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Arthur Lewbel & Krishna Pendakur, 2017.
"Unobserved Preference Heterogeneity in Demand Using Generalized Random Coefficients,"
Journal of Political Economy, University of Chicago Press, vol. 125(4), pages 1100-1148.
- Arthur Lewbel & Krishna Pendakur, 2015. "Unobserved Preference Heterogeneity in Demand Using Generalized Random Coefficients," Discussion Papers dp15-12, Department of Economics, Simon Fraser University.
- Arthur Lewbel & Krishna Pendakur, 2012. "Unobserved Preference Heterogeneity in Demand Using Generalized Random Coefficients," Boston College Working Papers in Economics 791, Boston College Department of Economics, revised 01 Jul 2013.
- Arthur Lewbel & Krishna Pendakur, 2015. "Unobserved Preference Heterogeneity in Demand Using Generalized Random Coefficients," Discussion Papers dp16-03, Department of Economics, Simon Fraser University.
- Enno Mammen & Oliver Linton, 2004.
"Estimating Semiparametric ARCH Models by Kernel Smoothing Methods,"
FMG Discussion Papers
dp511, Financial Markets Group.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Manzan, sebastiano & Zerom, Dawit, 2008. "A Semiparametric Analysis of Gasoline Demand in the US: Reexamining The Impact of Price," MPRA Paper 14386, University Library of Munich, Germany.
- Dong, C. & Li, S., 2021. "Specification Lasso and an Application in Financial Markets," Cambridge Working Papers in Economics 2139, Faculty of Economics, University of Cambridge.
- Azomahou, Theophile & Diene, Bity & Diene, Mbaye, 2009. "Technology frontier, labor productivity and economic growth: Evidence from OECD countries," MERIT Working Papers 2009-059, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
- Ben-Moshe, Dan & D’Haultfœuille, Xavier & Lewbel, Arthur, 2017. "Identification of additive and polynomial models of mismeasured regressors without instruments," Journal of Econometrics, Elsevier, vol. 200(2), pages 207-222.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 403-423, September.
- Ozabaci, Deniz & Henderson, Daniel J., 2014.
"Additive Kernel Estimates of Returns to Schooling,"
IZA Discussion Papers
8736, Institute of Labor Economics (IZA).
- Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
- Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
- Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
- Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
- Azomahou, Theophile & Diene, Bity & Diene, Mbaye, 2012. "Nonlinearities in productivity growth: A semi-parametric panel analysis," MERIT Working Papers 2012-046, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- Kim, Woocheol & Linton, Oliver, 2004.
"A local instrumental variable estimation method for generalized additive volatility models,"
LSE Research Online Documents on Economics
24758, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group.
- Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Barry K. Goodwin & Matthew T. Holt & Jeffrey P. Prestemon, 2021. "Semi-parametric models of spatial market integration," Empirical Economics, Springer, vol. 61(5), pages 2335-2361, November.
- Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998.
"Estimating Yield Curves by Kernel Smoothing Methods,"
Cowles Foundation Discussion Papers
1205, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
- O. Linton & E. Mammen, 2005.
"Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods,"
Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 58068, London School of Economics and Political Science, LSE Library.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Moral, Ignacio & Rodriguez-Poo, Juan M., 2004. "An efficient marginal integration estimator of a semiparametric additive modelling," Statistics & Probability Letters, Elsevier, vol. 69(4), pages 451-463, October.
- Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
- Théophile T. Azomahou & Bity Diene & Mbaye Diene, 2009. "Technology frontier, labor productivity and economic growth: Evidence from OECD countries," DEM Discussion Paper Series 09-19, Department of Economics at the University of Luxembourg.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
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"Nonparametric Censored and Truncated Regression,"
Boston College Working Papers in Economics
439, Boston College Department of Economics.
- Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
- Lewbel, Arthur & Linton, Oliver, 2000. "Nonparametric censored and truncated regression," LSE Research Online Documents on Economics 2060, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series 389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Econometric Society World Congress 2000 Contributed Papers 1237, Econometric Society.
Cited by:
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"Estimation of semiparametric models when the criterion function is not smooth,"
LSE Research Online Documents on Economics
2167, London School of Economics and Political Science, LSE Library.
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- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
- Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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"Frontier estimation in nonparametric location-scale models,"
Journal of Econometrics, Elsevier, vol. 178(P3), pages 456-470.
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- Florens, Jean-Pierre & Simar, Leopold & Van Keilegom, Ingrid, 2013. "Frontier estimation in nonparametric location-scale models," LIDAM Reprints ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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"Estimation of nonseparable models with censored dependent variables and endogenous regressors,"
LSE Research Online Documents on Economics
68678, London School of Economics and Political Science, LSE Library.
- Taisuke Otsu & Luke Taylor, 2014. "Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors," STICERD - Econometrics Paper Series 575, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Luke Taylor & Taisuke Otsu, 2019. "Estimation of nonseparable models with censored dependent variables and endogenous regressors," Econometric Reviews, Taylor & Francis Journals, vol. 38(1), pages 4-24, January.
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"Market Size and Pharmaceutical Innovation,"
IDEI Working Papers
670, Institut d'Économie Industrielle (IDEI), Toulouse, revised Mar 2014.
- Seabright, Paul & Scott Morton, Fiona & Dubois, Pierre & de Mouzon, Olivier, 2011. "Market Size and Pharmaceutical Innovation," CEPR Discussion Papers 8367, C.E.P.R. Discussion Papers.
- Dubois, Pierre & de Mouzon, Olivier & Scott Morton, Fiona & Seabright, Paul, 2011. "Market Size and Pharmaceutical Innovation," TSE Working Papers 11-232, Toulouse School of Economics (TSE), revised Mar 2014.
- Pierre Dubois & Olivier de Mouzon & Fiona Scott-Morton & Paul Seabright, 2015. "Market size and pharmaceutical innovation," RAND Journal of Economics, RAND Corporation, vol. 46(4), pages 844-871, October.
- Chrysovalantis Gaganis & Fotios Pasiouras & Menelaos Tasiou & Constantin Zopounidis, 2021.
"CISEF: A composite index of social, environmental and financial performance,"
Post-Print
hal-03113006, HAL.
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"Estimating Derivatives in Nonseparable Models with Limited Dependent Variables,"
Cowles Foundation Discussion Papers
1668R, Cowles Foundation for Research in Economics, Yale University, revised May 2011.
- Joseph Altonji & Hidehiko Ichimura & Taisuke Otsu, 2008. "Estimating derivatives in nonseparable models with limited dependent variables," CeMMAP working papers CWP20/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu, 2008. "Estimating Derivatives in Nonseparable Models with Limited Dependent Variables," NBER Working Papers 14161, National Bureau of Economic Research, Inc.
- Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu, 2008. "Estimating Derivatives in Nonseparable Models with Limited Dependent Variables," CIRJE F-Series CIRJE-F-574, CIRJE, Faculty of Economics, University of Tokyo.
- Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu, 2008. "Estimating Derivatives in Nonseparable Models with Limited Dependent Variables," Cowles Foundation Discussion Papers 1668, Cowles Foundation for Research in Economics, Yale University.
- Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu, 2012. "Estimating Derivatives in Nonseparable Models With Limited Dependent Variables," Econometrica, Econometric Society, vol. 80(4), pages 1701-1719, July.
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"A bias bound approach to nonparametric inference,"
CeMMAP working papers
CWP71/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach, 2015. "A bias bound approach to nonparametric inference," CeMMAP working papers 71/15, Institute for Fiscal Studies.
- Susanne M Schennach, 2020. "A Bias Bound Approach to Non-parametric Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(5), pages 2439-2472.
- Cizek, P., 2008.
"Semiparametric Robust Estimation of Truncated and Censored Regression Models,"
Other publications TiSEM
a6228ada-1ab5-47ee-9d23-4, Tilburg University, School of Economics and Management.
- Čížek, Pavel, 2012. "Semiparametric robust estimation of truncated and censored regression models," Journal of Econometrics, Elsevier, vol. 168(2), pages 347-366.
- Cizek, P., 2008. "Semiparametric Robust Estimation of Truncated and Censored Regression Models," Discussion Paper 2008-34, Tilburg University, Center for Economic Research.
- Sujica, Aleksandar & Van Keilegom, Ingrid, 2018. "The copula-graphic estimator in censored nonparametric location-scale regression models," Econometrics and Statistics, Elsevier, vol. 7(C), pages 89-114.
- Anastasia Semykina & Jeffrey M. Wooldridge, 2018.
"Binary response panel data models with sample selection and self‐selection,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 179-197, March.
- Anastasia Semykina & Jeffrey M. Wooldridge, 2015. "Binary Response Panel Data Models with Sample Selection and Self Selection," Working Papers wp2015_05_01, Department of Economics, Florida State University.
- Byeong U. Park & Leopold Simar & Valentin Zelenyuk, 2008.
"Local Likelihood Estimation of Truncated Regression and Its Partial Derivatives: Theory and Application,"
Discussion Papers
7, Kyiv School of Economics.
- Park, Byeong & Simar, Leopold & Zelenyuk, Valentin, 2006. "Local likelihood estimation of truncated regression and its partial derivatives: theory and application," MPRA Paper 34686, University Library of Munich, Germany.
- Park, Byeong U. & Simar, Léopold & Zelenyuk, Valentin, 2008. "Local likelihood estimation of truncated regression and its partial derivatives: Theory and application," Journal of Econometrics, Elsevier, vol. 146(1), pages 185-198, September.
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"Nonparametric estimation of the impact of taxes on female labor supply,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 415-439, April.
- Anil Kumar, 2005. "Nonparametric estimation of the impact of taxes on female labor supply," Working Papers 0505, Federal Reserve Bank of Dallas.
- Dahl, Christian M. & Effraimidis, Georgios & Pedersen, Mikkel H., 2019. "Nonparametric wind power forecasting under fixed and random censoring," Energy Economics, Elsevier, vol. 84(C).
- Chen, Songnian & Khan, Shakeeb, 2003. "Rates of convergence for estimating regression coefficients in heteroskedastic discrete response models," Journal of Econometrics, Elsevier, vol. 117(2), pages 245-278, December.
- Lu, Xuewen, 2010. "Asymptotic distributions of two "synthetic data" estimators for censored single-index models," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 999-1015, April.
- Chesher, Andrew, 2009. "Excess heterogeneity, endogeneity and index restrictions," Journal of Econometrics, Elsevier, vol. 152(1), pages 37-45, September.
- Karlsson, Maria & Cantoni, Eva & de Luna, Xavier, 2009. "Local polynomial regression with truncated or censored response," Working Paper Series 2009:25, IFAU - Institute for Evaluation of Labour Market and Education Policy.
- Ai, Chunrong & Li, Hongjun & Lin, Zhongjian & Meng, Meixia, 2015. "Estimation of panel data partly specified Tobit regression with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 316-326.
- Lu, Xuewen & Cheng, Tsung-Lin, 2007. "Randomly censored partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 98(10), pages 1895-1922, November.
- Matzkin, Rosa L., 2012. "Identification in nonparametric limited dependent variable models with simultaneity and unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 166(1), pages 106-115.
- Jinzhi Bu & David Simchi-Levi & Li Wang, 2023. "Offline Pricing and Demand Learning with Censored Data," Management Science, INFORMS, vol. 69(2), pages 885-903, February.
- Marcela Munizaga & Sergio Jara-Díaz & Paulina Greeven & Chandra Bhat, 2008. "Econometric Calibration of the Joint Time Assignment--Mode Choice Model," Transportation Science, INFORMS, vol. 42(2), pages 208-219, May.
- Maria Karlsson & Thomas Laitila, 2014. "Finite mixture modeling of censored regression models," Statistical Papers, Springer, vol. 55(3), pages 627-642, August.
- Oberhofer, Walter & Haupt, Harry, 2005. "Consistency of nonlinear regression quantiles under Type I censoring weak dependence and general covariate design," University of Regensburg Working Papers in Business, Economics and Management Information Systems 406, University of Regensburg, Department of Economics.
- Cao, Ricardo & Gonzalez-Manteiga, Wenceslao, 2008. "Goodness-of-fit tests for conditional models under censoring and truncation," Journal of Econometrics, Elsevier, vol. 143(1), pages 166-190, March.
- Jing Cheng & Dylan S. Small, 2021. "Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero," Biometrics, The International Biometric Society, vol. 77(4), pages 1187-1201, December.
- Elias Ould-Saïd & Mohamed Lemdani, 2006. "Asymptotic Properties of a Nonparametric Regression Function Estimator with Randomly Truncated Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(2), pages 357-378, June.
- Rodriguez Poo, Juan M. & Sperlich, Stefan & Vieu, Philippe, 2000. "Semiparametric estimation of weak and strong separable models," DES - Working Papers. Statistics and Econometrics. WS 10064, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Feve, Frederique & Florens, Jean-Pierre & Van Keilegom, Ingrid, 2012. "Estimation of conditional ranks and tests of exogeneity in nonparametric nonseparable models," LIDAM Discussion Papers ISBA 2012036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
- Efang Kong & Oliver Linton & Yingcun Xia, 2011.
"Global Bahadur representation for nonparametric censored regression quantiles and its applications,"
CeMMAP working papers
CWP33/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013. "Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications," Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
- Koul, Hira L. & Song, Weixing & Liu, Shan, 2014. "Model checking in Tobit regression via nonparametric smoothing," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 36-49.
- Moral-Arce, Ignacio & Rodríguez-Póo, Juan M. & Sperlich, Stefan, 2011. "Low dimensional semiparametric estimation in a censored regression model," Journal of Multivariate Analysis, Elsevier, vol. 102(1), pages 118-129, January.
- Linton, Oliver, 2000.
"Edgeworth approximations for semiparametric instrumental variable estimators and test statistics,"
LSE Research Online Documents on Economics
2156, London School of Economics and Political Science, LSE Library.
- Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
- Oliver Linton, 2000. "Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics," STICERD - Econometrics Paper Series 399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Marine Carrasco & Rachidi Kotchoni, 2013.
"Efficient estimation using the Characteristic Function,"
CIRANO Working Papers
2013s-22, CIRANO.
- Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient Estimation Using the Characteristic Function," Working Papers hal-00867850, HAL.
- Carrasco, Marine & Kotchoni, Rachidi, 2017. "Efficient Estimation Using The Characteristic Function," Econometric Theory, Cambridge University Press, vol. 33(2), pages 479-526, April.
- Marine Carrasco & Rachidi Kotchoni, 2017. "Efficient Estimation Using the Characteristic Function," Post-Print hal-01386060, HAL.
- Kundhi, Gubhinder & Rilstone, Paul, 2012. "Edgeworth expansions for GEL estimators," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 118-146.
- Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
- Chen, Songnian & Zhang, Hanghui, 2015. "Binary quantile regression with local polynomial smoothing," Journal of Econometrics, Elsevier, vol. 189(1), pages 24-40.
- Matsushita, Yukitoshi & Otsu, Taisuke, 2020. "Likelihood inference on semiparametric models with generated regressors," LSE Research Online Documents on Economics 102696, London School of Economics and Political Science, LSE Library.
- Paul Rilstone, 2021. "Higher-Order Stochastic Expansions and Approximate Moments for Non-linear Models with Heterogeneous Observations," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 99-120, December.
- Juan Carlos Escanciano, 2010. "The Integrated Instrumental Variables Estimator: Exploiting Nonlinearities for Identification of Linear Models," CAEPR Working Papers 2010-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000.
"Yield Curve Estimation by Kernel Smoothing Methods,"
Econometric Society World Congress 2000 Contributed Papers
0235, Econometric Society.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
Cited by:
- David Bolder & Scott Gusba, 2002. "Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada," Staff Working Papers 02-29, Bank of Canada.
- Enno Mammen & Oliver Linton, 2004.
"Estimating Semiparametric ARCH Models by Kernel Smoothing Methods,"
FMG Discussion Papers
dp511, Financial Markets Group.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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"Bayesian extensions to diebold-li term structure model,"
Insper Working Papers
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- Yan Liu & Jing Cynthia Wu, 2020.
"Reconstructing the Yield Curve,"
NBER Working Papers
27266, National Bureau of Economic Research, Inc.
- Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Andreasen, Martin M. & Christensen, Bent Jesper, 2015. "The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models," Journal of Econometrics, Elsevier, vol. 184(2), pages 420-451.
- Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu, 2018. "Estimating Chinese Treasury yield curves with Bayesian smoothing splines," Econometrics and Statistics, Elsevier, vol. 8(C), pages 94-124.
- Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2014. "Dynamics of the term structure of interest rates and monetary policy: is monetary policy effective during zero interest rate policy?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(3), pages 546-572, March.
- Severini, Thomas A. & Tripathi, Gautam, 2006.
"Some Identification Issues In Nonparametric Linear Models With Endogenous Regressors,"
Econometric Theory, Cambridge University Press, vol. 22(2), pages 258-278, April.
- Thomas A. Severini & Gautam Tripathi, 2005. "Some Identification Issues in Nonparametric Linear Models with Endogenous Regressors," Working papers 2005-12, University of Connecticut, Department of Economics.
- Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014.
"A Nonparametric Method For Term Structure Fitting With Automatic Smoothing,"
HSE Working papers
WP BRP 39/FE/2014, National Research University Higher School of Economics.
- Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
- Lorenčič Eva, 2016. "Testing the Performance of Cubic Splines and Nelson-Siegel Model for Estimating the Zero-coupon Yield Curve," Naše gospodarstvo/Our economy, Sciendo, vol. 62(2), pages 42-50, June.
- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2001.
"Flexible Term Structure Estimation: Which Method Is Preferred?,"
Yale School of Management Working Papers
ysm171, Yale School of Management, revised 01 Oct 2001.
- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method Is Preferred?," Yale School of Management Working Papers ysm171, Yale School of Management, revised 01 Oct 2001.
- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006. "Flexible Term Structure Estimation: Which Method is Preferred?," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(1), pages 99-122, February.
- Oliver Linton & Andrew Jeffrey & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method is Preferred?," FMG Discussion Papers dp385, Financial Markets Group.
- Dennis Schroers, 2024. "Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions," Papers 2401.16286, arXiv.org.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Ivailo Arsov & Matthew Brooks & Mitch Kosev, 2013. "New Measures of Australian Corporate Credit Spreads," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 15-26, December.
- Tatyana Krivobokova & Göran Kauermann & Theofanis Archontakis, 2006. "Estimating the term structure of interest rates using penalized splines," Statistical Papers, Springer, vol. 47(3), pages 443-459, June.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Cai, Junyang & Zhou, Jian, 2022. "How many asymptomatic cases were unconfirmed in the US COVID-19 pandemic? The evidence from a serological survey," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
- Michiel De Pooter, 2007. "Examining the Nelson-Siegel Class of Term Structure Models," Tinbergen Institute Discussion Papers 07-043/4, Tinbergen Institute.
- Hiroyuki Kawakatsu, 2020. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors," Stats, MDPI, vol. 3(3), pages 1-46, August.
- Oliver Linton & Gregory Connor, 2000.
"Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns,"
FMG Discussion Papers
dp346, Financial Markets Group.
Cited by:
- Matthias Fengler & Wolfgang Härdle & Enno Mammen, 2005. "A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics," SFB 649 Discussion Papers SFB649DP2005-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nielsen, Jens P. & Linton, Oliver & Bickel, Peter J., 1998.
"On a semiparametric survival model with flexible covariate effect,"
LSE Research Online Documents on Economics
301, London School of Economics and Political Science, LSE Library.
Cited by:
- van den Berg, Gerard. J. & Janys, Lena & Mammen, Enno & Nielsen, Jens Perch, 2021. "A general semiparametric approach to inference with marker-dependent hazard rate models," Journal of Econometrics, Elsevier, vol. 221(1), pages 43-67.
- Xuewen Lu & Jie Sun & Yongcheng Qi, 2008. "Empirical likelihood for average derivatives of hazard regression functions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(1), pages 93-112, January.
- Lu, Xuewen, 2010. "Asymptotic distributions of two "synthetic data" estimators for censored single-index models," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 999-1015, April.
- Tang, Xingyu & Li, Jianbo & Lian, Heng, 2013. "Empirical likelihood for partially linear proportional hazards models with growing dimensions," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 22-32.
- Spierdijk, Laura, 2008. "Nonparametric conditional hazard rate estimation: A local linear approach," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2419-2434, January.
- Li, Jianbo & Zhang, Riquan, 2011. "Partially varying coefficient single index proportional hazards regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 389-400, January.
- Sun, Jie & Kopciuk, Karen A. & Lu, Xuewen, 2008. "Polynomial spline estimation of partially linear single-index proportional hazards regression models," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 176-188, September.
- Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998.
"Estimating Yield Curves by Kernel Smoothing Methods,"
Cowles Foundation Discussion Papers
1205, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation for Research in Economics, Yale University.
- Sperlich, Stefan & Hardle, Wolfgang & Linton, Oliver, 1998.
"Integration and Backfitting methods in additive models: finite sample properties and comparison,"
DES - Working Papers. Statistics and Econometrics. WS
6270, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999. "Integration and backfitting methods in additive models-finite sample properties and comparison," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
Cited by:
- Sukjin Han, 2012.
"Nonparametric Estimation of Triangular Simultaneous Equations Models under Weak Identification,"
Department of Economics Working Papers
140414, The University of Texas at Austin, Department of Economics, revised Apr 2014.
- Sukjin Han, 2020. "Nonparametric estimation of triangular simultaneous equations models under weak identification," Quantitative Economics, Econometric Society, vol. 11(1), pages 161-202, January.
- Graciela Boente & Alejandra Martínez, 2017. "Marginal integration M-estimators for additive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 231-260, June.
- Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
- Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
- Berthold R. Haag, 2008. "Non‐parametric Regression Tests Using Dimension Reduction Techniques," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 719-738, December.
- Grasshoff, Ulrike & Schwalbach, Joachim & Sperlich, Stefan, 1999. "Executive pay and corporate financial performance. An exploratiove data analysis," DES - Working Papers. Statistics and Econometrics. WS 6382, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
- Guo, Zheng-Feng & Shintani, Mototsugu, 2011. "Nonparametric lag selection for nonlinear additive autoregressive models," Economics Letters, Elsevier, vol. 111(2), pages 131-134, May.
- Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2014. "Testing for additivity in partially linear regression with possibly missing responses," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 51-61.
- Graciela Boente & Alejandra Martínez & Matías Salibián-Barrera, 2017. "Robust estimators for additive models using backfitting," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 744-767, October.
- Rodriguez Poo, Juan M. & Sperlich, Stefan & Vieu, Philippe, 2000. "Semiparametric estimation of weak and strong separable models," DES - Working Papers. Statistics and Econometrics. WS 10064, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
- Martins-Filho, Carlos & yang, ke, 2007. "Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion," MPRA Paper 39295, University Library of Munich, Germany.
- Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
- Fernández, Ana I. & Rodríguez-Póo, Juan M. & Sperlich, Stefan, 1998.
"Semiparametric three step estimation methods in labor supply models,"
SFB 373 Discussion Papers
1998,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rodríguez-Póo, Juan M. & Sperlich, Stefan & Fernández, Ana I., 1999. "Semiparametric three step estimation methods in labor supply models," DES - Working Papers. Statistics and Econometrics. WS 6379, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yang, Lijian & Sperlich, Stefan & Hardle, Wolfgang, 2000. "Derivative estimation and testing in generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10084, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2004.
"Bootstrap Inference In Semiparametric Generalized Additive Models,"
Econometric Theory, Cambridge University Press, vol. 20(2), pages 265-300, April.
- Hardle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2000. "Bootstrap inference in semiparametric generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10079, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2001. "Bootstrap Inference in Semiparametric Generalized Additive Models," Finance Working Papers 01-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Michael Scholz & Stefan Sperlich & Jens Perch Nielsen, 2012. "Nonparametric prediction of stock returns with generated bond yields," Graz Economics Papers 2012-10, University of Graz, Department of Economics.
- Su, Liangjun & Ullah, Aman, 2008. "Local polynomial estimation of nonparametric simultaneous equations models," Journal of Econometrics, Elsevier, vol. 144(1), pages 193-218, May.
- Jing Dai & Stefan Sperlich & Walter Zucchini, 2011. "Estimating and predicting the distribution of the number of visits to the medical doctor," MAGKS Papers on Economics 201148, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Wolfgang Karl Hardle & Elena Silyakova, 2020. "Implied Basket Correlation Dynamics," Papers 2009.09770, arXiv.org.
- Arthur Lewbel & Linton, Oliver Linton, 1998.
"Nonparametric Censored Regression,"
Cowles Foundation Discussion Papers
1186, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Richard W. Blundell & James L. Powell, 2004.
"Endogeneity in Semiparametric Binary Response Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(3), pages 655-679.
- Richard Blundell & James L. Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers 05/01, Institute for Fiscal Studies.
- Richard Blundell & James L. Powell, 2001. "Endogeneity in semiparametric binary response models," CeMMAP working papers CWP05/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Songnian & Khan, Shakeeb, 2000. "Estimating censored regression models in the presence of nonparametric multiplicative heteroskedasticity," Journal of Econometrics, Elsevier, vol. 98(2), pages 283-316, October.
- Richard W. Blundell & James L. Powell, 2004.
"Endogeneity in Semiparametric Binary Response Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(3), pages 655-679.
- Oliver Linton & E. Mammen & J. Nielsen, 1997.
"The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions,"
Cowles Foundation Discussion Papers
1160, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Mammen, E. & Nielsen, J., 1999. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 300, London School of Economics and Political Science, LSE Library.
- Mammen, Enno & Linton, Oliver & Nielsen, J, 2000. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 2315, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series 386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
Cited by:
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Horowitz, Joel L., 2004. "Semiparametric models," Papers 2004,17, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Wang, Li & Wang, Suojin, 2011. "Nonparametric additive model-assisted estimation for survey data," Journal of Multivariate Analysis, Elsevier, vol. 102(7), pages 1126-1140, August.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000.
"Yield Curve Estimation by Kernel Smoothing Methods,"
Econometric Society World Congress 2000 Contributed Papers
0235, Econometric Society.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Lee, Kyeongeun & Lee, Young K. & Park, Byeong U. & Yang, Seong J., 2018. "Time-dynamic varying coefficient models for longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 123(C), pages 50-65.
- Oliver Linton & Gregory Connor, 2000. "Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns," FMG Discussion Papers dp346, Financial Markets Group.
- Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers CWP20/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Song, Qiongxia & Yang, Lijian, 2010. "Oracally efficient spline smoothing of nonlinear additive autoregression models with simultaneous confidence band," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2008-2025, October.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2012. "Generated Covariates in Nonparametric Estimation: A Short Review," SFB 649 Discussion Papers SFB649DP2012-042, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006.
"Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration,"
Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
- Lijian Yang & Byeong U. Park & Lan Xue & Wolfgang Härdle, 2005. "Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration," SFB 649 Discussion Papers SFB649DP2005-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yang, Lijian & Härdle, Wolfgang & Park, Byeong U., 2002. "Estimation and testing for varying coefficients in additive models with marginal integration," SFB 373 Discussion Papers 2002,75, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
- Fengler, M.R. & Mammen, E. & Vogt, M., 2015. "Specification and structural break tests for additive models with applications to realized variance data," Journal of Econometrics, Elsevier, vol. 188(1), pages 196-218.
- Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014.
"Semiparametric methods in nonlinear time series analysis: a selective review,"
Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
- Patrick Saart & Jiti Gao, 2012. "Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review," Monash Econometrics and Business Statistics Working Papers 21/12, Monash University, Department of Econometrics and Business Statistics.
- Vanhems, Anne & Van Keilegom, Ingrid, 2013. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2013018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gao, Jiti & Lu, Zudi & Tjostheim, Dag, 2003.
"Estimation in semiparametric spatial regression,"
MPRA Paper
11979, University Library of Munich, Germany, revised Jul 2005.
- Gao, Jiti & Lu, Zudi & Tjostheim, Dag, 2003. "Estimation in semiparametric spatial regression," MPRA Paper 11971, University Library of Munich, Germany.
- Linton, Oliver B. & Mammen, Enno, 2008.
"Nonparametric transformation to white noise,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
- Raouf, BOUCEKKINE & Bity, DIENE & Théophile, AZOMAHOU, 2007.
"A closer look at the relationship between life expectancy and economic growth,"
Discussion Papers (ECON - Département des Sciences Economiques)
2007043, Université catholique de Louvain, Département des Sciences Economiques.
- Théophile T. Azomahou & Raouf Boucekkine & Bity Diene, 2009. "A closer look at the relationship between life expectancy and economic growth," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(2), pages 201-244, June.
- Raouf Boucekkine & Bity Diene & Theophile Azomahou, 2007. "A closer look at the relationship between life expectancy and economic growth," Working Papers 2007_24, Business School - Economics, University of Glasgow.
- Azomahou, Théophile & Boucekkine, Raouf & Diene, Bity, 2008. "A Closer Look at the Relationship Between Life Expectancy and Economic Growth," MERIT Working Papers 2008-027, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
- AZOMAHOU, Théophile T. & BOUCEKKINE, Raouf & DIENE, Bity, 2009. "A closer look at the relationship between life expectancy and economic growth," LIDAM Reprints CORE 2115, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peroni, Chiara, 2007.
"A non-parametric investigation of risk premia,"
MPRA Paper
5126, University Library of Munich, Germany, revised 01 Dec 2007.
- Peroni Chiara, 2009. "A Non-Parametric Investigation of Risk Premia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-52, September.
- Peroni, Chiara, 2008. "A non-parametric investigation of risk premia," MPRA Paper 15010, University Library of Munich, Germany, revised 15 Apr 2009.
- Hao Dong & Taisuke Otsu, 2018.
"Nonparametric Estimation of Additive Model With Errors-in-Variables,"
Departmental Working Papers
1812, Southern Methodist University, Department of Economics.
- Hao Dong & Taisuke Otsu, 2018. "Nonparametric Estimation of Additive Model with Errors-in-Variables," STICERD - Econometrics Paper Series 600, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
- Wolfgang Haerdle & Oliver Linton & Qihua Wang, 2003.
"Semiparametric Regression Analysis under Imputation for Missing Response Data,"
STICERD - Econometrics Paper Series
454, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Wang, Qihua & Härdle, Wolfgang & Linton, Oliver, 2002. "Semiparametric regression analysis under imputation for missing response data," SFB 373 Discussion Papers 2002,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hardle, Wolfgang & Linton, Oliver & Wang, Qihua, 2003. "Semiparametric regression analysis under imputation for missing response data," LSE Research Online Documents on Economics 2206, London School of Economics and Political Science, LSE Library.
- Suphi Sen & Bertrand Melenberg & Herman R. J. Vollebergh, 2016. "Identification and Estimation of the Environmental Kuznets Curve: Pairwise Differencing to Deal with Nonlinearity and Nonstationarity," CESifo Working Paper Series 5837, CESifo.
- Peter Malec, 2016. "A Semiparametric Intraday GARCH Model," Cambridge Working Papers in Economics 1633, Faculty of Economics, University of Cambridge.
- Rüdiger Krause & Gerhard Tutz, 2006. "Genetic algorithms for the selection of smoothing parameters in additive models," Computational Statistics, Springer, vol. 21(1), pages 9-31, March.
- Green, Carl & Long, Wei & Hsiao, Cheng, 2015. "Testing error serial correlation in fixed effects nonparametric panel data models," Journal of Econometrics, Elsevier, vol. 188(2), pages 466-473.
- Berthold R. Haag, 2008. "Non‐parametric Regression Tests Using Dimension Reduction Techniques," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 719-738, December.
- Suneel Babu Chatla, 2023. "Nonparametric inference for additive models estimated via simplified smooth backfitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(1), pages 71-97, February.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers 02/13, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Lin, Lu & Song, Yunquan & Liu, Zhao, 2014. "Local linear–additive estimation for multiple nonparametric regressions," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 252-269.
- Grasshoff, Ulrike & Schwalbach, Joachim & Sperlich, Stefan, 1999. "Executive pay and corporate financial performance. An exploratiove data analysis," DES - Working Papers. Statistics and Econometrics. WS 6382, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013. "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, vol. 175(1), pages 46-59.
- Hao Dong & Taisuke Otsu & Luke Taylor, 2022.
"Nonparametric estimation of additive models with errors-in-variables,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(10), pages 1164-1204, November.
- Dong, Hao & Otsu, Taisuke & Taylor, Luke, 2022. "Nonparametric estimation of additive models with errors-in-variables," LSE Research Online Documents on Economics 116007, London School of Economics and Political Science, LSE Library.
- Ozabaci, Deniz & Henderson, Daniel J., 2014.
"Additive Kernel Estimates of Returns to Schooling,"
IZA Discussion Papers
8736, Institute of Labor Economics (IZA).
- Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
- Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
- Huang, Zhensheng & Zhang, Riquan, 2009. "Efficient estimation of adaptive varying-coefficient partially linear regression model," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 943-952, April.
- Rui Li & Yuanyuan Zhang, 2021. "Two-stage estimation and simultaneous confidence band in partially nonlinear additive model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(8), pages 1109-1140, November.
- Enno Mammen & Christoph Rothe & Melanie Schienle, 2010. "Nonparametric Regression with Nonparametrically Generated Covariates," SFB 649 Discussion Papers SFB649DP2010-059, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Tu, Yundong & Wang, Ying, 2022. "Spurious functional-coefficient regression models and robust inference with marginal integration," Journal of Econometrics, Elsevier, vol. 229(2), pages 396-421.
- Sperlich, Stefan & Tjostheim, Dag & Yang, Lijian, 1999.
"Nonparametric estimation and testing of interaction in additive models,"
DES - Working Papers. Statistics and Econometrics. WS
6387, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(2), pages 197-251, April.
- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 1998. "Nonparametric estimation and testing of interaction in additive models," SFB 373 Discussion Papers 1998,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Häggström, Jenny, 2013. "Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 136-148.
- Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.
- Van Keilegom, Ingrid & Vanhems, Anne, 2011. "Semiparametric transformation model with endogeneity: a control function approach," TSE Working Papers 11-243, Toulouse School of Economics (TSE).
- Joel L. Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers 19/02, Institute for Fiscal Studies.
- Guo, Zheng-Feng & Shintani, Mototsugu, 2011. "Nonparametric lag selection for nonlinear additive autoregressive models," Economics Letters, Elsevier, vol. 111(2), pages 131-134, May.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013.
"A semiparametric model for heterogeneous panel data with fixed effects,"
CeMMAP working papers
CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
- Kim, Woocheol & Linton, Oliver, 2004.
"A local instrumental variable estimation method for generalized additive volatility models,"
LSE Research Online Documents on Economics
24758, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group.
- Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
- Abhijit Mandal, 2020. "An optimal test for the additive model with discrete or categorical predictors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1397-1417, December.
- Dette, Holger & von Lieres und Wilkau, Carsten, 2000. "Testing additivity by kernel based methods - what is a reasonable test?," Technical Reports 2000,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999.
"Integration and backfitting methods in additive models-finite sample properties and comparison,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
- Sperlich, Stefan & Hardle, Wolfgang & Linton, Oliver, 1998. "Integration and Backfitting methods in additive models: finite sample properties and comparison," DES - Working Papers. Statistics and Econometrics. WS 6270, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Profit, Stefan & Sperlich, Stefan, 1999.
"Non-uniformity of job-matching in a transition economy- a nonparametric analysis for the czech republic,"
DES - Working Papers. Statistics and Econometrics. WS
6287, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Profit, Stefan & Sperlich, Stefan, 1998. "Non-uniformity of job-matching in a transition economy: A nonparametric analysis for the Czech Republic," SFB 373 Discussion Papers 1998,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Stefan Profit & Stefan Sperlich, 2004. "Non-uniformity of job-matching in a transition economy - A nonparametric analysis for the Czech Republic," Applied Economics, Taylor & Francis Journals, vol. 36(7), pages 695-714.
- Fengler, Matthias R. & Mammen, Enno & Vogt, Michael, 2013. "Additive modeling of realized variance: tests for parametric specifications and structural breaks," Economics Working Paper Series 1332, University of St. Gallen, School of Economics and Political Science.
- Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998.
"Estimating Yield Curves by Kernel Smoothing Methods,"
Cowles Foundation Discussion Papers
1205, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Fei Liu & Jiti Gao & Yanrong Yang, 2020. "Time-Varying Panel Data Models with an Additive Factor Structure," Monash Econometrics and Business Statistics Working Papers 42/20, Monash University, Department of Econometrics and Business Statistics.
- Stefan Sperlich & Raoul Theler, 2015. "Modeling heterogeneity: a praise for varying-coefficient models in causal analysis," Computational Statistics, Springer, vol. 30(3), pages 693-718, September.
- Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2014. "Testing for additivity in partially linear regression with possibly missing responses," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 51-61.
- Woocheol Kim, 2004. "Identification And Estimation Of Nonparametric Structural," Econometric Society 2004 Far Eastern Meetings 733, Econometric Society.
- Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
- Zhengyan Lin & Degui Li & Jiti Gao, 2009. "Local Linear M‐estimation in non‐parametric spatial regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 286-314, May.
- Joel L. Horowitz & Enno Mammen, 2002. "Nonparametric estimation of an additive model with a link function," CeMMAP working papers CWP19/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- O. Linton & E. Mammen, 2005.
"Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods,"
Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 58068, London School of Economics and Political Science, LSE Library.
- Vanhems, Anne & Van Keilegom, Ingrid, 2011. "Semiparametric transformation model with endogeneity: a control function approach," LIDAM Discussion Papers ISBA 2011011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Li, Cong & Liang, Zhongwen, 2015. "Asymptotics for nonparametric and semiparametric fixed effects panel models," Journal of Econometrics, Elsevier, vol. 185(2), pages 420-434.
- Jing Wang & Lijian Yang, 2009. "Efficient and fast spline-backfitted kernel smoothing of additive models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 663-690, September.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Rodriguez Poo, Juan M. & Sperlich, Stefan & Vieu, Philippe, 2000. "Semiparametric estimation of weak and strong separable models," DES - Working Papers. Statistics and Econometrics. WS 10064, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Hengartner, Nicolas W. & Sperlich, Stefan, 2005. "Rate optimal estimation with the integration method in the presence of many covariates," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 246-272, August.
- Martins-Filho, Carlos & yang, ke, 2007. "Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion," MPRA Paper 39295, University Library of Munich, Germany.
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- Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
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"Estimation Of A Semiparametric Transformation Model In The Presence Of Endogeneity,"
Econometric Theory, Cambridge University Press, vol. 35(1), pages 73-110, February.
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- Fernández, Ana I. & Rodríguez-Póo, Juan M. & Sperlich, Stefan, 1998.
"Semiparametric three step estimation methods in labor supply models,"
SFB 373 Discussion Papers
1998,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rodríguez-Póo, Juan M. & Sperlich, Stefan & Fernández, Ana I., 1999. "Semiparametric three step estimation methods in labor supply models," DES - Working Papers. Statistics and Econometrics. WS 6379, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Xia Cui & Heng Peng & Songqiao Wen & Lixing Zhu, 2013. "Component Selection in the Additive Regression Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(3), pages 491-510, September.
- Carroll, Raymond J. & Härdle, Wolfgang & Mammen, Enno, 1999. "Estimation in an additive model when the components are linked parametrically," SFB 373 Discussion Papers 1999,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Mammen, Enno & Martínez-Miranda, María Dolores & Nielsen, Jens Perch & Vogt, Michael, 2021. "Calendar effect and in-sample forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 31-52.
- Yang, Lijian & Sperlich, Stefan & Hardle, Wolfgang, 2000. "Derivative estimation and testing in generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10084, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2004.
"Bootstrap Inference In Semiparametric Generalized Additive Models,"
Econometric Theory, Cambridge University Press, vol. 20(2), pages 265-300, April.
- Hardle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2000. "Bootstrap inference in semiparametric generalized additive models," DES - Working Papers. Statistics and Econometrics. WS 10079, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2001. "Bootstrap Inference in Semiparametric Generalized Additive Models," Finance Working Papers 01-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Henderson, Daniel J. & Carroll, Raymond J. & Li, Qi, 2008. "Nonparametric estimation and testing of fixed effects panel data models," Journal of Econometrics, Elsevier, vol. 144(1), pages 257-275, May.
- Lin, Huazhen & Pan, Lixian & Lv, Shaogao & Zhang, Wenyang, 2018. "Efficient estimation and computation for the generalised additive models with unknown link function," Journal of Econometrics, Elsevier, vol. 202(2), pages 230-244.
- Qian Huang & Jinhong You & Liwen Zhang, 2022. "Efficient inference of longitudinal/functional data models with time‐varying additive structure," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 744-771, June.
- Han, Kyunghee & Lee, Young K. & Park, Byeong U., 2020. "Smooth backfitting for errors-in-variables varying coefficient regression models," Computational Statistics & Data Analysis, Elsevier, vol. 145(C).
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Maria Grith & Wolfgang Karl Härdle & Melanie Schienle, 2010. "Nonparametric Estimation of Risk-Neutral Densities," SFB 649 Discussion Papers SFB649DP2010-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Gutknecht, Daniel, 2012. "Do Reservation Wages Decline Monotonically? A Novel Statistical Test," Economic Research Papers 270635, University of Warwick - Department of Economics.
- Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 251-289.
- Lu, Zudi & Lundervold, Arvid & Tjøstheim, Dag & Yao, Qiwei, 2007. "Exploring spatial nonlinearity using additive approximation," LSE Research Online Documents on Economics 5401, London School of Economics and Political Science, LSE Library.
- Hu, Lixia & Huang, Tao & You, Jinhong, 2019. "Two-step estimation of time-varying additive model for locally stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 130(C), pages 94-110.
- Juhyun Park & Burkhardt Seifert, 2010. "Local additive estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(2), pages 171-191, March.
- Horowitz, Joel L. & Mammen, Enno, 2002. "Nonparametric estimation of an additive model with a link function," SFB 373 Discussion Papers 2002,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Oliver Linton, 1997.
"Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form,"
Cowles Foundation Discussion Papers
1151, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Yanqin Fan & Oliver Linton, 1997.
"Some Higher Order Theory for a Consistent Nonparametric Model Specification Test,"
Cowles Foundation Discussion Papers
1148, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Fernandes, Marcelo, 2001.
"Nonparametric entropy-based tests of independence between stochastic processes,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
413, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
- Marcelo Fernandes & Joachim Grammig, 2000.
"Non-Parametric Specification Tests For Conditional Duration Models,"
Computing in Economics and Finance 2000
40, Society for Computational Economics.
- Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
- Fernandes, Marcelo & Grammig, Joachim, 2005. "Nonparametric specification tests for conditional duration models," Journal of Econometrics, Elsevier, vol. 127(1), pages 35-68, July.
- Fernandes, Marcelo & Grammig, Joachim, 2003. "Nonparametric specification tests for conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 502, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Oliver Linton & Pedro Gozalo, 1995.
"Testing Additivity in Generalized Nonparametric Regression Models,"
Cowles Foundation Discussion Papers
1106, Cowles Foundation for Research in Economics, Yale University.
- Linton, O. & Gozalo, P., 1996. "Testing Additivity in Generalized Nonparametric Regression Models," SFB 373 Discussion Papers 1996,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Gao, Jiti & Casas, Isabel, 2006.
"Specification testing in discretized diffusion models: Theory and practice,"
MPRA Paper
11980, University Library of Munich, Germany, revised Aug 2007.
- Gao, Jiti & Casas, Isabel, 2008. "Specification testing in discretized diffusion models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 131-140, November.
- Patrick Marsh, "undated". "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York.
- Joao Amaro de Matos & Marcelo Fernandes, 2004.
"Testing the Markov property with ultra-high frequency financial data,"
Nova SBE Working Paper Series
wp462, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001. "Testing the Markov property with ultra high frequency financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 414, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Gao, Jiti & Gijbels, Irene, 2005. "Bandwidth selection for nonparametric kernel testing," MPRA Paper 11982, University Library of Munich, Germany, revised Jun 2007.
- Fernandes, Marcelo, 2001.
"Nonparametric entropy-based tests of independence between stochastic processes,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
413, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Sperlich, S. & Linton, O. & Härdle, Wolfgang, 1997.
"A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models,"
SFB 373 Discussion Papers
1997,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
- Profit, Stefan & Sperlich, Stefan, 1999.
"Non-uniformity of job-matching in a transition economy- a nonparametric analysis for the czech republic,"
DES - Working Papers. Statistics and Econometrics. WS
6287, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Profit, Stefan & Sperlich, Stefan, 1998. "Non-uniformity of job-matching in a transition economy: A nonparametric analysis for the Czech Republic," SFB 373 Discussion Papers 1998,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Stefan Profit & Stefan Sperlich, 2004. "Non-uniformity of job-matching in a transition economy - A nonparametric analysis for the Czech Republic," Applied Economics, Taylor & Francis Journals, vol. 36(7), pages 695-714.
- Yoon-Jae Whang & Oliver Linton, 1997.
"The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series,"
Cowles Foundation Discussion Papers
1130R, Cowles Foundation for Research in Economics, Yale University.
- Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July.
Cited by:
- J. Barkley Rosser, 1999. "On the Complexities of Complex Economic Dynamics," Journal of Economic Perspectives, American Economic Association, vol. 13(4), pages 169-192, Fall.
- Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
- Bask, Mikael & de Luna, Xavier, 2001.
"Characterizing the degree of stability of non-linear dynamic models,"
Umeå Economic Studies
564, Umeå University, Department of Economics.
- Bask Mikael & de Luna Xavier, 2002. "Characterizing the Degree of Stability of Non-linear Dynamic Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-19, April.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
- Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
- Park, Joon Y. & Whang, Yoon-Jae, 2004.
"A Test of the Martingale Hypothesis,"
Working Papers
2004-11, Rice University, Department of Economics.
- Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
- Serletis, Apostolos & He, Mingyu & Chowdhury, M.M. Islam, 2023. "Chaos in long-maturity real rates," Economics Letters, Elsevier, vol. 225(C).
- Shintani, Mototsugu, 2008.
"A dynamic factor approach to nonlinear stability analysis,"
Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2788-2808, September.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Econometric Society 2004 Far Eastern Meetings 538, Econometric Society.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Vanderbilt University Department of Economics Working Papers 0418, Vanderbilt University Department of Economics.
- Mototsugu Shintani, 2004. "A Dynamic Factor Approach to Nonlinear Stability Analysis," Levine's Bibliography 122247000000000621, UCLA Department of Economics.
- Kian‐Ping Lim & Robert Brooks, 2011. "The Evolution Of Stock Market Efficiency Over Time: A Survey Of The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 69-108, February.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated".
"Testing Chaotic Dynamics via Lyapunov Exponents,"
Working Papers
2000-07, FEDEA.
- Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
- Sandubete, Julio E. & Escot, Lorenzo, 2020. "Chaotic signals inside some tick-by-tick financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
- Jorge Belaire-Franch & Kwaku Opong, 2013. "A Time Series Analysis of U.K. Construction and Real Estate Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 516-542, April.
- Oliver Linton & Mototsugu Shintani, 2001.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
FMG Discussion Papers
dp383, Financial Markets Group.
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
- Shintani, Mototsugu & Linton, Oliver, 2002.
"Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos,"
LSE Research Online Documents on Economics
2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
- Shintani, Mototsugu & Linton, Oliver, 2004. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
- Orzeszko, Witold, 2008. "The new method of measuring the effects of noise reduction in chaotic data," Chaos, Solitons & Fractals, Elsevier, vol. 38(5), pages 1355-1368.
- Charles-Cadogan, G., 2021. "Market Instability, Investor Sentiment, And Probability Judgment Error in Index Option Prices," CRETA Online Discussion Paper Series 71, Centre for Research in Economic Theory and its Applications CRETA.
- Serletis, Apostolos & Shahmoradi, Asghar, 2007. "Chaos, self-organized criticality, and SETAR nonlinearity: An analysis of purchasing power parity between Canada and the United States," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1437-1444.
- Wolff, Rodney C. & Yao, Qiwei & Tong, Howell, 2004.
"Statistical tests for Lyapunov exponents of deterministic systems,"
LSE Research Online Documents on Economics
154, London School of Economics and Political Science, LSE Library.
- Wolff Rodney & Yao Qiwei & Tong Howell, 2004. "Statistical Tests for Lyapunov Exponents of Deterministic Systems," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-19, May.
- Escot, Lorenzo & Sandubete, Julio E., 2023. "Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms," Applied Mathematics and Computation, Elsevier, vol. 436(C).
- Bask, Mikael & de Luna, Xavier, 2001.
"EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence,"
Umeå Economic Studies
565, Umeå University, Department of Economics.
- Bask, Mikael & de Luna, Xavier, 2005. "EMU and the stability and volatility of foreign exchange: Some empirical evidence," Chaos, Solitons & Fractals, Elsevier, vol. 25(3), pages 737-750.
- Serletis, Apostolos & Uritskaya, Olga Y., 2007. "Detecting signatures of stochastic self-organization in US money and velocity measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(1), pages 281-291.
- Giannerini Simone & Rosa Rodolfo, 2004. "Assessing Chaos in Time Series: Statistical Aspects and Perspectives," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-25, May.
- Serletis, Apostolos & Shahmoradi, Asghar & Serletis, Demitre, 2007. "Effect of noise on estimation of Lyapunov exponents from a time series," Chaos, Solitons & Fractals, Elsevier, vol. 32(2), pages 883-887.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated". "A New Test for Chaotic Dynamics Using Lyapunov Exponents," Working Papers 2003-09, FEDEA.
- Oliver Linton & Pedro Gozalo, 1996.
"Conditional Independence Restrictions: Testing and Estimation,"
Cowles Foundation Discussion Papers
1140, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers CWP24/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2012. "A nonparametric test of the leverage hypothesis," CeMMAP working papers 24/12, Institute for Fiscal Studies.
- Joeri Smits & Jeffrey S. Racine, 2013. "Testing Exclusion Restrictions in Nonseparable Triangular Models," Department of Economics Working Papers 2013-02, McMaster University.
- Wooldridge, Jeffrey M. & Imbens, Guido, 2009.
"Recent Developments in the Econometrics of Program Evaluation,"
Scholarly Articles
3043416, Harvard University Department of Economics.
- Guido Imbens & Jeffrey M. Wooldridge, 2008. "Recent developments in the econometrics of program evaluation," CeMMAP working papers CWP24/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Imbens, Guido W. & Wooldridge, Jeffrey M., 2008. "Recent Developments in the Econometrics of Program Evaluation," IZA Discussion Papers 3640, Institute of Labor Economics (IZA).
- Guido M. Imbens & Jeffrey M. Wooldridge, 2008. "Recent Developments in the Econometrics of Program Evaluation," NBER Working Papers 14251, National Bureau of Economic Research, Inc.
- Guido W. Imbens & Jeffrey M. Wooldridge, 2009. "Recent Developments in the Econometrics of Program Evaluation," Journal of Economic Literature, American Economic Association, vol. 47(1), pages 5-86, March.
- Poirier, Alexandre, 2017. "Efficient estimation in models with independence restrictions," Journal of Econometrics, Elsevier, vol. 196(1), pages 1-22.
- Joao Amaro de Matos & Marcelo Fernandes, 2004.
"Testing the Markov property with ultra-high frequency financial data,"
Nova SBE Working Paper Series
wp462, Universidade Nova de Lisboa, Nova School of Business and Economics.
- Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001. "Testing the Markov property with ultra high frequency financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 414, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cheng, Yu-Hsiang & Huang, Tzee-Ming, 2012. "A conditional independence test for dependent data based on maximal conditional correlation," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 210-226.
- Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation for Research in Economics, Yale University.
- Györfi, László & Walk, Harro, 2012. "Strongly consistent nonparametric tests of conditional independence," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1145-1150.
- Nielsen, J. P. & Linton, O. B., 1996.
"An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models,"
SFB 373 Discussion Papers
1996,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- J. P. Nielsen & O. B. Linton, 1998. "An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(1), pages 217-222.
Cited by:
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000.
"Yield Curve Estimation by Kernel Smoothing Methods,"
Econometric Society World Congress 2000 Contributed Papers
0235, Econometric Society.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001. "Yield curve estimation by kernel smoothing methods," Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
- Graciela Boente & Alejandra Martínez, 2017. "Marginal integration M-estimators for additive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 231-260, June.
- Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014.
"Semiparametric methods in nonlinear time series analysis: a selective review,"
Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
- Patrick Saart & Jiti Gao, 2012. "Semiparametric Methods in Nonlinear Time Series Analysis: A Selective Review," Monash Econometrics and Business Statistics Working Papers 21/12, Monash University, Department of Econometrics and Business Statistics.
- Abe, Makoto & Boztuæg, Yasemin & Hildebrandt, Lutz, 2000. "Investigation of the stochastic utility maximization process of consumer brand choice by semiparametric modeling," SFB 373 Discussion Papers 2000,84, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Nathalie Chèze & Jean-Michel Poggi & Bruno Portier, 2003. "Partial and Recombined Estimators for Nonlinear Additive Models," Statistical Inference for Stochastic Processes, Springer, vol. 6(2), pages 155-197, May.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
- Makoto Abe & Yasemin Boztug & Lutz Hildebrandt, 2003.
"Investigating the Competitive Assumption of Multinomial Logit Models of Brand Choice by Nonparametric Modeling,"
CIRJE F-Series
CIRJE-F-193, CIRJE, Faculty of Economics, University of Tokyo.
- Makoto Abe & Yasemin Boztug & Lutz Hildebrandt, 2004. "Investigating the competitive assumption of Multinomial Logit models of brand choice by nonparametric modeling," Computational Statistics, Springer, vol. 19(4), pages 635-657, December.
- Oliver Linton & E. Mammen & J. Nielsen & C. Tanggaard, 1998.
"Estimating Yield Curves by Kernel Smoothing Methods,"
Cowles Foundation Discussion Papers
1205, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Mammen, Enno & Nielsen, Jens Perch & Tanggaard, Carsten, 1998. "Estimating yield curves by Kernel smoothing methods," SFB 373 Discussion Papers 1999,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Fei Liu & Jiti Gao & Yanrong Yang, 2020. "Time-Varying Panel Data Models with an Additive Factor Structure," Monash Econometrics and Business Statistics Working Papers 42/20, Monash University, Department of Econometrics and Business Statistics.
- Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2497-2511.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2015. "In-sample forecasting applied to reserving and mesothelioma mortality," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 76-86.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Oliver Linton, 1996.
"An Asymptotic Expansion in the Garch(1,1) Model,"
Cowles Foundation Discussion Papers
1118, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1997. "An Asymptotic Expansion in the GARCH(l, 1) Model," Econometric Theory, Cambridge University Press, vol. 13(4), pages 558-581, February.
Cited by:
- Emma M. Iglesias & Garry D. A. Phillips, 2012. "Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models," Econometric Reviews, Taylor & Francis Journals, vol. 31(5), pages 532-557, September.
- Dietmar P. J. Leisen, 2017. "The shape of small sample biases in pricing kernel estimations," Quantitative Finance, Taylor & Francis Journals, vol. 17(6), pages 943-958, June.
- Yong Bao, 2013. "On Sample Skewness and Kurtosis," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 415-448, December.
- Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
- Härdle, Wolfgang & Linton, O., 1995.
"Nonparametric Regression,"
SFB 373 Discussion Papers
1995,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Severance-Lossin, E. & Sperlich, Stefan, 1997.
"Estimation of derivates for additive separable models,"
SFB 373 Discussion Papers
1997,30, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Severance-Lossin, E. & Sperlich, S., 1995. "Estimation of Derivatives for Additive Separable Models," SFB 373 Discussion Papers 1995,60, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Arthur Lewbel & Oliver Linton, 2000.
"Nonparametric Censored and Truncated Regression,"
STICERD - Econometrics Paper Series
389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lewbel, Arthur & Linton, Oliver, 2000. "Nonparametric censored and truncated regression," LSE Research Online Documents on Economics 2060, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Boston College Working Papers in Economics 439, Boston College Department of Economics.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Econometric Society World Congress 2000 Contributed Papers 1237, Econometric Society.
- Wichert, Laura & Wilke, Ralf A., 2005.
"Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis,"
ZEW Discussion Papers
05-67, ZEW - Leibniz Centre for European Economic Research.
- Wilke, Ralf A. & Wichert, Laura, 2005. "Application of a simple nonparametric conditional quantile function estimator in unemployment duration analysis," ZEW Discussion Papers 05-67 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Richard W. Blundell & Martin Browning & Ian A. Crawford, 2003.
"Nonparametric Engel Curves and Revealed Preference,"
Econometrica, Econometric Society, vol. 71(1), pages 205-240, January.
- Richard Blundell & Martin Browning & Ian Crawford, 2002. "Nonparametric Engel Curves and Revealed Preference," CAM Working Papers 2002-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Richard Blundell & Martin Browning & Ian Crawford, 1998. "Nonparametric Engel Curves and Revealed Preference," Discussion Papers 99-07, University of Copenhagen. Department of Economics.
- Richard Blundell & Martin Browning & Ian Crawford, 1997. "Non-parametric Engel curves and revealed preferences," IFS Working Papers W97/14, Institute for Fiscal Studies.
- Oliver Linton & Pedro Gozalo, 1995.
"Testing Additivity in Generalized Nonparametric Regression Models,"
Cowles Foundation Discussion Papers
1106, Cowles Foundation for Research in Economics, Yale University.
- Linton, O. & Gozalo, P., 1996. "Testing Additivity in Generalized Nonparametric Regression Models," SFB 373 Discussion Papers 1996,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Sperlich, Stefan & Tjostheim, Dag & Yang, Lijian, 1999.
"Nonparametric estimation and testing of interaction in additive models,"
DES - Working Papers. Statistics and Econometrics. WS
6387, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(2), pages 197-251, April.
- Sperlich, Stefan & Tjøstheim, Dag & Yang, Lijian, 1998. "Nonparametric estimation and testing of interaction in additive models," SFB 373 Discussion Papers 1998,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Susumu Imai & Neelam Jain & Andrew Ching, 2009.
"Bayesian Estimation of Dynamic Discrete Choice Models,"
Econometrica, Econometric Society, vol. 77(6), pages 1865-1899, November.
- Andrew Ching & Susumu Imai & Neelam Jain, 2006. "Bayesian Estimation Of Dynamic Discrete Choice Models," Working Paper 1118, Economics Department, Queen's University.
- Susumu Imai & Neelam Jain, 2005. "Bayesian Estimation of Dynamic Discrete Choice Models," 2005 Meeting Papers 432, Society for Economic Dynamics.
- Profit, Stefan & Sperlich, Stefan, 1999.
"Non-uniformity of job-matching in a transition economy- a nonparametric analysis for the czech republic,"
DES - Working Papers. Statistics and Econometrics. WS
6287, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Profit, Stefan & Sperlich, Stefan, 1998. "Non-uniformity of job-matching in a transition economy: A nonparametric analysis for the Czech Republic," SFB 373 Discussion Papers 1998,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Stefan Profit & Stefan Sperlich, 2004. "Non-uniformity of job-matching in a transition economy - A nonparametric analysis for the Czech Republic," Applied Economics, Taylor & Francis Journals, vol. 36(7), pages 695-714.
- Härdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 1998. "Semiparametric additive indices for binary response and generalized additive models," SFB 373 Discussion Papers 1998,95, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Schimek, Michael G. & Turlach, Berwin A., 1998. "Additive and generalized additive models: A survey," SFB 373 Discussion Papers 1998,97, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Fernández, Ana I. & Rodríguez-Póo, Juan M. & Sperlich, Stefan, 1998.
"Semiparametric three step estimation methods in labor supply models,"
SFB 373 Discussion Papers
1998,71, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Rodríguez-Póo, Juan M. & Sperlich, Stefan & Fernández, Ana I., 1999. "Semiparametric three step estimation methods in labor supply models," DES - Working Papers. Statistics and Econometrics. WS 6379, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Christine A. Ribic & Thomas W. Miller, 1998. "Evaluation of alternative model selection criteria in the analysis of unimodal response curves using CART," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(5), pages 685-698, June.
- Severance-Lossin, E. & Sperlich, Stefan, 1997.
"Estimation of derivates for additive separable models,"
SFB 373 Discussion Papers
1997,30, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, O. B. & Härdle, Wolfgang, 1995.
"Estimation of Additive Regression Models with Links,"
SFB 373 Discussion Papers
1995,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998.
"Nonparametric autoregression with multiplicative volatility and additive mean,"
SFB 373 Discussion Papers
1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yang, L. & Härdle, Wolfgang, 1996. "Nonparametric Autoregression with Multiplicative Volatility and Additive Mean," SFB 373 Discussion Papers 1996,62, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Lijian Yang & Wolfgang Hardle & Jens Nielsen, 1999. "Nonparametric Autoregression with Multiplicative Volatility and Additive mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 20(5), pages 579-604, September.
- Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006.
"Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration,"
Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
- Lijian Yang & Byeong U. Park & Lan Xue & Wolfgang Härdle, 2005. "Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration," SFB 649 Discussion Papers SFB649DP2005-047, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Yang, Lijian & Härdle, Wolfgang & Park, Byeong U., 2002. "Estimation and testing for varying coefficients in additive models with marginal integration," SFB 373 Discussion Papers 2002,75, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Schimek, Michael G. & Turlach, Berwin A., 1998. "Additive and generalized additive models: A survey," SFB 373 Discussion Papers 1998,97, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Efang Kong & Oliver Linton & Yingcun Xia, 2011.
"Global Bahadur representation for nonparametric censored regression quantiles and its applications,"
CeMMAP working papers
CWP33/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013. "Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications," Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
- Kempe, Wolfram, 1997. "Das Arbeitsangebot verheirateter Frauen in den neuen und alten Bundesländern: Eine semiparametrische Regressionsanalyse," SFB 373 Discussion Papers 1997,3, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Härdle, Wolfgang & Sperlich, Stefan & Spokoiny, Vladimir G., 1997. "Component analysis for additive models," SFB 373 Discussion Papers 1997,52, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998.
"Nonparametric autoregression with multiplicative volatility and additive mean,"
SFB 373 Discussion Papers
1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, O. B. & Chen, R. & Härdle, Wolfgang, 1995.
"An Analysis of Transformations for Additive Nonparanetric Regression,"
SFB 373 Discussion Papers
1995,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003.
"Estimation of semiparametric models when the criterion function is not smooth,"
LSE Research Online Documents on Economics
2167, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series 450, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function Is Not Smooth," Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
- Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Qingliang Fan & Yaqian Wu, 2020. "Endogenous Treatment Effect Estimation with some Invalid and Irrelevant Instruments," Papers 2006.14998, arXiv.org.
- Hess, Sebastian & Cramon-Taubadel, Stephan von & Sperlich, 2010. "Numbers for Pascal: Explaining differences in the Estimated Benefited of the Doha Developing Agenda," Department of Agricultural and Rural Development (DARE) Discussion Papers 187311, Georg-August-Universitaet Goettingen, Department of Agricultural Economics and Rural Development (DARE).
- Gozalo, Pedro L. & Linton, Oliver B., 2001. "Testing additivity in generalized nonparametric regression models with estimated parameters," Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
- J. S. Allison & M. Hušková & S. G. Meintanis, 2018. "Testing the adequacy of semiparametric transformation models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 70-94, March.
- Fryzlewicz, Piotr & Delouille, V´eronique & Nason, Guy P., 2007. "GOES-8 X-ray sensor variance stabilization using the multiscale data-driven Haar-Fisz transform," LSE Research Online Documents on Economics 25221, London School of Economics and Political Science, LSE Library.
- Kim, Woocheol & Linton, Oliver, 2004.
"A local instrumental variable estimation method for generalized additive volatility models,"
LSE Research Online Documents on Economics
24758, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2004. "A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models," FMG Discussion Papers dp509, Financial Markets Group.
- Kim, Woocheol & Linton, Oliver, 2003. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 2028, London School of Economics and Political Science, LSE Library.
- Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series 456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Politis, Dimitris N, 2010. "Model-free Model-fitting and Predictive Distributions," University of California at San Diego, Economics Working Paper Series qt67j6s174, Department of Economics, UC San Diego.
- Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999.
"Integration and backfitting methods in additive models-finite sample properties and comparison,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
- Sperlich, Stefan & Hardle, Wolfgang & Linton, Oliver, 1998. "Integration and Backfitting methods in additive models: finite sample properties and comparison," DES - Working Papers. Statistics and Econometrics. WS 6270, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2497-2511.
- Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003.
"Estimation of semiparametric models when the criterion function is not smooth,"
LSE Research Online Documents on Economics
2167, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Pedro Gozalo, 1995.
"Testing Additivity in Generalized Nonparametric Regression Models,"
Cowles Foundation Discussion Papers
1106, Cowles Foundation for Research in Economics, Yale University.
- Linton, O. & Gozalo, P., 1996. "Testing Additivity in Generalized Nonparametric Regression Models," SFB 373 Discussion Papers 1996,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Joris Pinkse, 2000. "Feasible Multivariate Nonparametric Estimation Using Weak Separability," Econometric Society World Congress 2000 Contributed Papers 1241, Econometric Society.
- Chen, R. & Härdle, Wolfgang & Linton, O. B. & Severance-Lossin, E., 1995.
"Nonparametric Estimation of Additive Seperable Regression Models,"
SFB 373 Discussion Papers
1995,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
Cited by:
- Chèze-Payaud, Nathalie & Poggi, Jean-Michel & Portier, Bruno, 1998. "Estimation and test of linearity for a class of additive nonlinear models," Statistics & Probability Letters, Elsevier, vol. 40(2), pages 189-201, September.
- Graciela Boente & Alejandra Martínez, 2017. "Marginal integration M-estimators for additive models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 231-260, June.
- Avalos, Marta & Grandvalet, Yves & Ambroise, Christophe, 2007. "Parsimonious additive models," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2851-2870, March.
- Morteza Haghiri & James Nolan & Kien Tran, 2004. "Assessing the impact of economic liberalization across countries: a comparison of dairy industry efficiency in Canada and the USA," Applied Economics, Taylor & Francis Journals, vol. 36(11), pages 1233-1243.
- Morteza Haghiri & Alireza Simchi, 2005. "An application of the residual deviance analysis in testing input separability restrictions," Applied Economics Letters, Taylor & Francis Journals, vol. 12(12), pages 755-758.
- Damian Kozbur, 2013. "Inference in additively separable models with a high-dimensional set of conditioning variables," ECON - Working Papers 284, Department of Economics - University of Zurich, revised Apr 2018.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Kempe, Wolfram, 1997. "Das Arbeitsangebot verheirateter Frauen in den neuen und alten Bundesländern: Eine semiparametrische Regressionsanalyse," SFB 373 Discussion Papers 1997,3, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
Cited by:
- Broze, Laurence & Gourieroux, Christian, 1998.
"Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators,"
Journal of Econometrics, Elsevier, vol. 85(1), pages 75-98, July.
- BROZE, Laurence & GOURIEROUX, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," LIDAM Reprints CORE 1319, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Hodgson, Douglas J & Vorkink, Keith P, 2003.
"Efficient Estimation of Conditional Asset-Pricing Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
- Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper series
38_07, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Pedro Gozalo & Oliver Linton, 1994.
"Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically,"
Cowles Foundation Discussion Papers
1075, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric estimation of homothetic and homothetically separable functions,"
CeMMAP working papers
CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric Estimation of Homothetic and Homothetically Separable Functions," STICERD - Econometrics Paper Series 461, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Lewbel, Arthur & Linton, Oliver, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," LSE Research Online Documents on Economics 2066, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers 14/03, Institute for Fiscal Studies.
- Mittelhammer, Ron C. & Judge, George, 2011. "A family of empirical likelihood functions and estimators for the binary response model," Journal of Econometrics, Elsevier, vol. 164(2), pages 207-217, October.
- Bossaerts, P.L.M. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 1995-23, Tilburg University, Center for Economic Research.
- Mittelhammer, Ron C Dr. & Judge, George G., 2008.
"A Minimum Power Divergence Class of CDFs and Estimators for Binary Choice Models,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt7bc2828q, Department of Agricultural & Resource Economics, UC Berkeley.
- Mittelhammer, Ronald C. & Judge, George G., 2008. "A Minimum Power Divergence Class of CDFs and Estimators for Binary Choice Models," CUDARE Working Papers 37759, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Ron Mittelhammer & George Judge, 2009. "A Minimum Power Divergence Class of CDFs and Estimators for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 33-49, April.
- Arthur Lewbel, 2007.
"Estimation of Average Treatment Effects with Misclassification,"
Econometrica, Econometric Society, vol. 75(2), pages 537-551, March.
- Arthur Lewbel, 2003. "Estimation of Average Treatment Effects With Misclassification," Boston College Working Papers in Economics 556, Boston College Department of Economics, revised 04 Sep 2006.
- Arthur Lewbel, 2004. "Estimation of Average Treatment Effects With Misclassification," Econometric Society 2004 North American Winter Meetings 210, Econometric Society.
- Claudia PIGINI, 2012. "Of Butterflies and Caterpillars: Bivariate Normality in the Sample Selection Model," Working Papers 377, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Rosa Bernardini Papalia, 1999. "Local generalized method of moments estimation based on kernel weights: An application to panel data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(8), pages 1005-1015.
- Gozalo, Pedro L., 1997. "Nonparametric bootstrap analysis with applications to demographic effects in demand functions," Journal of Econometrics, Elsevier, vol. 81(2), pages 357-393, December.
- Bossaerts, P.L.M. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Other publications TiSEM 77cdfe27-8732-4f09-bf89-f, Tilburg University, School of Economics and Management.
- Bossaerts, Peter & Hillion, Pierre, 1997. "Local parametric analysis of hedging in discrete time," Journal of Econometrics, Elsevier, vol. 81(1), pages 243-272, November.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions,"
Boston College Working Papers in Economics
585, Boston College Department of Economics, revised 04 Sep 2006.
- Arthur Lewbel & Oliver Linton, 2007. "Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions," Econometrica, Econometric Society, vol. 75(4), pages 1209-1227, July.
- Arthur Lewbel & Oliver Linton, 2003.
"Nonparametric estimation of homothetic and homothetically separable functions,"
CeMMAP working papers
CWP14/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wolfgang Hardle & Oliver Linton, 1994.
"Applied Nonparametric Methods,"
Cowles Foundation Discussion Papers
1069, Cowles Foundation for Research in Economics, Yale University.
- Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
- Oliver LINTON, "undated". "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
Cited by:
- Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
- Severance-Lossin, E. & Sperlich, Stefan, 1997.
"Estimation of derivates for additive separable models,"
SFB 373 Discussion Papers
1997,30, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Severance-Lossin, E. & Sperlich, S., 1995. "Estimation of Derivatives for Additive Separable Models," SFB 373 Discussion Papers 1995,60, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Liang, Hua & Härdle, Wolfgang, 1997. "Large sample theory of the estimation of the error distribution for a semiparametric model," SFB 373 Discussion Papers 1997,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Das, J.W.M. & Donkers, A.C.D., 1997.
"How Certain are Dutch Households about Future Income? An Empirical Analysis,"
Other publications TiSEM
d8aabd66-ddc7-4834-a157-e, Tilburg University, School of Economics and Management.
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Other publications TiSEM
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- Vazquez-Alvarez, R. & Melenberg, B. & van Soest, A.H.O., 1999. "Nonparametric Modeling of the Anchoring Effect in an Unfolding Bracket Design," Discussion Paper 1999-115, Tilburg University, Center for Economic Research.
- Burkhauser, Richard V. & Amy Crews Cutts & Mary C. Daly & Stephen P. Jenkins, 1999.
"Testing the Significance of Income Distribution Changes over the 1980s Business Cycle: A Cross-National Comparison,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 253-272, May-June.
- Richard V. Burkhauser & Amy Crews Cutts & Mary C. Daly & Stephen P. Jenkins, 1999. "Testing the significance of income distribution changes over the 1980s business cycle: a cross‐national comparison," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 253-272, May.
- Breunig, Robert & Dasgupta, Indraneel & Gundersen, Craig & Pattanaik, Prasanta, 2001. "Explaining The Food Stamp Cash-Out Puzzle," Food Assistance and Nutrition Research Reports 33869, United States Department of Agriculture, Economic Research Service.
- Feng Zhu, 2005. "A nonparametric analysis of the shape dynamics of the US personal income distribution: 1962-2000," BIS Working Papers 184, Bank for International Settlements.
- Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
- Michael LaCour-Little & Michael Marschoun & Clark L. Maxam, 2002. "Improving Parametric Mortgage Prepayment Models with Non-parametric Kernel Regression," Journal of Real Estate Research, American Real Estate Society, vol. 24(3), pages 299-328.
- Knoppik, Christoph, 2004. "The Kernel-Location Approach - A New Non-parametric Approach to the Analysis of Download Nominal Rigidity in Micro Data," University of Regensburg Working Papers in Business, Economics and Management Information Systems 392, University of Regensburg, Department of Economics.
- Tierney, Heather L.R., 2009.
"A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data,"
MPRA Paper
13383, University Library of Munich, Germany, revised 03 Feb 2009.
- Tierney, Heather L.R., 2009. "A Local Examination for Persistence in Exclusions-from-Core Measures of Inflation Using Real-Time Data," MPRA Paper 13089, University Library of Munich, Germany.
- Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation for Research in Economics, Yale University.
- Meise, Monika & Davies, Paul Lyndon, 2005. "Approximating data with weighted smoothing splines," Technical Reports 2005,48, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Reiss, Peter C. & Wolak, Frank A., 2003. "Structural Econometric Modeling: Rationales and Examples from Industrial Organization," Research Papers 1831, Stanford University, Graduate School of Business.
- Maria Fraga O. Martins, 2001. "Parametric and semiparametric estimation of sample selection models: an empirical application to the female labour force in Portugal," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 23-39.
- Jean-Yves Duclos & Debraj Ray & Joan Esteban, 2002.
"Polarization: Concepts, Measurement, Estimation,"
LIS Working papers
335, LIS Cross-National Data Center in Luxembourg.
- Jean-Yves Duclos & Joan Esteban & Debraj Ray, 2004. "Polarization: Concepts, Measurement, Estimation," Econometrica, Econometric Society, vol. 72(6), pages 1737-1772, November.
- Duclos, Jean-Yves & Esteban, Joan & Ray, Debraj, 2003. "Polarization: Concepts, Measurement, Estimation," Cahiers de recherche 0301, CIRPEE.
- Jean-Yves Duclos & Joan-Maria Esteban & Debraj Ray, 2003. "Polarization: Concepts, Measurement, Estimation," Working Papers 46, Barcelona School of Economics.
- Susanne M. Schennach & Halbert White & Karim Chalak, 2007.
"Estimating average marginal effects in nonseparable structural systems,"
CeMMAP working papers
CWP31/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne Schennach & Halbert White & Karim Chalak, 2007. "Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems," Boston College Working Papers in Economics 680, Boston College Department of Economics, revised 26 Dec 2009.
- Richard W. Blundell & Martin Browning & Ian A. Crawford, 2003.
"Nonparametric Engel Curves and Revealed Preference,"
Econometrica, Econometric Society, vol. 71(1), pages 205-240, January.
- Richard Blundell & Martin Browning & Ian Crawford, 2002. "Nonparametric Engel Curves and Revealed Preference," CAM Working Papers 2002-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Richard Blundell & Martin Browning & Ian Crawford, 1998. "Nonparametric Engel Curves and Revealed Preference," Discussion Papers 99-07, University of Copenhagen. Department of Economics.
- Richard Blundell & Martin Browning & Ian Crawford, 1997. "Non-parametric Engel curves and revealed preferences," IFS Working Papers W97/14, Institute for Fiscal Studies.
- Hardle, W. & Mammen, E., 1990.
"Comparing nonparametric versus parametric regression fits,"
LIDAM Discussion Papers CORE
1990065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Enno Mammen, "undated". "Comparing nonparametric versus parametric regression fits," Statistic und Oekonometrie 9205, Humboldt Universitaet Berlin.
- McMillen, Daniel P., 2001. "Nonparametric Employment Subcenter Identification," Journal of Urban Economics, Elsevier, vol. 50(3), pages 448-473, November.
- Läuter, Henning & Liero, H., 1997. "Ill-posed inverse problems and their optimal regularization," SFB 373 Discussion Papers 1997,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008.
"Semiparametric diffusion estimation and application to a stock market index,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 81-92.
- Härdle, Wolfgang & Kleinow, Torsten & Korostelev, Alexander P. & Logeay, Camille & Platen, Eckhard, 2001. "Semiparametric diffusion estimation and application to a stock market index," SFB 373 Discussion Papers 2001,24, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hardle, W. & Marron, A., 1991.
"Fast and simple scatterplot smoothing,"
LIDAM Discussion Papers CORE
1991043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W. & Marron, J. S., 1995. "Fast and simple scatterplot smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 1-17, July.
- James Stephen MARRON & Wolfgang HAERDLE, "undated". "Fast and simple scatterplot smoothing," Statistic und Oekonometrie 9308, Humboldt Universitaet Berlin.
- Egger, Peter & Wamser, Georg, 2011. "The Impact of Controlled Foreign Company Legislation on Real Investments Abroad: A Two-dimensional Regression Discontinuity Des," CEPR Discussion Papers 8460, C.E.P.R. Discussion Papers.
- Livio Di Matteo, 2016. "Wealth Distribution and the Canadian Middle Class: Historical Evidence and Policy Implications," Canadian Public Policy, University of Toronto Press, vol. 42(2), pages 132-151, June.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated".
"Testing Chaotic Dynamics via Lyapunov Exponents,"
Working Papers
2000-07, FEDEA.
- Simón Sosvilla-Rivero & Fernando Fernández-Rodriguez & Julián Andrada-Félix, 2005. "Testing chaotic dynamics via Lyapunov exponents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 911-930.
- Gosoniu, L. & Vounatsou, P. & Sogoba, N. & Maire, N. & Smith, T., 2009. "Mapping malaria risk in West Africa using a Bayesian nonparametric non-stationary model," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3358-3371, July.
- Araújo, E., 2004. "Medindo o Impacto Regional da Política Monetária Brasileira: Uma Comparação entre as Regiões Nordeste e Sul," Insper Working Papers wpe_46, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Ansgar Steland, 2002. "Nonparametric monitoring of financial time series by jump-preserving control charts," Statistical Papers, Springer, vol. 43(3), pages 401-422, July.
- Creemers, An & Aerts, Marc & Hens, Niel & Molenberghs, Geert, 2012. "A nonparametric approach to weighted estimating equations for regression analysis with missing covariates," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 100-113, January.
- Federico M. Bandi & Peter C. B. Phillips, 2003.
"Fully Nonparametric Estimation of Scalar Diffusion Models,"
Econometrica, Econometric Society, vol. 71(1), pages 241-283, January.
- Federico M. Bandi & Peter C.B. Phillips, 2001. "Fully Nonparametric Estimation of Scalar Diffusion Models," Cowles Foundation Discussion Papers 1332, Cowles Foundation for Research in Economics, Yale University.
- Klaassen, F.J.G.M., 1999.
"Purchasing Power Parity : Evidence from a New Test,"
Other publications TiSEM
91e73eb9-a023-4fdb-bd70-b, Tilburg University, School of Economics and Management.
- Klaassen, F.J.G.M., 1999. "Purchasing Power Parity : Evidence from a New Test," Discussion Paper 1999-09, Tilburg University, Center for Economic Research.
- Guido Imbens & Thomas Lemieux, 2007.
"Regression Discontinuity Designs: A Guide to Practice,"
NBER Technical Working Papers
0337, National Bureau of Economic Research, Inc.
- Guido Imbens & Thomas Lemieux, 2007. "Regression Discontinuity Designs: A Guide to Practice," NBER Working Papers 13039, National Bureau of Economic Research, Inc.
- Imbens, Guido W. & Lemieux, Thomas, 2008. "Regression discontinuity designs: A guide to practice," Journal of Econometrics, Elsevier, vol. 142(2), pages 615-635, February.
- Petra E. Todd & Kenneth I. Wolpin, 2008.
"Ex Ante Evaluation of Social Programs,"
Annals of Economics and Statistics, GENES, issue 91-92, pages 263-291.
- Petra E. Todd & Kenneth I. Wolpin, 2006. "Ex Ante Evaluation of Social Programs," PIER Working Paper Archive 06-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Tierney, Heather L.R., 2010.
"Real-Time Data Revisions and the PCE Measure of Inflation,"
MPRA Paper
22387, University Library of Munich, Germany, revised Apr 2010.
- Tierney, Heather L.R., 2011. "Real-time data revisions and the PCE measure of inflation," Economic Modelling, Elsevier, vol. 28(4), pages 1763-1773, July.
- Tierney, Heather L.R., 2010. "Real-Time Data Revisions and the PCE Measure of Inflation," MPRA Paper 20625, University Library of Munich, Germany.
- B.U.PARK & Wolfgang HAERDLE, "undated".
"Testing increasing dispersion,"
Statistic und Oekonometrie
9314, Humboldt Universitaet Berlin.
- Härdle, Wolfgang & Park, Byeong, 1994. "Testing increasing dispersion," SFB 373 Discussion Papers 1994,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- HÄRDLE, Wolfgang & PARK, Byeong, 1992. "Testing increasing dispersion," LIDAM Discussion Papers CORE 1992024, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter C.B. Phillips, 1999.
"Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations,"
Cowles Foundation Discussion Papers
1219, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
- Nicholas Z. Muller, 2007. "Using Hedonic Property Models to Value Public Water Bodies: A Note Regarding Specification Issues," Middlebury College Working Paper Series 0721, Middlebury College, Department of Economics.
- Fabio Fornari & Antonio Mele, 2001.
"Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations,"
Temi di discussione (Economic working papers)
396, Bank of Italy, Economic Research and International Relations Area.
- F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fornari, Fabio & Mele, Antonio, 2001. "Recovering the probability density function of asset prices using garch as diffusion approximations," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
- Eric Ghysels & Serena Ng, 1997.
"A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure,"
CIRANO Working Papers
97s-33, CIRANO.
- Eric Ghysels & Serena Ng, 1998. "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
- Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics.
- Jeremy D. Foltz & Hsiu-Hui Chang, 2002.
"The Adoption and Profitability of rbST on Connecticut Dairy Farms,"
American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(4), pages 1021-1032.
- Jeremy D. Foltz & Hsiu-Hui Chang, 2001. "The Adoption and Profitability of rbST on Connecticut Dairy Farms," Food Marketing Policy Center Research Reports 055, University of Connecticut, Department of Agricultural and Resource Economics, Charles J. Zwick Center for Food and Resource Policy.
- Foltz, Jeremy D. & Chang, Hsiu-Hui, 2001. "The Adoption and Profitability of rbST on Connecticut Dairy Farms," Research Reports 25168, University of Connecticut, Food Marketing Policy Center.
- Tierney, Heather L.R., 2009. "Evaluating Exclusion-from-Core Measures of Inflation using Real-Time Data," MPRA Paper 17856, University Library of Munich, Germany.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Das, J.W.M. & Dominitz, J. & van Soest, A.H.O., 1997.
"Comparing Predictions and Outcomes : Theory and Application to Income Changes,"
Other publications TiSEM
6eef11dd-0ae4-4673-b8c0-2, Tilburg University, School of Economics and Management.
- Das, J.W.M. & Dominitz, J. & van Soest, A.H.O., 1997. "Comparing Predictions and Outcomes : Theory and Application to Income Changes," Discussion Paper 1997-45, Tilburg University, Center for Economic Research.
- Das, J.W.M. & Dominitz, J. & van Soest, A.H.O., 1999. "Comparing predictions and outcomes : Theory and application to income changes," Other publications TiSEM d15d6d31-e2a9-40cb-98c6-e, Tilburg University, School of Economics and Management.
- Barrios, Salvador & Gorg, Holger & Strobl, Eric, 2005.
"Foreign direct investment, competition and industrial development in the host country,"
European Economic Review, Elsevier, vol. 49(7), pages 1761-1784, October.
- BARRIOS, Salvador & GOERG, Holger & STROBL, Eric, 2004. "Foreign direct investment, competition and industrial development in the host country," LIDAM Discussion Papers CORE 2004011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Salvador Barrios & Holger Görg & Eric Strobl, 2016. "Foreign direct investment, competition and industrial development in the host country," World Scientific Book Chapters, in: MULTINATIONAL ENTERPRISES AND HOST COUNTRY DEVELOPMENT, chapter 18, pages 323-346, World Scientific Publishing Co. Pte. Ltd..
- Joel L. Horowitz & Sokbae (Simon) Lee, 2004.
"Nonparametric estimation of an additive quantile regression model,"
CeMMAP working papers
CWP07/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Horowitz, Joel L. & Lee, Sokbae, 2005. "Nonparametric Estimation of an Additive Quantile Regression Model," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1238-1249, December.
- Sokbae Lee & Joel L. Horowitz, 2004. "Nonparametric Estimation of an Additive Quantile Regression Model," Econometric Society 2004 Far Eastern Meetings 721, Econometric Society.
- Martin D. D. Evans & Richard K. Lyons, 2003.
"Are Different-Currency Assets Imperfect Substitutes?,"
CESifo Working Paper Series
978, CESifo.
- Martin D. D. Evans & Richard K. Lyons, 2017. "Are Different-Currency Assets Imperfect Substitutes?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 10, pages 415-456, World Scientific Publishing Co. Pte. Ltd..
- Martin D. D. Evans & Richard K. Lyons, 2000. "Are Different-Currency Assets Imperfect Substitutes?," Working Papers gueconwpa~00-00-05, Georgetown University, Department of Economics.
- Paudel, Krishna P. & Zapata, Hector O., 2004. "Two Methods Of Estimating Semiparametric Component In The Environmental Kuznet'S Curve (Ekc)," 2004 Annual Meeting, February 14-18, 2004, Tulsa, Oklahoma 34598, Southern Agricultural Economics Association.
- Melser, Daniel & Syed, Iqbal, 2007. "Life Cycle Pricing and the Measurement of Inflation," MPRA Paper 16722, University Library of Munich, Germany, revised 07 Jul 2008.
- Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006.
"Econometrics: A Bird's Eye View,"
IZA Discussion Papers
2458, Institute of Labor Economics (IZA).
- John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
- Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
- Bunke, Olaf, 1998. "Semiparametric estimation and prediction for time series cross sectional data," SFB 373 Discussion Papers 1998,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Arthur Lewbel & Daniel McFadden & Oliver Linton, 1997.
"Estimating Features of a Distribution from Binomial Data,"
Boston College Working Papers in Economics
442, Boston College Department of Economics, revised 01 Jul 2010.
- Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011. "Estimating features of a distribution from binomial data," Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
- Lewbel, Arthur & Linton, Oliver & McFadden, D. L., 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton & Daniel McFadden, 2001. "Estimating features of a distribution from binomial data," CeMMAP working papers CWP07/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Matthias R. Fengler, 2005.
"Arbitrage-Free Smoothing of the Implied Volatility Surface,"
SFB 649 Discussion Papers
SFB649DP2005-019, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Matthias Fengler, 2009. "Arbitrage-free smoothing of the implied volatility surface," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 417-428.
- Justin McCrary, 2007. "Manipulation of the Running Variable in the Regression Discontinuity Design: A Density Test," NBER Technical Working Papers 0334, National Bureau of Economic Research, Inc.
- Yan, Robert & Nuttall, John & Ling, Charles, 2006. "Application of machine learning to short-term equity return prediction," MPRA Paper 2536, University Library of Munich, Germany.
- Heather L. R. Tierney, 2012.
"Examining the ability of core inflation to capture the overall trend of total inflation,"
Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 493-514, February.
- Tierney, Heather L.R., 2009. "Examining the Ability of Core Inflation to Capture the Overall Trend of Total Inflation," MPRA Paper 22409, University Library of Munich, Germany, revised Feb 2010.
- Luisito Bertinelli & Eric Strobl & Benteng Zou, 2008.
"Sustainable Economic Development and the Environment: Theory and Evidence,"
DEM Discussion Paper Series
08-06, Department of Economics at the University of Luxembourg.
- Bertinelli, Luisito & Strobl, Eric & Zou, Benteng, 2012. "Sustainable economic development and the environment: Theory and evidence," Energy Economics, Elsevier, vol. 34(4), pages 1105-1114.
- BERTINELLI, Luisito & STROBL, Eric & ZOU, Benteng, 2006. "Sustainable economic development and the environment: theory and evidence," LIDAM Discussion Papers CORE 2006057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Austan Goolsbee & David B. Gross, 1997. "Estimating Adjustment Costs with Data on Heterogeneous Capital Goods," NBER Working Papers 6342, National Bureau of Economic Research, Inc.
- Barrios, Erniel B. & Sobrevinas, Alellie B., 2012. "Impact of the Rice Trade Policy Reforms on Household Welfare in the Philippines," Philippine Journal of Development PJD 2010 Vol. 37 No. 1b, Philippine Institute for Development Studies.
- Olivier RENAULT & Olivier SCAILLET, 2003.
"On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities,"
FAME Research Paper Series
rp83, International Center for Financial Asset Management and Engineering.
- Renault, Olivier & Scaillet, Olivier, 2004. "On the way to recovery: A nonparametric bias free estimation of recovery rate densities," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach,"
Cahiers de recherche CREFE / CREFE Working Papers
143, CREFE, Université du Québec à Montréal.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Norberto Rodríguez & Patricia Siado, 2003. "Un Pronóstico No Paramétrico De La Inflación Colombiana," Borradores de Economia 3691, Banco de la Republica.
- Martin D. D. Evans & Richard K. Lyons, 2001. "Portfolio Balance, Price Impact, and Secret Intervention," NBER Working Papers 8356, National Bureau of Economic Research, Inc.
- Boris A. Zürcher, 2004. "Income Inequality and Mobility: A Nonparametric Decomposition Analysis by Age for Switzerland in the 80s and 90s," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(II), pages 265-292, June.
- VAN KERM Philippe, 2006.
"Comparisons of income mobility profiles,"
IRISS Working Paper Series
2006-03, IRISS at CEPS/INSTEAD.
- Van Kerm, Philippe, 2006. "Comparisons of income mobility profiles," ISER Working Paper Series 2006-36, Institute for Social and Economic Research.
- Antonio Acconcia & Daniel Montolio & Leone Leonida & Marta Espasa, 2002. "Lock-In Effects Of Eu R&D Spending On Regional Growth. A Non-Parametric And Semi-Parametric Conditional Quantile Regressions Approach," Working Papers. Serie EC 2002-12, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Philip Burns & Ian Crawford & Andrew Dilnot, 1995. "Regulation and redistribution in utilities," Fiscal Studies, Institute for Fiscal Studies, vol. 16(4), pages 1-22, January.
- Härdle, Wolfgang & Müller, Marlene, 1997. "Multivariate and semiparametric kernel regression," SFB 373 Discussion Papers 1997,26, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Laurini, Márcio P., 2007.
"A note on the use of quantile regression in beta convergence analysis,"
Insper Working Papers
wpe_95, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Marcio Laurini, 2007. "A note on the use of quantile regression in beta convergence analysis," Economics Bulletin, AccessEcon, vol. 3(52), pages 1-8.
- Phillips, Peter C.B., 2009.
"Local Limit Theory And Spurious Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
- Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation for Research in Economics, Yale University.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, "undated".
"Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules,"
Working Papers on International Economics and Finance
00-02, FEDEA.
- Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, 2000. "Technical Analysis In Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules," Working Papers 00-02, Asociación Española de Economía y Finanzas Internacionales.
- Nowman, K. Ben & Saltoglu, Burak, 2003. "Continuous time and nonparametric modelling of U.S. interest rate models," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 25-34.
- Palmquist, Raymond B., 2006. "Property Value Models," Handbook of Environmental Economics, in: K. G. Mäler & J. R. Vincent (ed.), Handbook of Environmental Economics, edition 1, volume 2, chapter 16, pages 763-819, Elsevier.
- Gregory Kordas, 2006. "Smoothed binary regression quantiles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 387-407.
- Susumu Imai & Neelam Jain & Andrew Ching, 2009.
"Bayesian Estimation of Dynamic Discrete Choice Models,"
Econometrica, Econometric Society, vol. 77(6), pages 1865-1899, November.
- Andrew Ching & Susumu Imai & Neelam Jain, 2006. "Bayesian Estimation Of Dynamic Discrete Choice Models," Working Paper 1118, Economics Department, Queen's University.
- Susumu Imai & Neelam Jain, 2005. "Bayesian Estimation of Dynamic Discrete Choice Models," 2005 Meeting Papers 432, Society for Economic Dynamics.
- Tang Qingguo, 2009. "Asymptotic normality of M-estimators in a semiparametric model with longitudinal data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 69(1), pages 55-67, January.
- Richard, Jean-François, 2000. "Conférence François-Albert Angers (1999). Enchères : théorie économique et réalité," L'Actualité Economique, Société Canadienne de Science Economique, vol. 76(2), pages 173-198, juin.
- Charlier, E., 1997.
"Equivalence Scales for the Former West Germany,"
Other publications TiSEM
eed8f5af-8f69-445e-94df-d, Tilburg University, School of Economics and Management.
- Charlier, E., 1997. "Equivalence Scales for the Former West Germany," Discussion Paper 1997-74, Tilburg University, Center for Economic Research.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Townsend, John P. & Brorsen, B. Wade, 2000.
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Cited by:
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NBER Working Papers
23564, National Bureau of Economic Research, Inc.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey & James Robins, 2017. "Double/debiased machine learning for treatment and structural parameters," CeMMAP working papers 28/17, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey & James Robins, 2017. "Double/debiased machine learning for treatment and structural parameters," CeMMAP working papers CWP28/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016.
"Program evaluation and causal inference with high-dimensional data,"
CeMMAP working papers
13/16, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fern'andez-Val & Christian Hansen, 2013. "Program Evaluation and Causal Inference with High-Dimensional Data," Papers 1311.2645, arXiv.org, revised Jan 2018.
- A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2016. "Program evaluation and causal inference with high-dimensional data," CeMMAP working papers CWP13/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2016. "Double/Debiased Machine Learning for Treatment and Causal Parameters," Papers 1608.00060, arXiv.org, revised Dec 2017.
- Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013.
"Program evaluation with high-dimensional data,"
CeMMAP working papers
57/13, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2015. "Program evaluation with high-dimensional data," CeMMAP working papers CWP55/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2014. "Program evaluation with high-dimensional data," CeMMAP working papers 33/14, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2014. "Program evaluation with high-dimensional data," CeMMAP working papers CWP33/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2015. "Program evaluation with high-dimensional data," CeMMAP working papers 55/15, Institute for Fiscal Studies.
- Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers 77/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP57/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Miller, Steve & Startz, Richard, 2019. "Feasible generalized least squares using support vector regression," Economics Letters, Elsevier, vol. 175(C), pages 28-31.
- Hidehiko Ichimura & Oliver Linton, 2003.
"Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators,"
STICERD - Econometrics Paper Series
451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers CWP04/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers 04/01, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Y Nishiyama & Peter M Robinson, 1999. "Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): Nonlinear Statistical Modeling (Festschrift for Takeshi A," STICERD - Econometrics Paper Series 374, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2000.
"Edgeworth approximations for semiparametric instrumental variable estimators and test statistics,"
LSE Research Online Documents on Economics
2156, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2000. "Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics," STICERD - Econometrics Paper Series 399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey, 2016.
"Double machine learning for treatment and causal parameters,"
CeMMAP working papers
CWP49/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney K. Newey, 2016. "Double machine learning for treatment and causal parameters," CeMMAP working papers 49/16, Institute for Fiscal Studies.
- Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation for Research in Economics, Yale University.
- Nishiyama, Y & Robinson, Peter, 1999. "Studentization in Edgworth expansions for estimates of semiparametric index models," LSE Research Online Documents on Economics 2095, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
- Agboola, Oluwagbenga David & Yu, Han, 2023. "Neighborhood-based cross fitting approach to treatment effects with high-dimensional data," Computational Statistics & Data Analysis, Elsevier, vol. 186(C).
- Oliver Linton, 1993.
"Second Order Approximation in the Partially Linear Regression Model,"
Cowles Foundation Discussion Papers
1065, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1995. "Second Order Approximation in the Partially Linear Regression Model," Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
Cited by:
- Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
- Xiaohong Chen & Demian Pouzo, 2009.
"Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals,"
CeMMAP working papers
CWP20/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," CeMMAP working papers CWP09/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Cowles Foundation Discussion Papers 1640R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2009.
- Chen, Xiaohong & Pouzo, Demian, 2008. "Efficient Estimation of Semiparametric Conditional Moment Models with Possibly Nonsmooth Residuals," Working Papers 38, Yale University, Department of Economics.
- Chen, Xiaohong & Pouzo, Demian, 2009. "Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals," Journal of Econometrics, Elsevier, vol. 152(1), pages 46-60, September.
- Ichimura, Hidehiko & Todd, Petra E., 2007.
"Implementing Nonparametric and Semiparametric Estimators,"
Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74,
Elsevier.
- Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Xia, Yingcun & Härdle, Wolfgang, 2006. "Semi-parametric estimation of partially linear single-index models," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1162-1184, May.
- Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
- Liu, Yan & Zhang, Sanguo & Ma, Shuangge & Zhang, Qingzhao, 2020. "Tests for regression coefficients in high dimensional partially linear models," Statistics & Probability Letters, Elsevier, vol. 163(C).
- Yingcun Xia & Wolfgang Härdle & Oliver Linton, 2009.
"Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator,"
SFB 649 Discussion Papers
SFB649DP2009-028, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Wolfgang Härdle & Oliver Linton & Yingcun Xia, 2009. "Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator," STICERD - Econometrics Paper Series 537, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hardle, Wolfgang & Xia, Yingcun & Linton, Oliver, 2009. "Optimal smoothing for a computationally and statistically efficient single index estimator," LSE Research Online Documents on Economics 58173, London School of Economics and Political Science, LSE Library.
- Byunghoon Kang, 2017. "Inference in Nonparametric Series Estimation with Data-Dependent Undersmoothing," Working Papers 170712442, Lancaster University Management School, Economics Department.
- Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004.
"Testing forward exchange rate unbiasedness efficiently: A semiparametric approach,"
Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 7(1), pages 325-353, May.
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009.
"Instrumental Regression in Partially Linear Models,"
TSE Working Papers
10-167, Toulouse School of Economics (TSE).
- Florens, Jean-Pierre & Johannes, Jan & Van Bellegem, Sébastien, 2009. "Instrumental Regression in Partially Linear Models," IDEI Working Papers 613, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jean‐Pierre Florens & Jan Johannes & Sébastien Van Bellegem, 2012. "Instrumental regression in partially linear models," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 304-324, June.
- FLORENS, Jean-Pierre & JOHANNES, Jan & VAN BELLEGEM, Sébastien, 2006. "Instrumental regression in partially linear models," LIDAM Discussion Papers CORE 2006025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021.
"Rates of expansions for functional estimators,"
LSE Research Online Documents on Economics
113436, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
- Phillips, Peter C.B., 2014.
"Optimal estimation of cointegrated systems with irrelevant instruments,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 210-224.
- Peter C. B. Phillips, 2006. "Optimal Estimation of Cointegrated Systems with Irrelevant Instruments," Cowles Foundation Discussion Papers 1547, Cowles Foundation for Research in Economics, Yale University.
- Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
- Byunghoon Kang, 2018. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Working Papers 240829404, Lancaster University Management School, Economics Department.
- Qi Li & Aman Ullha, 1998. "Estimating partially linear panel data models with one-way error components," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 145-166.
- Wolfgang Haerdle & Oliver Linton & Qihua Wang, 2003.
"Semiparametric Regression Analysis under Imputation for Missing Response Data,"
STICERD - Econometrics Paper Series
454, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Wang, Qihua & Härdle, Wolfgang & Linton, Oliver, 2002. "Semiparametric regression analysis under imputation for missing response data," SFB 373 Discussion Papers 2002,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hardle, Wolfgang & Linton, Oliver & Wang, Qihua, 2003. "Semiparametric regression analysis under imputation for missing response data," LSE Research Online Documents on Economics 2206, London School of Economics and Political Science, LSE Library.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2018.
"A Unified Framework for Efficient Estimation of General Treatment Models,"
Papers
1808.04936, arXiv.org, revised Aug 2018.
- Ai, C. & Linton, O. & Motegi, K. & Zhang, Z., 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," Cambridge Working Papers in Economics 1934, Faculty of Economics, University of Cambridge.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," CeMMAP working papers CWP64/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2021. "A unified framework for efficient estimation of general treatment models," Quantitative Economics, Econometric Society, vol. 12(3), pages 779-816, July.
- Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2757-2777, January.
- Rothe, Christoph & Firpo, Sergio, 2013.
"Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions,"
IZA Discussion Papers
7564, Institute of Labor Economics (IZA).
- Rothe, Christoph & Firpo, Sergio Pinheiro, 2013. "Semiparametric estimation and inference using doubly robust moment conditions," Textos para discussão 330, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Boente, Graciela & Rodriguez, Daniela, 2008. "Robust bandwidth selection in semiparametric partly linear regression models: Monte Carlo study and influential analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2808-2828, January.
- Matias D. Cattaneo & Michael Jansson, 2014. "Bootstrapping Kernel-Based Semiparametric Estimators," CREATES Research Papers 2014-25, Department of Economics and Business Economics, Aarhus University.
- Rothe, Christoph, 2016. "The Value of Knowing the Propensity Score for Estimating Average Treatment Effects," IZA Discussion Papers 9989, Institute of Labor Economics (IZA).
- Xia, Yingcun & Härdle, Wolfgang, 2002. "Semi-parametric estimation of generalized partially linear single-index models," SFB 373 Discussion Papers 2002,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Francesco Bravo & David Jacho-Chavez, 2011. "Empirical Likelihood for Efficient Semiparametric Average Treatment Effects," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 1-24.
- Oliver Linton & Mototsugu Shintani, 2001.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
FMG Discussion Papers
dp383, Financial Markets Group.
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- Germán Aneiros-Pérez, 2004. "Plug-in bandwidth choice for estimation of nonparametric part in partial linear regression models with strong mixing errors," Statistical Papers, Springer, vol. 45(2), pages 191-210, April.
- Hidehiko Ichimura & Oliver Linton, 2003.
"Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators,"
STICERD - Econometrics Paper Series
451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers CWP04/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hidehiko Ichimura & Oliver Linton, 2001. "Asymptotic expansions for some semiparametric program evaluation estimators," CeMMAP working papers 04/01, Institute for Fiscal Studies.
- Ichimura, Hidehiko & Linton, Oliver, 2003. "Asymptotic expansions for some semiparametric program evaluation estimators," LSE Research Online Documents on Economics 2098, London School of Economics and Political Science, LSE Library.
- Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
- Alexandra Soberon & Irene D’Hers, 2020. "The Environmental Kuznets Curve: A Semiparametric Approach with Cross-Sectional Dependence," JRFM, MDPI, vol. 13(11), pages 1-23, November.
- Häggström, Jenny, 2013. "Bandwidth selection for backfitting estimation of semiparametric additive models: A simulation study," Computational Statistics & Data Analysis, Elsevier, vol. 62(C), pages 136-148.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach,"
Cahiers de recherche CREFE / CREFE Working Papers
143, CREFE, Université du Québec à Montréal.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hongjie Wei & Yan Sun, 2017. "Heteroskedasticity-robust semi-parametric GMM estimation of a spatial model with space-varying coefficients," Spatial Economic Analysis, Taylor & Francis Journals, vol. 12(1), pages 113-128, January.
- Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
- Matias Cattaneo & Michael Jansson & Whitney K. Newey, 2015.
"Alternative asymptotics and the partially linear model with many regressors,"
CeMMAP working papers
36/15, Institute for Fiscal Studies.
- Cattaneo, Matias D. & Jansson, Michael & Newey, Whitney K., 2018. "Alternative Asymptotics And The Partially Linear Model With Many Regressors," Econometric Theory, Cambridge University Press, vol. 34(2), pages 277-301, April.
- Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," Papers 1505.08120, arXiv.org.
- Matias D. Cattaneo & Michael Jansson & Whitney K. Newey, 2012. "Alternative Asymptotics and the Partially Linear Model with Many Regressors," CREATES Research Papers 2012-02, Department of Economics and Business Economics, Aarhus University.
- Matias Cattaneo & Michael Jansson & Whitney K. Newey, 2015. "Alternative asymptotics and the partially linear model with many regressors," CeMMAP working papers CWP36/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Haotian Chen & Xibin Zhang, 2014. "Bayesian Estimation for Partially Linear Models with an Application to Household Gasoline Consumption," Monash Econometrics and Business Statistics Working Papers 28/14, Monash University, Department of Econometrics and Business Statistics.
- Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
- Wang Q. & Linton O. & Hardle W., 2004.
"Semiparametric Regression Analysis With Missing Response at Random,"
Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 334-345, January.
- Wolfgang Härdle & Oliver Linton & Wang, Qihua, 2003. "Semiparametric regression analysis with missing response at random," CeMMAP working papers CWP11/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Yang Ning & Sida Peng & Jing Tao, 2020. "Doubly Robust Semiparametric Difference-in-Differences Estimators with High-Dimensional Data," Papers 2009.03151, arXiv.org.
- Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
- Chen, Songnian & Zhang, Hanghui, 2015. "Binary quantile regression with local polynomial smoothing," Journal of Econometrics, Elsevier, vol. 189(1), pages 24-40.
- Juhl, Ted & Xiao, Zhijie, 2005. "Testing for cointegration using partially linear models," Journal of Econometrics, Elsevier, vol. 124(2), pages 363-394, February.
- Liu, Ruixuan & Yu, Zhengfei, 2022. "Sample selection models with monotone control functions," Journal of Econometrics, Elsevier, vol. 226(2), pages 321-342.
- Yingcun Xia & Howell Tong & W. K. Li & Li‐Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410, August.
- Linton, Oliver, 2000.
"Edgeworth approximations for semiparametric instrumental variable estimators and test statistics,"
LSE Research Online Documents on Economics
2156, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2000. "Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics," STICERD - Econometrics Paper Series 399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
- Nielsen, Jens P. & Linton, Oliver & Bickel, Peter J., 1998. "On a semiparametric survival model with flexible covariate effect," LSE Research Online Documents on Economics 301, London School of Economics and Political Science, LSE Library.
- Fernanda Peixe & Alastair Hall & Kostas Kyriakoulis, 2006. "The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 117-138.
- Zhengyu Zhang, 2013. "A Pairwise Difference Estimator for Partially Linear Spatial Autoregressive Models," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(2), pages 176-194, June.
- Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
- Sun, Yan, 2017. "Estimation of single-index model with spatial interaction," Regional Science and Urban Economics, Elsevier, vol. 62(C), pages 36-45.
- Fan, Yanqin & Ullah, Aman, 1999. "Asymptotic Normality of a Combined Regression Estimator," Journal of Multivariate Analysis, Elsevier, vol. 71(2), pages 191-240, November.
- Oliver Linton, 2001. "Symmetrizing and unitizing transformations for linear smoother weights," Computational Statistics, Springer, vol. 16(1), pages 153-164, March.
- M. Dolores de Prada & Luis M. Borge, 1997. "Some methods for comparing first-order asymptotically equivalent estimators," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 473-500, September.
- Wolfgang Härdle & Oliver Linton & Wang & Qihua, 2003. "Semiparametric regression analysis with missing response at random," CeMMAP working papers 11/03, Institute for Fiscal Studies.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation for Research in Economics, Yale University.
- Byunghoon Kang, 2019. "Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms," Papers 1909.12162, arXiv.org, revised Feb 2020.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(3), pages 707-708, July.
- Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
- Wu, Guojun & Xiao, Zhijie, 2002. "A generalized partially linear model of asymmetric volatility," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 287-319, August.
- Boente, Graciela & Vahnovan, Alejandra, 2017. "Robust estimators in semi-functional partial linear regression models," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 59-84.
- Tamaki, Kenichiro, 2007. "Second order optimality for estimators in time series regression models," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 638-659, March.
- Noh, Hohsuk & El Ghouch, Anouar & Van Keilegom, Ingrid, 2011. "Quality of fit measures in the framework of quantile regression," LIDAM Discussion Papers ISBA 2011025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Germán Aneiros-Pérez & Philippe Vieu, 2011. "Automatic estimation procedure in partial linear model with functional data," Statistical Papers, Springer, vol. 52(4), pages 751-771, November.
- Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
- Su, Liangjun & Jin, Sainan, 2010. "Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 157(1), pages 18-33, July.
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- Oliver Linton, 1993.
"Adaptive Estimation in ARCH Models,"
Cowles Foundation Discussion Papers
1054, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1993. "Adaptive Estimation in ARCH Models," Econometric Theory, Cambridge University Press, vol. 9(4), pages 539-569, August.
Cited by:
- Linton, Oliver, 1996.
"Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models,"
Econometric Theory, Cambridge University Press, vol. 12(1), pages 30-60, March.
- Oliver Linton, 1994. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Cowles Foundation Discussion Papers 1086, Cowles Foundation for Research in Economics, Yale University.
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"Partially Adaptive Estimation via Maximum Entropy Densities,"
University of Cyprus Working Papers in Economics
6-2005, University of Cyprus Department of Economics.
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"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Enno Mammen & Oliver Linton, 2004.
"Estimating Semiparametric ARCH Models by Kernel Smoothing Methods,"
FMG Discussion Papers
dp511, Financial Markets Group.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Enno Mammen, 2003. "Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 453, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Andreou, Elena & Werker, Bas J.M., 2015. "Residual-based rank specification tests for AR–GARCH type models," Journal of Econometrics, Elsevier, vol. 185(2), pages 305-331.
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- Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- W. K. Li & Shiqing Ling & Michael McAleer, 2001. "A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors," ISER Discussion Paper 0545, Institute of Social and Economic Research, Osaka University.
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"Adaptive Estimation in Time Series Models,"
Papers
9488, Tilburg - Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1997. "Adaptive estimation in time-series models," Other publications TiSEM aa253902-af93-4e1e-b974-2, Tilburg University, School of Economics and Management.
- Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994. "Adaptive estimation in time-series models," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2004-56, Tilburg University, Center for Economic Research.
- Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
- Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
- Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013.
"Sequential estimation of shape parameters in multivariate dynamic models,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," LIDAM Discussion Papers CORE 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Elena Andreou & Bas J.M. Werker, 2014. "Residual-based Rank Specification Tests for AR-GARCH type models," University of Cyprus Working Papers in Economics 02-2014, University of Cyprus Department of Economics.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Drost, Feike C. & Klaassen, Chris A. J., 1997.
"Efficient estimation in semiparametric GARCH models,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 193-221, November.
- Drost, F.C. & Klaassen, C.A.J., 1996. "Efficient Estimation in Semiparametric GARCH Models," Discussion Paper 1996-38, Tilburg University, Center for Economic Research.
- Drost, F.C. & Klaassen, C.A.J., 1997. "Efficient estimation in semiparametric GARCH models," Other publications TiSEM c7de3f1c-c456-433e-a1c6-2, Tilburg University, School of Economics and Management.
- Thanasis Stengos & Yiguo Sun, 2005.
"The Absolute Health Income Hypothesis Revisited : A Semiparametric Quantile Regression Approach,"
University of Cyprus Working Papers in Economics
7-2005, University of Cyprus Department of Economics.
- Thanasis Stengos & Yiguo Sun, 2006. "The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach," Working Papers 0606, University of Guelph, Department of Economics and Finance.
- Yiguo Sun & Thanasis Stengos, 2008. "The absolute health income hypothesis revisited: a semiparametric quantile regression approach," Empirical Economics, Springer, vol. 35(2), pages 395-412, September.
- Yiguo Sun & Thanasis Stengos, 2007. "The absolute health income hypothesis revisited: A Semiparametric Quantile Regression Approach," Working Paper series 23_07, Rimini Centre for Economic Analysis.
- Drost, F.C. & Werker, B.J.M., 1996.
"Closing the GARCH gap : Continuous time GARCH modeling,"
Other publications TiSEM
c3d29817-403a-4ad1-9295-8, Tilburg University, School of Economics and Management.
- Drost, F.C. & Werker, B.J.M., 1994. "Closing the GARCH gap : Continuous time GARCH modeling," Discussion Paper 1994-2, Tilburg University, Center for Economic Research.
- Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
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"Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models,"
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- Francq, Christian & Zakoian, Jean-Michel, 2023. "Local Asymptotic Normality Of General Conditionally Heteroskedastic And Score-Driven Time-Series Models," Econometric Theory, Cambridge University Press, vol. 39(5), pages 1067-1092, October.
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"Efficient Estimation of Conditional Asset-Pricing Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 269-283, April.
- Douglas J. Hodgson & Keith Vorkink, 2001. "Efficient Estimation of Conditional Asset Pricing Models," Cahiers de recherche CREFE / CREFE Working Papers 144, CREFE, Université du Québec à Montréal.
- Drost, F.C. & Werker, B.J.M., 2001.
"Semiparametric Duration Models,"
Other publications TiSEM
845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
- Drost, Feike C & Werker, Bas J M, 2004. "Semiparametric Duration Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 40-50, January.
- Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.
- Drost, F.C. & Werker, B.J.M., 2004. "Semiparametric duration models," Other publications TiSEM a1895e3e-f720-454b-9613-f, Tilburg University, School of Economics and Management.
- Oliver Linton & Douglas G. Steigerwald, 1995.
"Adaptive Testing in ARCH Models,"
Cowles Foundation Discussion Papers
1105, Cowles Foundation for Research in Economics, Yale University.
- Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
- MEDDAHI, Nour & RENAULT, Éric, 1998.
"Quadratic M-Estimators for ARCH-Type Processes,"
Cahiers de recherche
9814, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi & Eric Renault, 1998. "Quadratic M-Estimators for ARCH-Type Processes," CIRANO Working Papers 98s-29, CIRANO.
- Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 93fe16c1-9f21-4dab-9b73-4, Tilburg University, School of Economics and Management.
- Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
- Rombouts, Jeroen V. K. & Hafner, Christian M., 2004.
"Semiparametric multivariate volatility models,"
Papers
2004,14, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
- Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 251-280, April.
- Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hallin, Marc & La Vecchia, Davide, 2017. "R-estimation in semiparametric dynamic location-scale models," Journal of Econometrics, Elsevier, vol. 196(2), pages 233-247.
- Mimoto, Nao, 2008. "Convergence in distribution for the sup-norm of a kernel density estimator for GARCH innovations," Statistics & Probability Letters, Elsevier, vol. 78(7), pages 915-923, May.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001.
"Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach,"
Cahiers de recherche CREFE / CREFE Working Papers
143, CREFE, Université du Québec à Montréal.
- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Eduardo Rossi, 2010. "Univariate GARCH models: a survey (in Russian)," Quantile, Quantile, issue 8, pages 1-67, July.
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"Adaptive estimation of cointegrating regressions with ARMA errors,"
Journal of Econometrics, Elsevier, vol. 85(2), pages 231-267, August.
- Hodgson, D.J., 1995. "Adaptive Estimation of Cointegrating Regressions with ARMA Errors," RCER Working Papers 408, University of Rochester - Center for Economic Research (RCER).
- Safarian, Mher, 2013. "On portfolio risk estimation," Working Paper Series in Economics 52, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
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- Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Other publications TiSEM 9fe68e51-a026-4660-b6e7-8, Tilburg University, School of Economics and Management.
- Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Mammen, Enno, 2004. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 24762, London School of Economics and Political Science, LSE Library.
- Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models,"
Working Paper series
38_07, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
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"Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods,"
Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 58068, London School of Economics and Political Science, LSE Library.
- Douglas Hodgson, 2002. "Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form," Cahiers de recherche CREFE / CREFE Working Papers 146, CREFE, Université du Québec à Montréal.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871.
- Gonzalez-Rivera, G. & Drost, F.C., 1998.
"Efficiency comparisons of maximum likelihood-based estimators in garch models,"
Discussion Paper
1998-124, Tilburg University, Center for Economic Research.
- Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
- Gonzalez-Rivera, G. & Drost, F.C., 1998. "Efficiency comparisons of maximum likelihood-based estimators in garch models," Discussion Paper 1998-124, Tilburg University, Center for Economic Research.
- Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
- Douglas Hodgson & Barrett Slade & Keith Vorkink, 2006. "Constructing Commercial Indices: A Semiparametric Adaptive Estimator Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 151-168, March.
- Werker, Bas J M & Andreou, Elena, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
- Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University.
- Chen, Songnian & Zhou, Yahong, 2010. "Semiparametric and nonparametric estimation of sample selection models under symmetry," Journal of Econometrics, Elsevier, vol. 157(1), pages 143-150, July.
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- Marc Hallin & Davide La Vecchia, 2014. "Semiparametrically Efficient R-Estimation for Dynamic Location-Scale Models," Working Papers ECARES ECARES 2014-45, ULB -- Universite Libre de Bruxelles.
- Ciccarelli Nicola, 2018. "Semiparametric efficient adaptive estimation of the GJR-GARCH model," Statistics & Risk Modeling, De Gruyter, vol. 35(3-4), pages 141-160, July.
- Xuejie Feng & Chiping Zhang, 2020. "A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 1021-1044, March.
- Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
- Chen, Songnian, 2000. "Rank estimation of a location parameter in the binary choice model," Journal of Econometrics, Elsevier, vol. 98(2), pages 317-334, October.
- Andreou, E. & Werker, B.J.M., 2003. "A Simple Asymptotic Analysis of Residual-Based Statistics," Discussion Paper 2003-118, Tilburg University, Center for Economic Research.
- Oliver LINTON, "undated".
"Kernel estimation in a nonparametric marker dependent Hazard Model,"
Statistic und Oekonometrie
9313, Humboldt Universitaet Berlin.
Cited by:
- Ingrid Van Keilegom & Noël Veraverbeke, 2001. "Hazard Rate Estimation in Nonparametric Regression with Censored Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(4), pages 730-745, December.
- Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 403-423, September.
- Gorgens, T., 1999.
"Semiparametric Estimation of Single-Index Transition Intensities,"
Papers
99-25, Carleton - School of Public Administration.
- Tue Gorgens, 2000. "Semiparametric Estimation of Single-Index Transition Intensities," Econometric Society World Congress 2000 Contributed Papers 0596, Econometric Society.
- Tue Gørgens, 1999. "Semiparametric Estimation of Single-Index Transition Intensities," Discussion Papers 99-25, University of Copenhagen. Department of Economics.
- Perch Nielsen, Jens, 2000. "Super-Efficient Prediction Based on High-Quality Marker Information," Finance Working Papers 00-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
Articles
- Z. Merrick Li & Oliver Linton, 2022.
"A ReMeDI for Microstructure Noise,"
Econometrica, Econometric Society, vol. 90(1), pages 367-389, January.
See citations under working paper version above.
- Merrick Li, Z. & Linton, O., 2019. "A ReMeDI for Microstructure Noise," Cambridge Working Papers in Economics 1908, Faculty of Economics, University of Cambridge.
- Ai, Chunrong & Linton, Oliver & Zhang, Zheng, 2022.
"Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models,"
Journal of Econometrics, Elsevier, vol. 228(1), pages 39-61.
Cited by:
- Zequn Jin & Lihua Lin & Zhengyu Zhang, 2022. "Identification and Auto-debiased Machine Learning for Outcome Conditioned Average Structural Derivatives," Papers 2211.07903, arXiv.org.
- Ganesh Karapakula, 2023. "Stable Probability Weighting: Large-Sample and Finite-Sample Estimation and Inference Methods for Heterogeneous Causal Effects of Multivalued Treatments Under Limited Overlap," Papers 2301.05703, arXiv.org, revised Jan 2023.
- Yu-Chin Hsu & Martin Huber & Yu-Min Yen, 2023. "Doubly Robust Estimation of Direct and Indirect Quantile Treatment Effects with Machine Learning," Papers 2307.01049, arXiv.org.
- Li, Shaoran & Linton, Oliver, 2021.
"When will the Covid-19 pandemic peak?,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
See citations under working paper version above.
- Li, S. & Linton, O., 2020. "When will the Covid-19 pandemic peak?," Cambridge Working Papers in Economics 2025, Faculty of Economics, University of Cambridge.
- Oliver Linton, 2020. "When will the Covid-19 pandemic peak?," CeMMAP working papers CWP11/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Yoon Jae Whang & Yu-Min Yen, 2021.
"The lower regression function and testing expectation dependence dominance hypotheses,"
Econometric Reviews, Taylor & Francis Journals, vol. 40(8), pages 709-727, September.
See citations under working paper version above.
- Linton, O. & Whang, Y-J. & Yen, Y., 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Cambridge Working Papers in Economics 1880, Faculty of Economics, University of Cambridge.
- Oliver Linton & YOON-JAE WHANG & Yu-Min Yen, 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Working Paper Series no110, Institute of Economic Research, Seoul National University.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021.
"Estimation and inference in semiparametric quantile factor models,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
See citations under working paper version above.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017. "Estimation and inference in semiparametric quantile factor models," Monash Econometrics and Business Statistics Working Papers 8/17, Monash University, Department of Econometrics and Business Statistics.
- Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021.
"A weighted sieve estimator for nonparametric time series models with nonstationary variables,"
Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
Cited by:
- Tingting Cheng & Chaohua Dong & Jiti Gao & Oliver Linton, 2022. "GMM Estimation for High-Dimensional Panel Data Models," Monash Econometrics and Business Statistics Working Papers 11/22, Monash University, Department of Econometrics and Business Statistics.
- Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
- Dong, C. & Li, S., 2021. "Specification Lasso and an Application in Financial Markets," Cambridge Working Papers in Economics 2139, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018.
"High dimensional semiparametric moment restriction models,"
CeMMAP working papers
CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, Chaohua & Gao, Jiti & Linton, Oliver, 2023. "High dimensional semiparametric moment restriction models," Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022.
"Semiparametric Single-Index Estimation for Average Treatment Effects,"
Monash Econometrics and Business Statistics Working Papers
10/22, Monash University, Department of Econometrics and Business Statistics.
- Difang Huang & Jiti Gao & Tatsushi Oka, 2022. "Semiparametric Single-Index Estimation for Average Treatment Effects," Papers 2206.08503, arXiv.org, revised Apr 2024.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
- Peng, Zhen & Dong, Chaohua, 2022. "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, vol. 47(PB).
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
- Escanciano, Juan Carlos & Hoderlein, Stefan & Lewbel, Arthur & Linton, Oliver & Srisuma, Sorawoot, 2021.
"Nonparametric Euler Equation Identification And Estimation,"
Econometric Theory, Cambridge University Press, vol. 37(5), pages 851-891, October.
See citations under working paper version above.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers CWP61/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2010. "Nonparametric Euler Equation Identification and Estimation," Boston College Working Papers in Economics 757, Boston College Department of Economics, revised 15 Mar 2020.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton & Sorawoot Srisuma, 2015. "Nonparametric Euler equation identification and estimation," CeMMAP working papers 61/15, Institute for Fiscal Studies.
- Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020. "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics 2064, Faculty of Economics, University of Cambridge.
- Juan Carlos Escanciano & Stefan Hoderlein & Arthur Lewbel & Oliver Linton, 2015. "Nonparametric Euler Equation Identification andEstimation," Cambridge Working Papers in Economics 1560, Faculty of Economics, University of Cambridge.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2021.
"A unified framework for efficient estimation of general treatment models,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 779-816, July.
See citations under working paper version above.
- Ai, C. & Linton, O. & Motegi, K. & Zhang, Z., 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," Cambridge Working Papers in Economics 1934, Faculty of Economics, University of Cambridge.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2018. "A Unified Framework for Efficient Estimation of General Treatment Models," Papers 1808.04936, arXiv.org, revised Aug 2018.
- Chunrong Ai & Oliver Linton & Kaiji Motegi & Zheng Zhang, 2019. "A Unified Framework for Efficient Estimation of General Treatment Models," CeMMAP working papers CWP64/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
See citations under working paper version above.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
See citations under working paper version above.
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Vogt, Michael & Linton, Oliver, 2020.
"Multiscale clustering of nonparametric regression curves,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
See citations under working paper version above.
- Michael Vogt & Oliver Linton, 2018. "Multiscale clustering of nonparametric regression curves," CeMMAP working papers CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
See citations under working paper version above.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Wu, Jianbin, 2020.
"A coupled component DCS-EGARCH model for intraday and overnight volatility,"
Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
Cited by:
- Eric A. Beutner & Yicong Lin & Andre Lucas, 2023. "Consistency, distributional convergence, and optimality of score-driven filters," Tinbergen Institute Discussion Papers 23-051/III, Tinbergen Institute.
- Insana, Alessandra, 2023. "Betting against beta with intraday and overnight signals," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli, 2021. "Estimating Risk in Illiquid Markets: a Model of Market Friction with Stochastic Volatility," CEIS Research Paper 506, Tor Vergata University, CEIS, revised 08 Nov 2021.
- Alanya-Beltran Willy, 2023. "Modelling volatility dependence with score copula models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(5), pages 649-668, December.
- Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
- Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020.
"A Robust Score-Driven Filter for Multivariate Time Series,"
Papers
2009.01517, arXiv.org, revised Aug 2022.
- Enzo D’Innocenzo & Alessandra Luati & Mario Mazzocchi, 2023. "A robust score-driven filter for multivariate time series," Econometric Reviews, Taylor & Francis Journals, vol. 42(5), pages 441-470, May.
- Opschoor, Anne & Lucas, André, 2021. "Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting," International Journal of Forecasting, Elsevier, vol. 37(2), pages 622-633.
- Insana, Alessandra, 2022. "Does systematic risk change when markets close? An analysis using stocks’ beta," Economic Modelling, Elsevier, vol. 109(C).
- Gao, Jiti & Linton, Oliver & Peng, Bin, 2020.
"Inference On A Semiparametric Model With Global Power Law And Local Nonparametric Trends,"
Econometric Theory, Cambridge University Press, vol. 36(2), pages 223-249, April.
See citations under working paper version above.
- Jiti Gao & Oliver Linton & Bin Peng, 2017. "Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends," Monash Econometrics and Business Statistics Working Papers 10/17, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Oliver Linton & Bin Peng, 2018. "Inference on a semiparametric model with global power law and local nonparametric trends," CeMMAP working papers CWP05/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ba M. Chu & David T. Jacho-Chávez & Oliver B. Linton, 2020.
"Standard Errors for Nonparametric Regression,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(7), pages 674-690, August.
Cited by:
- Zhang, Anan & Zheng, Yadi & Huang, Huang & Ding, Ning & Zhang, Chengqian, 2022. "Co-integration theory-based cluster time-varying load optimization control model of regional integrated energy system," Energy, Elsevier, vol. 260(C).
- Linton, Oliver & Xiao, Zhijie, 2019.
"Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
See citations under working paper version above.
- Linton, O. & Xiao, Z., 2019. "Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity," Cambridge Working Papers in Economics 1907, Faculty of Economics, University of Cambridge.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
See citations under working paper version above.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Auld, Tom & Linton, Oliver, 2019.
"The behaviour of betting and currency markets on the night of the EU referendum,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 371-389.
See citations under working paper version above.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," Monash Econometrics and Business Statistics Working Papers 10/18, Monash University, Department of Econometrics and Business Statistics.
- Tom Auld & Oliver Linton, 2018. "The behaviour of betting and currency markets on the night of the EU referendum," CeMMAP working papers CWP01/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Auld, T. & Linton, O., 2017. "The Behaviour of Betting and Currency Markets on the Night of the EU Referendum," Cambridge Working Papers in Economics 1750, Faculty of Economics, University of Cambridge.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2018.
"Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 919-932, April.
Cited by:
- Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Wei, Jie & Chen, Hui, 2020. "Determining the number of factors in approximate factor models by twice K-fold cross validation," Economics Letters, Elsevier, vol. 191(C).
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017.
"Time-varying Model Averaging,"
Working Papers
202001, University of California at Riverside, Department of Economics.
- Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Lin, Boqiang & Xu, Bin, 2019. "How to effectively stabilize China's commodity price fluctuations?," Energy Economics, Elsevier, vol. 84(C).
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Liao, Jun & Wan, Alan T.K. & He, Shuyuan & Zou, Guohua, 2022. "Optimal model averaging for multivariate regression models," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
- Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.
- Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua, 2019. "Model averaging based on leave-subject-out cross-validation for vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(1), pages 35-60.
- Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
- Yuying Sun & Shaoxin Hong & Zongwu Cai, 2023. "Optimal Local Model Averaging for Divergent-Dimensional Functional-Coefficient Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202309, University of Kansas, Department of Economics, revised Sep 2023.
- Guo, Chaohui & Lv, Jing & Wu, Jibo, 2021. "Composite quantile regression for ultra-high dimensional semiparametric model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
- De Gooijer Jan G. & Zerom Dawit, 2020. "Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts," Journal of Time Series Econometrics, De Gruyter, vol. 12(1), pages 1-15, January.
- Oliver Linton & Soheil Mahmoodzadeh, 2018.
"Implications of High-Frequency Trading for Security Markets,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
See citations under working paper version above.
- Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of high-frequency trading for security markets," CeMMAP working papers CWP06/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, O. & Mahmoodzadeh, S., 2018. "Implications of High-Frequency Trading for Security Markets," Cambridge Working Papers in Economics 1802, Faculty of Economics, University of Cambridge.
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
See citations under working paper version above.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Linton, Oliver & Yi, Yanping, 2017.
"Semiparametric identification of the bid–ask spread in extended Roll models,"
Journal of Econometrics, Elsevier, vol. 200(2), pages 312-325.
Cited by:
- Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
- Duda Jarosław & Gurgul Henryk & Syrek Robert, 2020.
"Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction,"
Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 99-118, December.
- Jaros{l}aw Duda & Robert Syrek & Henryk Gurgul, 2019. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Papers 1911.02361, arXiv.org.
- Hafner, Christian M. & Linton, Oliver, 2017.
"An Almost Closed Form Estimator For The Egarch Model,"
Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
See citations under working paper version above.
- Christian M. HAFNER & Oliver LINTON, 2017. "An almost closed form estimator for the EGARCH model," LIDAM Reprints CORE 2881, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The EGARCH Model," LIDAM Reprints ISBA 2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gordon Anderson & Oliver Linton & Jasmin Thomas, 2017.
"Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions,"
METRON, Springer;Sapienza Università di Roma, vol. 75(2), pages 161-180, August.
Cited by:
- Anderson, G. & Linton, O. & Pittau, M G. & Whang, Y-J. & Zelli, R., 2020.
"On Unit Free Assessment of The Extent of Multilateral Distributional Variation,"
Cambridge Working Papers in Economics
20123, Faculty of Economics, University of Cambridge.
- Gordon Anderson & Oliver Linton & Maria Grazia Pittau & Yoon-Jae Whang & Roberto Zelli, 2021. "On unit free assessment of the extent of multilateral distributional variation," The Econometrics Journal, Royal Economic Society, vol. 24(3), pages 502-518.
- Gordon Anderson & Oliver Linton & Grazia Pittau & Yoon Jae Whang & Roberto Zelli, 2020. "On Unit Free Assessment of The Extent of Multilateral Distributional Variation," Working Papers tecipa-657, University of Toronto, Department of Economics.
- Gordon Anderson, Alessio Farcomeni, Maria Grazia Pittau and Roberto Zelli, 2019.
"Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development Since 1990,"
Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(1), pages 1-22, March.
- Gordon Anderson & Alessio Farcomeni & Maria Grazia Pittau & Roberto Zelli, 2018. "Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development since 1990," Working Papers tecipa-602, University of Toronto, Department of Economics.
- Gordon Anderson & Jasmin Thomas, 2019. "Measuring Multi-group Polarization, Segmentation and Ambiguity: Increasingly Unequal Yet Similar Constituent Canadian Income Distributions," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 145(3), pages 1001-1032, October.
- Gordon Anderson & Maria Grazia Pittau & Roberto Zelli & Jasmin Thomas, 2018. "Income Inequality, Cohesiveness and Commonality in the Euro Area: A Semi-Parametric Boundary-Free Analysis," Econometrics, MDPI, vol. 6(2), pages 1-20, March.
- Gordon Anderson & Tongtong Hao & Maria Grazia Pittau, 2019. "More unequal yet more alike, the changing patterns of family formation, generational mobility and household income inequality in China: a counter-factual analysis," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 17(3), pages 359-378, September.
- Gordon Anderson, 2018. "Measuring Aspects of Mobility, Polarization and Convergence in the Absence of Cardinality: Indices Based Upon Transitional Typology," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 139(3), pages 887-907, October.
- Anderson, G. & Linton, O. & Pittau, M G. & Whang, Y-J. & Zelli, R., 2020.
"On Unit Free Assessment of The Extent of Multilateral Distributional Variation,"
Cambridge Working Papers in Economics
20123, Faculty of Economics, University of Cambridge.
- Michael Vogt & Oliver Linton, 2017.
"Classification of non-parametric regression functions in longitudinal data models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 5-27, January.
Cited by:
- Xiaorong Yang & Jia Chen & Degui Li & Runze Li, 2023. "Functional-Coefficient Quantile Regression for Panel Data with Latent Group Structure," Papers 2303.13218, arXiv.org.
- Miao, Ke & Su, Liangjun & Wang, Wendun, 2020.
"Panel threshold regressions with latent group structures,"
Journal of Econometrics, Elsevier, vol. 214(2), pages 451-481.
- Ke, Miao & Su, Liangjun & Wang, Wendun, 2019. "Panel threshold regressions with latent group structures," Economics and Statistics Working Papers 13-2019, Singapore Management University, School of Economics.
- Vogt, Michael & Linton, Oliver, 2020.
"Multiscale clustering of nonparametric regression curves,"
Journal of Econometrics, Elsevier, vol. 216(1), pages 305-325.
- Michael Vogt & Oliver Linton, 2018. "Multiscale clustering of nonparametric regression curves," CeMMAP working papers CWP08/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Wang, Wei & Xiao, Zhijie & Ren, Yanyan & Yan, Xiaodong, 2023. "A bi-integrative analysis of two-dimensional heterogeneous panel data models," Economics Letters, Elsevier, vol. 230(C).
- Liebl, Dominik & Walders, Fabian, 2019. "Parameter regimes in partial functional panel regression," Econometrics and Statistics, Elsevier, vol. 11(C), pages 105-115.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Jia Chen, 2018.
"Estimating Latent Group Structure in Time-Varying Coefficient Panel Data Models,"
Discussion Papers
18/15, Department of Economics, University of York.
- Jia Chen, 2019. "Estimating latent group structure in time-varying coefficient panel data models," The Econometrics Journal, Royal Economic Society, vol. 22(3), pages 223-240.
- Xi Chen & Ye Luo & Martin Spindler, 2019. "Adaptive Discrete Smoothing for High-Dimensional and Nonlinear Panel Data," Papers 1912.12867, arXiv.org, revised Jan 2020.
- Zhentao Shi & Liangjun Su & Tian Xie, 2020. "L2-Relaxation: With Applications to Forecast Combination and Portfolio Analysis," Papers 2010.09477, arXiv.org, revised Aug 2022.
- Gao, Jiti & Xia, Kai & Zhu, Huanjun, 2020. "Heterogeneous panel data models with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 219(2), pages 329-353.
- Su, Liangjun & Wang, Wuyi & Xu, Xingbai, 2023. "Identifying latent group structures in spatial dynamic panels," Journal of Econometrics, Elsevier, vol. 235(2), pages 1955-1980.
- Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
- Lena Boneva & Oliver Linton, 2017.
"A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(7), pages 1226-1243, November.
Cited by:
- Ando, Tomohiro & Bai, Jushan & Li, Kunpeng, 2022. "Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 230(1), pages 20-38.
- Ando, Tomohiro & Bai, Jushan, 2021. "Large-scale generalized linear longitudinal data models with grouped patterns of unobserved heterogeneity," MPRA Paper 111431, University Library of Munich, Germany.
- Williams, Benjamin, 2020. "Nonparametric identification of discrete choice models with lagged dependent variables," Journal of Econometrics, Elsevier, vol. 215(1), pages 286-304.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Artūras Juodis, 2022. "A regularization approach to common correlated effects estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 788-810, June.
- Bartolucci, Francesco & Pigini, Claudia & Valentini, Francesco, 2021. "MCMC Conditional Maximum Likelihood for the two-way fixed-effects logit," MPRA Paper 110034, University Library of Munich, Germany.
- Andrea Zaghini, 2017.
"The CSPP at work: yield heterogeneity and the portfolio rebalancing channel,"
Temi di discussione (Economic working papers)
1157, Bank of Italy, Economic Research and International Relations Area.
- Zaghini, Andrea, 2019. "The CSPP at work - yield heterogeneity and the portfolio rebalancing channel," Working Paper Series 2264, European Central Bank.
- Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
- Mingli Chen & Iv'an Fern'andez-Val & Martin Weidner, 2014.
"Nonlinear Factor Models for Network and Panel Data,"
Papers
1412.5647, arXiv.org, revised Oct 2019.
- Chen, Mingli & Fernández-Val, Iván & Weidner, Martin, 2021. "Nonlinear factor models for network and panel data," Journal of Econometrics, Elsevier, vol. 220(2), pages 296-324.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2018. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP38/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Mingli Chen & Ivan Fernandez-Val & Martin Weidner, 2019. "Nonlinear factor models for network and panel data," CeMMAP working papers CWP18/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jiti Gao & Fei Liu & Bin peng, 2020. "Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 44/20, Monash University, Department of Econometrics and Business Statistics.
- Ye, Xiaoqing & Xu, Juan & Wu, Xiangjun, 2018. "Estimation of an unbalanced panel data Tobit model with interactive effects," Journal of choice modelling, Elsevier, vol. 28(C), pages 108-123.
- Eberhardt, Markus, 2018. "(At Least) Four Theories for Sovereign Default," CEPR Discussion Papers 13084, C.E.P.R. Discussion Papers.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024.
"One Factor to Bind the Cross-Section of Returns,"
NBER Working Papers
32365, National Bureau of Economic Research, Inc.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Cowles Foundation Discussion Papers 2386, Cowles Foundation for Research in Economics, Yale University.
- Nicola Borri & Denis Chetverikov & Yukun Liu & Aleh Tsyvinski, 2024. "One Factor to Bind the Cross-Section of Returns," Papers 2404.08129, arXiv.org.
- Mugnier, Martin & Wang, Ao, 2022. "Identification and (Fast) Estimation of Large Nonlinear Panel Models with Two-Way Fixed Effects," The Warwick Economics Research Paper Series (TWERPS) 1422, University of Warwick, Department of Economics.
- Mr. Markus Eberhardt & Mr. Andrea F Presbitero, 2018. "Commodity Price Movements and Banking Crises," IMF Working Papers 2018/153, International Monetary Fund.
- Arturas Juodis & Simon Reese, 2018. "The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation," Papers 1810.03715, arXiv.org, revised Feb 2021.
- Rachel Cho & Rodolphe Desbordes & Markus Eberhardt, 2022. "The causal effects of the darker side of financial development," Discussion Papers 2022-04, University of Nottingham, GEP.
- Liang Chen & Minyuan Zhang, 2023. "Common Correlated Effects Estimation of Nonlinear Panel Data Models," Papers 2304.13199, arXiv.org.
- Jiti Gao & Oliver Linton & Bin Peng, 2022. "A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation," Monash Econometrics and Business Statistics Working Papers 9/22, Monash University, Department of Econometrics and Business Statistics.
- Jie Wei & Yonghui Zhang, 2022. "Panel Probit Models with Time‐Varying Individual Effects: Reestimating the Effects of Fertility on Female Labour Participation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 799-829, August.
- Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao, 2019. "Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice," Journal of Econometrics, Elsevier, vol. 212(2), pages 607-622.
- Rodolphe Desbordes & Markus Eberhardt, 2019. "Gravity," Discussion Papers 2019-02, University of Nottingham, GEP.
- Lee, Yoonseok & Sul, Donggyu, 2023. "Depth-weighted means of noisy data: An application to estimating the average effect in heterogeneous panels," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
- Feng, Qu, 2020. "Common factors and common breaks in panels: An empirical investigation," Economics Letters, Elsevier, vol. 187(C).
- Chen, Jia & Shin, Yongcheol & Zheng, Chaowen, 2022. "Estimation and inference in heterogeneous spatial panels with a multifactor error structure," Journal of Econometrics, Elsevier, vol. 229(1), pages 55-79.
- Chen, Xiaohong & Jacho-Chávez, David T. & Linton, Oliver, 2016.
"Averaging Of An Increasing Number Of Moment Condition Estimators,"
Econometric Theory, Cambridge University Press, vol. 32(1), pages 30-70, February.
Cited by:
- S. Boragan Aruoba & Ronel Elul & Sebnem Kalemli Ozcan, 2022. "Housing Wealth and Consumption: The Role of Heterogeneous Credit Constraints," Working Papers 22-34, Federal Reserve Bank of Philadelphia.
- Lena Boneva (Körber) & Oliver Linton, 2017.
"A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance,"
CeMMAP working papers
CWP02/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, Lena & Linton, Oliver, 2017. "A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance," Bank of England working papers 640, Bank of England.
- Boneva, L. & Linton, O., 2017. "A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance," Cambridge Working Papers in Economics 1703, Faculty of Economics, University of Cambridge.
- Chaudhuri, Saraswata & Renault, Eric, 2023. "Efficient estimation of regression models with user-specified parametric model for heteroskedasticty," The Warwick Economics Research Paper Series (TWERPS) 1473, University of Warwick, Department of Economics.
- Frank Windmeijer, 2017.
"Two-Stage Least Squares as Minimum Distance,"
Bristol Economics Discussion Papers
17/683, School of Economics, University of Bristol, UK, revised 13 Jun 2018.
- Frank Windmeijer, 2019. "Two-stage least squares as minimum distance," The Econometrics Journal, Royal Economic Society, vol. 22(1), pages 1-9.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Yoonseok Lee & Yu Zhou, 2015. "Averaged Instrumental Variables Estimators," Center for Policy Research Working Papers 180, Center for Policy Research, Maxwell School, Syracuse University.
- Cizek, P. & Lei, J., 2013.
"Identification and Estimation of Nonseparable Single-Index Models in Panel Data with Correlated Random Effects,"
Other publications TiSEM
73e394eb-6799-4c79-af23-8, Tilburg University, School of Economics and Management.
- Cizek, P. & Lei, J., 2013. "Identification and Estimation of Nonseparable Single-Index Models in Panel Data with Correlated Random Effects," Discussion Paper 2013-062, Tilburg University, Center for Economic Research.
- Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
- Matthew Harding & Carlos Lamarche & Chris Muris, 2022. "Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data," Papers 2203.03051, arXiv.org.
- Mengli Zhang & Yang Bai, 2021. "On the use of repeated measurement errors in linear regression models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 779-803, July.
- Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
- Han, Heejoon & Linton, Oliver & Oka, Tatsushi & Whang, Yoon-Jae, 2016.
"The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series,"
Journal of Econometrics, Elsevier, vol. 193(1), pages 251-270.
See citations under working paper version above.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers CWP06/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series," Cambridge Working Papers in Economics 1452, Faculty of Economics, University of Cambridge.
- Heejoon Han & Oliver Linton & Tatsushi Oka & Yoon-Jae Whang, 2014. "The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series," CeMMAP working papers 06/14, Institute for Fiscal Studies.
- Linton, Oliver & Whang, Yoon-Jae & Yen, Yu-Min, 2016.
"A nonparametric test of a strong leverage hypothesis,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 153-186.
See citations under working paper version above.
- Oliver Linton & Yoon-Jae Whang & Yu-Min Yen, 2013. "A nonparametric test of a strong leverage hypothesis," CeMMAP working papers CWP28/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
See citations under working paper version above.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Park, Sujin & Hong, Seok Young & Linton, Oliver, 2016.
"Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error,"
Journal of Econometrics, Elsevier, vol. 191(2), pages 325-347.
Cited by:
- Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano, 2022. "Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise," Papers 2209.08967, arXiv.org.
- Markus Bibinger & Per A. Mykland, 2016. "Inference for Multi-dimensional High-frequency Data with an Application to Conditional Independence Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(4), pages 1078-1102, December.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Working Papers
202212, University of Liverpool, Department of Economics.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers 2307.01348, arXiv.org.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Janeway Institute Working Papers
2208, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
- Mykland, Per A. & Zhang, Lan & Chen, Dachuan, 2019. "The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times," Journal of Econometrics, Elsevier, vol. 208(1), pages 101-119.
- Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020.
"Estimation of a multiplicative correlation structure in the large dimensional case,"
LIDAM Reprints ISBA
2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
- Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
- Fan, Jianqing & Kim, Donggyu, 2019. "Structured volatility matrix estimation for non-synchronized high-frequency financial data," Journal of Econometrics, Elsevier, vol. 209(1), pages 61-78.
- Richard Y. Chen, 2019. "The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations," Papers 1911.02205, arXiv.org.
- Linton, Oliver & Wang, Qiying, 2016.
"Nonparametric Transformation Regression With Nonstationary Data,"
Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
See citations under working paper version above.
- Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Smetanina, Ekaterina, 2016.
"Testing the martingale hypothesis for gross returns,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 664-689.
Cited by:
- Andrey Shternshis & Piero Mazzarisi & Stefano Marmi, 2022. "Efficiency of the Moscow Stock Exchange before 2022," Papers 2207.10476, arXiv.org, revised Jul 2022.
- Lena Boneva & Oliver Linton & Michael Vogt, 2016.
"The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 192-213, January.
See citations under working paper version above.
- Lena Körber & Oliver Linton & Michael Vogt, 2014. "The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market," Cambridge Working Papers in Economics 1454, Faculty of Economics, University of Cambridge.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "The effect of fragmentation in trading on market quality in the UK equity market," CeMMAP working papers CWP42/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koo, Bonsoo & Linton, Oliver, 2015.
"Let’S Get Lade: Robust Estimation Of Semiparametric Multiplicative Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 31(4), pages 671-702, August.
See citations under working paper version above.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers CWP11/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015.
"A semiparametric model for heterogeneous panel data with fixed effects,"
Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
See citations under working paper version above.
- Lena Boneva (Körber) & Oliver Linton & Michael Vogt, 2013. "A semiparametric model for heterogeneous panel data with fixed effects," CeMMAP working papers CWP02/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015.
"A flexible semiparametric forecasting model for time series,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
Cited by:
- Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
- Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
- Michele Battisti & Massimo Del Gatto & Christopher F. Parmeter, 2018. "Labor productivity growth: disentangling technology and capital accumulation," Journal of Economic Growth, Springer, vol. 23(1), pages 111-143, March.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021.
"Rates of expansions for functional estimators,"
LSE Research Online Documents on Economics
113436, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric Model Averaging of Ultra-High Dimensional Time Series,"
Discussion Papers
15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- Tommaso Proietti & Alessandro Giovannelli, 2020.
"Nowcasting Monthly GDP with Big Data: a Model Averaging Approach,"
CEIS Research Paper
482, Tor Vergata University, CEIS, revised 12 May 2020.
- Tommaso Proietti & Alessandro Giovannelli, 2021. "Nowcasting monthly GDP with big data: A model averaging approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(2), pages 683-706, April.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric dynamic portfolio choice with multiple conditioning variables,"
CeMMAP working papers
CWP07/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Jia & Li, Degui & Linton, Oliver & Lu, Zudi, 2016. "Semiparametric dynamic portfolio choice with multiple conditioning variables," Journal of Econometrics, Elsevier, vol. 194(2), pages 309-318.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric dynamic portfolio choice with multiple conditioning variables," CeMMAP working papers 07/15, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables," Discussion Papers 15/01, Department of Economics, University of York.
- Zhang, Xinyu & Ullah, Aman & Zhao, Shangwei, 2016. "On the dominance of Mallows model averaging estimator over ordinary least squares estimator," Economics Letters, Elsevier, vol. 142(C), pages 69-73.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Chen, Jia & Li, Degui & Linton, Oliver, 2019.
"A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 155-176.
- Jia Chen & Degui Li & Oliver Linton, 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Discussion Papers 18/14, Department of Economics, University of York.
- Chen, J. & Li, D. & Linton, O., 2018. "A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables," Cambridge Working Papers in Economics 1876, Faculty of Economics, University of Cambridge.
- Jialiang Li & Tonghui Yu & Jing Lv & Mei‐Ling Ting Lee, 2021. "Semiparametric model averaging prediction for lifetime data via hazards regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1187-1209, November.
- Zishu Zhan & Yang Li & Yuhong Yang & Cunjie Lin, 2023. "Model averaging for semiparametric varying coefficient quantile regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 649-681, August.
- Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- Aman Ullah & Xinyu Zhang, 2015. "Grouped Model Averaging for Finite Sample Size," Working Papers 201501, University of California at Riverside, Department of Economics.
- Tao Huang & Jialiang Li, 2018. "Semiparametric model average prediction in panel data analysis," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 30(1), pages 125-144, January.
- Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
- Xiaochao Xia, 2021. "Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing," Statistical Papers, Springer, vol. 62(6), pages 2885-2905, December.
- Guo, Chaohui & Lv, Jing & Wu, Jibo, 2021. "Composite quantile regression for ultra-high dimensional semiparametric model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
- Fang, Fang & Yu, Zhou, 2020. "Model averaging assisted sufficient dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
- Oliver Linton & Thierry Post & Yoon‐Jae Whang, 2014.
"Testing for the stochastic dominance efficiency of a given portfolio,"
Econometrics Journal, Royal Economic Society, vol. 17(2), pages 59-74, June.
See citations under working paper version above.
- Oliver Linton & Yoon-Jae Whang, 2012. "Testing for the stochastic dominance efficiency of a given portfolio," CeMMAP working papers CWP27/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Michael Vogt & Oliver Linton, 2014.
"Nonparametric estimation of a periodic sequence in the presence of a smooth trend,"
Biometrika, Biometrika Trust, vol. 101(1), pages 121-140.
See citations under working paper version above.
- Oliver Linton & Michael Vogt, 2012. "Nonparametric estimation of a periodic sequence in the presence of a smooth trend," CeMMAP working papers CWP23/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Battey, Heather & Linton, Oliver, 2014.
"Nonparametric estimation of multivariate elliptic densities via finite mixture sieves,"
Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 43-67.
See citations under working paper version above.
- Heather Battey & Oliver Linton, 2013. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," CeMMAP working papers CWP41/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heather Battey & Oliver Linton, 2013. "Nonparametric estimation of multivariate elliptic densities via finite mixture sieves," CeMMAP working papers CWP15/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Oliver Linton & Pedro Gozalo, 2014.
"Testing Conditional Independence Restrictions,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 523-552, August.
Cited by:
- Yu-Chin Hsu & Ta-Cheng Huang & Haiqing Xu, 2018.
"Testing for Unobserved Heterogeneous Treatment Effects with Observational Data,"
Papers
1803.07514, arXiv.org, revised Aug 2021.
- Hsu, Yu-Chin & Huang, Ta-Cheng & Xu, Haiqing, 2023. "Testing For Unobserved Heterogeneous Treatment Effects With Observational Data," Econometric Theory, Cambridge University Press, vol. 39(3), pages 582-622, June.
- Su, Liangjun & Zheng, Xin, 2017. "A martingale-difference-divergence-based test for specification," Economics Letters, Elsevier, vol. 156(C), pages 162-167.
- Xiaojun Song & Haoyu Wei, 2021. "Nonparametric Tests of Conditional Independence for Time Series," Papers 2110.04847, arXiv.org.
- Xuehu Zhu & Jun Lu & Jun Zhang & Lixing Zhu, 2021. "Testing for conditional independence: A groupwise dimension reduction‐based adaptive‐to‐model approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 549-576, June.
- Yu-Chin Hsu & Ta-Cheng Huang & Haiqing Xu, 2018.
"Testing for Unobserved Heterogeneous Treatment Effects with Observational Data,"
Papers
1803.07514, arXiv.org, revised Aug 2021.
- Linton, Oliver & Xiao, Zhijie, 2013.
"Estimation Of And Inference About The Expected Shortfall For Time Series With Infinite Variance,"
Econometric Theory, Cambridge University Press, vol. 29(4), pages 771-807, August.
Cited by:
- Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org, revised Oct 2019.
- Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
- Chen, An & Nguyen, Thai & Stadje, Mitja, 2018. "Optimal investment under VaR-Regulation and Minimum Insurance," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 194-209.
- Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2022. "Inference for extremal regression with dependent heavy-tailed data," TSE Working Papers 22-1324, Toulouse School of Economics (TSE), revised 29 Aug 2023.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Geenens, Gery & Dunn, Richard, 2022. "A nonparametric copula approach to conditional Value-at-Risk," Econometrics and Statistics, Elsevier, vol. 21(C), pages 19-37.
- Trapani, Lorenzo, 2016. "Testing for (in)finite moments," Journal of Econometrics, Elsevier, vol. 191(1), pages 57-68.
- Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
- Linton, O. & Whang, Y-J. & Yen, Y., 2018.
"The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses,"
Cambridge Working Papers in Economics
1880, Faculty of Economics, University of Cambridge.
- Oliver Linton & YOON-JAE WHANG & Yu-Min Yen, 2018. "The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses," Working Paper Series no110, Institute of Economic Research, Seoul National University.
- Oliver Linton & Yoon Jae Whang & Yu-Min Yen, 2021. "The lower regression function and testing expectation dependence dominance hypotheses," Econometric Reviews, Taylor & Francis Journals, vol. 40(8), pages 709-727, September.
- Le-Yu Chen & Yu-Min Yen, 2021. "Estimations of the Conditional Tail Average Treatment Effect," Papers 2109.08793, arXiv.org, revised Sep 2021.
- Juan Carlos Escanciano, 2020. "Uniform Rates for Kernel Estimators of Weakly Dependent Data," Papers 2005.09951, arXiv.org.
- Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
- Tomasz Olma, 2021. "Nonparametric Estimation of Truncated Conditional Expectation Functions," Papers 2109.06150, arXiv.org.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2013.
"Global Bahadur Representation For Nonparametric Censored Regression Quantiles And Its Applications,"
Econometric Theory, Cambridge University Press, vol. 29(5), pages 941-968, October.
See citations under working paper version above.
- Efang Kong & Oliver Linton & Yingcun Xia, 2011. "Global Bahadur representation for nonparametric censored regression quantiles and its applications," CeMMAP working papers CWP33/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Gordon Anderson & Oliver Linton & Teng Leo, 2012.
"A polarization-cohesion perspective on cross-country convergence,"
Journal of Economic Growth, Springer, vol. 17(1), pages 49-69, March.
Cited by:
- Gordon Anderson, Alessio Farcomeni, Maria Grazia Pittau and Roberto Zelli, 2019.
"Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development Since 1990,"
Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(1), pages 1-22, March.
- Gordon Anderson & Alessio Farcomeni & Maria Grazia Pittau & Roberto Zelli, 2018. "Multidimensional Nation Wellbeing, More Equal yet More Polarized: An Analysis of the Progress of Human Development since 1990," Working Papers tecipa-602, University of Toronto, Department of Economics.
- Park, Seonyoung & Shin, Donggyun, 2020. "Recent Changes in the Nature of Distribution Dynamics of US County Incomes," Working Paper Series 20926, Victoria University of Wellington, School of Economics and Finance.
- Davide Fiaschi & Andrea Mario Lavezzi & Angela Parenti, 2013. "On the Determinants of Distribution Dynamics," Discussion Papers 2013/165, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
- Thanasis Stengos & M. Ege Yazgan & Harun Özkan, 2018. "Persistence In Convergence And Club Formation," Bulletin of Economic Research, Wiley Blackwell, vol. 70(2), pages 119-138, April.
- Khan, Haider & Schettino, Francesco & Gabriele, Alberto, 2017.
"Polarization and the Middle Class in China: a Non-Parametric Evaluation Using CHNS and CHIP Data,"
MPRA Paper
85555, University Library of Munich, Germany.
- Khan, Haider Ali & Schettino, Francesco & Gabriele, Alberto, 2017. "Polarization and the Middle Class in China: a Non-Parametric Evaluation Using CHNS and CHIP Data," MPRA Paper 86133, University Library of Munich, Germany.
- Schettino, Francesco & Gabriele, Alberto & Khan, Haider A., 2021. "Polarization and the middle class in China: A non-parametric evaluation using CHNS and CHIP data," Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 251-264.
- Davide Fiaschi & Lisa Gianmoena & Angela Parenti, 2015. "Spatial Clubs in European Regions," Discussion Papers 2015/196, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
- Gordon Anderson & Teng Wah Leo, 2014. "Ranking Alternative Non-Combinable Prospects: A Stochastic Dominance Based Route to the Second Best Solution," Working Papers tecipa-520, University of Toronto, Department of Economics.
- Fiaschi, Davide & Gianmoena, Lisa & Parenti, Angela, 2018. "Spatial club dynamics in European regions," Regional Science and Urban Economics, Elsevier, vol. 72(C), pages 115-130.
- Breinlich, Holger & Ottaviano, Gianmarco I P & Temple, Jonathan R, 2013.
"Regional Growth and Regional Decline,"
Economics Discussion Papers
8977, University of Essex, Department of Economics.
- Breinlich, Holger & Ottaviano, Gianmarco I. P. & Temple, Jonathan R. W., 2013. "Regional growth and regional decline," LSE Research Online Documents on Economics 51575, London School of Economics and Political Science, LSE Library.
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- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Brownlees, Christian T., 2019. "Hierarchical GARCH," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 17-27.
- Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Models without Estimating the Rank," Papers 2311.16440, arXiv.org.
- Dai, Chaoxing & Lu, Kun & Xiu, Dacheng, 2019. "Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data," Journal of Econometrics, Elsevier, vol. 208(1), pages 43-79.
- Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012.
"Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates,"
Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
See citations under working paper version above.
- Degui Li & Zudi Lu & Oliver Linton, 2011. "Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates," Monash Econometrics and Business Statistics Working Papers 16/11, Monash University, Department of Econometrics and Business Statistics.
- Kim, Woocheol & Linton, Oliver, 2011.
"Estimation Of A Semiparametric Igarch(1,1) Model,"
Econometric Theory, Cambridge University Press, vol. 27(3), pages 639-661, June.
See citations under working paper version above.
- Woocheol Kim & Oliver Linton, 2009. "Estimation Of A Semiparametricigarch(1,1) Model," STICERD - Econometrics Paper Series 539, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Buch-Kromann, Tine & Guillén, Montserrat & Linton, Oliver & Nielsen, Jens Perch, 2011.
"Multivariate density estimation using dimension reducing information and tail flattening transformations,"
Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 99-110, January.
Cited by:
- Ramon Alemany & Catalina Bolancé & Montserrat Guillén, 2012. "Nonparametric estimation of Value-at-Risk," Working Papers XREAP2012-19, Xarxa de Referència en Economia Aplicada (XREAP), revised Oct 2012.
- Urbina, Jilber & Guillén, Montserrat, 2013.
"An application of capital allocation principles to operational risk,"
MPRA Paper
75726, University Library of Munich, Germany, revised Dec 2013.
- Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," Working Papers 2072/222201, Universitat Rovira i Virgili, Department of Economics.
- María Luz Gámiz & Enno Mammen & María Dolores Martínez Miranda & Jens Perch Nielsen, 2016. "Double one-sided cross-validation of local linear hazards," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 755-779, September.
- Gámiz Pérez, M. Luz & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2013. "Smoothing survival densities in practice," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 368-382.
- Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
- Issler, João Victor & Linton, Oliver & Timmermann, Allan, 2011.
"Annals issue on forecasting--Guest editors' introduction,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 1-3, September.
Cited by:
- Mikkel Plagborg-Møller & Christian K. Wolf, 2020.
"Local Projections and VARs Estimate the Same Impulse Responses,"
Working Papers
2020-16, Princeton University. Economics Department..
- Mikkel Plagborg‐Møller & Christian K. Wolf, 2021. "Local Projections and VARs Estimate the Same Impulse Responses," Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2020.
"Local Projections and VARs Estimate the Same Impulse Responses,"
Working Papers
2020-16, Princeton University. Economics Department..
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011.
"Evaluating Value-at-Risk Models via Quantile Regression,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
See citations under working paper version above.- Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 679, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2010. "Evaluating Value-at-Risk Models via Quantile Regression," NCER Working Paper Series 67, National Centre for Econometric Research.
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009. "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics we094625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Oliver B. Linton & Yang Yan, 2011.
"Semi- and Nonparametric ARCH Processes,"
Journal of Probability and Statistics, Hindawi, vol. 2011, pages 1-17, August.
Cited by:
- Joseph Ngatchou-Wandji & Marwa Ltaifa & Didier Alain Njamen Njomen & Jia Shen, 2022. "Nonparametric Estimation of the Density Function of the Distribution of the Noise in CHARN Models," Mathematics, MDPI, vol. 10(4), pages 1-20, February.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- Atak, Alev & Linton, Oliver & Xiao, Zhijie, 2011.
"A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 92-115, September.
See citations under working paper version above.
- Atak, Alev & Linton, Oliver B. & Xiao, Zhijie, 2010. "A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom," MPRA Paper 22079, University Library of Munich, Germany.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2011. "A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom," Post-Print hal-00844810, HAL.
- Alev Atak & Oliver Linton & Zhijie Xiao, 2010. "A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom," Boston College Working Papers in Economics 762, Boston College Department of Economics.
- Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011.
"Estimating features of a distribution from binomial data,"
Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
See citations under working paper version above.
- Lewbel, Arthur & Linton, Oliver & McFadden, D. L., 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Daniel McFadden & Oliver Linton, 1997. "Estimating Features of a Distribution from Binomial Data," Boston College Working Papers in Economics 442, Boston College Department of Economics, revised 01 Jul 2010.
- Arthur Lewbel & Oliver Linton & Daniel McFadden, 2001. "Estimating features of a distribution from binomial data," CeMMAP working papers CWP07/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2010.
"An improved bootstrap test of stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 154(2), pages 186-202, February.
See citations under working paper version above.
- Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers 1713, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Song, Kyungchul & Whang, Yoon-Jae, 2009. "An improved bootstrap test of stochastic dominance," UC3M Working papers. Economics we094827, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Linton, Oliver & Pan, Jiazhu & Wang, Hui, 2010.
"Estimation For A Nonstationary Semi-Strong Garch(1,1) Model With Heavy-Tailed Errors,"
Econometric Theory, Cambridge University Press, vol. 26(1), pages 1-28, February.
Cited by:
- Chen, Min & Zhu, Ke, 2013. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," MPRA Paper 50487, University Library of Munich, Germany.
- Aknouche, Abdelhakim & Al-Eid, Eid M. & Hmeid, Aboubakry M., 2011. "Offline and online weighted least squares estimation of nonstationary power ARCH processes," Statistics & Probability Letters, Elsevier, vol. 81(10), pages 1535-1540, October.
- Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
- Hill, Jonathan B. & Prokhorov, Artem, 2016.
"GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference,"
Journal of Econometrics, Elsevier, vol. 190(1), pages 18-45.
- Hill, Jonathan B. & Prokhorov, Artem, 2015. "GEL Estimation for Heavy-Tailed GARCH Models with Robust Empirical Likelihood Inference," Working Papers 2015-03, University of Sydney Business School, Discipline of Business Analytics.
- Wang, Hui & Pan, Jiazhu, 2014. "Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 117-123.
- Chen, Min & Zhu, Ke, 2015. "Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations," Journal of Econometrics, Elsevier, vol. 189(2), pages 313-320.
- Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Janeway Institute Working Papers 2111, Faculty of Economics, University of Cambridge.
- Chen, Min & Zhu, Ke, 2014. "Sign-based specification tests for martingale difference with conditional heteroscedasity," MPRA Paper 56347, University Library of Munich, Germany.
- Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
- Abdelhakim Aknouche, 2012. "Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases," Statistical Inference for Stochastic Processes, Springer, vol. 15(3), pages 241-256, October.
- Francq, Christian & Zakoian, Jean-Michel, 2010. "Strict stationarity testing and estimation of explosive ARCH models," MPRA Paper 22414, University Library of Munich, Germany.
- Ding, Y., 2021. "Conditional Heteroskedasticity in the Volatility of Asset Returns," Cambridge Working Papers in Economics 2179, Faculty of Economics, University of Cambridge.
- Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
- Zhu, Ke, 2015. "Hausman tests for the error distribution in conditionally heteroskedastic models," MPRA Paper 66991, University Library of Munich, Germany.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2016. "Nonstationary GARCH with t-distributed innovations," Economics Letters, Elsevier, vol. 138(C), pages 19-21.
- Hafner, Christian M. & Linton, Oliver, 2010.
"Efficient estimation of a multivariate multiplicative volatility model,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
See citations under working paper version above.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- Kong, Efang & Linton, Oliver & Xia, Yingcun, 2010.
"Uniform Bahadur Representation For Local Polynomial Estimates Of M-Regression And Its Application To The Additive Model,"
Econometric Theory, Cambridge University Press, vol. 26(5), pages 1529-1564, October.
See citations under working paper version above.
- Efang Kong & Oliver Linton & Yingcun Xia, 2009. "Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model," STICERD - Econometrics Paper Series 535, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & David Jacho-Chávez, 2010.
"On internally corrected and symmetrized kernel estimators for nonparametric regression,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 166-186, May.
Cited by:
- Yuliana Linke & Igor Borisov & Pavel Ruzankin & Vladimir Kutsenko & Elena Yarovaya & Svetlana Shalnova, 2022. "Universal Local Linear Kernel Estimators in Nonparametric Regression," Mathematics, MDPI, vol. 10(15), pages 1-28, July.
- Qian, Junhui & Wang, Le, 2012.
"Estimating semiparametric panel data models by marginal integration,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 483-493.
- Qian, Junhui & Wang, Le, 2009. "Estimating Semiparametric Panel Data Models by Marginal Integration," MPRA Paper 18850, University Library of Munich, Germany.
- Shen, Jia & Xie, Yuan, 2013. "Strong consistency of the internal estimator of nonparametric regression with dependent data," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1915-1925.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010.
"Identification and nonparametric estimation of a transformed additively separable model,"
Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
See citations under working paper version above.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006. "Identification and Nonparametric Estimation of a Transformed Additively Separable Model," Boston College Working Papers in Economics 652, Boston College Department of Economics, revised 26 Nov 2008.
- Sokbae Lee & Oliver Linton & Yoon-Jae Whang, 2009.
"Testing for Stochastic Monotonicity,"
Econometrica, Econometric Society, vol. 77(2), pages 585-602, March.
See citations under working paper version above.
- Lee, Sokbae & Linton, Oliver & Whang, Yoon-Jae, 2006. "Testing for stochastic monotonicity," LSE Research Online Documents on Economics 4425, London School of Economics and Political Science, LSE Library.
- Sokbae (Simon) Lee & Oliver Linton & Yoon-Jae Whang, 2008. "Testing for stochastic monotonicity," CeMMAP working papers CWP21/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Oliver Linton & Yoon-Jae Whang, 2006. "Testing For Stochasticmonotonicity," STICERD - Econometrics Paper Series 504, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Jens Perch Nielsen & Søren Feodor Nielsen, 2009.
"Non-parametric regression with a latent time series,"
Econometrics Journal, Royal Economic Society, vol. 12(2), pages 187-207, July.
See citations under working paper version above.
- Oliver Linton & Søren Feodor Nielsen & Jens Perch Nielsen, 2009. "Nonparametric Regression with a Latent Time Series," STICERD - Econometrics Paper Series 538, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Sancetta, Alessio, 2009.
"Consistent estimation of a general nonparametric regression function in time series,"
Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
Cited by:
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Degui Li & Zudi Lu & Oliver Linton, 2011.
"Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates,"
Monash Econometrics and Business Statistics Working Papers
16/11, Monash University, Department of Econometrics and Business Statistics.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2012. "Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency With Convergence Rates," Econometric Theory, Cambridge University Press, vol. 28(5), pages 935-958, October.
- Degui Li & Oliver Linton & Zudi Lu, 2012.
"A flexible semiparametric model for time series,"
CeMMAP working papers
CWP28/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A flexible semiparametric model for time series," CeMMAP working papers 28/12, Institute for Fiscal Studies.
- Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
- Degui Li & Oliver Linton & Zudi Lu, 2010.
"Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate,"
STICERD - Econometrics Paper Series
549, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Li, Degui & Lu, Zudi & Linton, Oliver, 2010. "Loch linear fitting under near epoch dependence: uniform consistency with convergence rate," LSE Research Online Documents on Economics 58160, London School of Economics and Political Science, LSE Library.
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
- Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 1-17.
- Li, Degui & Linton, Oliver & Lu, Zudi, 2015. "A flexible semiparametric forecasting model for time series," Journal of Econometrics, Elsevier, vol. 187(1), pages 345-357.
- Linton, Oliver B. & Mammen, Enno, 2008.
"Nonparametric transformation to white noise,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
See citations under working paper version above.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
- Kalnina, Ilze & Linton, Oliver, 2008.
"Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 47-59, November.
Cited by:
- Yuta Koike, 2013. "Limit Theorems for the Pre-averaged Hayashi-Yoshida Estimator with Random Sampling," Global COE Hi-Stat Discussion Paper Series gd12-276, Institute of Economic Research, Hitotsubashi University.
- Chen, Richard Y. & Mykland, Per A., 2017. "Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data," Journal of Econometrics, Elsevier, vol. 200(1), pages 79-103.
- Chaker, Selma, 2019. "The signal and the noise volatilities," Research in International Business and Finance, Elsevier, vol. 50(C), pages 79-105.
- Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, Department of Economics and Business Economics, Aarhus University.
- Richard Y. Chen & Per A. Mykland, 2015. "Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data," Papers 1512.06159, arXiv.org, revised Oct 2018.
- Christensen, Kim & Oomen, Roel & Renò, Roberto, 2022. "The drift burst hypothesis," Journal of Econometrics, Elsevier, vol. 227(2), pages 461-497.
- Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Li, Yingying & Zhang, Zhiyuan & Zheng, Xinghua, 2013. "Volatility inference in the presence of both endogenous time and microstructure noise," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2696-2727.
- Ding, Yashuang (Dexter), 2023. "A simple joint model for returns, volatility and volatility of volatility," Journal of Econometrics, Elsevier, vol. 232(2), pages 521-543.
- Ilze KALNINA, 2015.
"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas,"
Cahiers de recherche
13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- KALNINA, Ilze, 2015. "Inference for nonparametric high-frequency estimators with an application to time variation in betas," Cahiers de recherche 2015-08, Universite de Montreal, Departement de sciences economiques.
- Ilze Kalnina, 2023. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Fangfang Wang, 2016. "An Unbiased Measure of Integrated Volatility in the Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 147-164, March.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Working Papers
202212, University of Liverpool, Department of Economics.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers 2307.01348, arXiv.org.
- Giorgio Mirone, 2017. "Inference from the futures: ranking the noise cancelling accuracy of realized measures," CREATES Research Papers 2017-24, Department of Economics and Business Economics, Aarhus University.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Janeway Institute Working Papers
2208, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
- Yoann Potiron & Per Mykland, 2016.
"Local Parametric Estimation in High Frequency Data,"
Papers
1603.05700, arXiv.org, revised Aug 2018.
- Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2009.
"Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading,"
Global COE Hi-Stat Discussion Paper Series
gd08-037, Institute of Economic Research, Hitotsubashi University.
- Neil Shephard & Ole E. Barndorff-Nielsen & Peter Reinhard Hansen, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Series Working Papers 397, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," OFRC Working Papers Series 2008fe29, Oxford Financial Research Centre.
- Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Journal of Econometrics, Elsevier, vol. 162(2), pages 149-169, June.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Economics Papers 2008-W10, Economics Group, Nuffield College, University of Oxford.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2011. "Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," Post-Print hal-00815564, HAL.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading," CREATES Research Papers 2008-63, Department of Economics and Business Economics, Aarhus University.
- Bibinger, Markus & Hautsch, Nikolaus & Malec, Peter & Reiss, Markus, 2014.
"Estimating the spot covariation of asset prices: Statistical theory and empirical evidence,"
CFS Working Paper Series
477, Center for Financial Studies (CFS).
- Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
- Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2014. "Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence," Cambridge Working Papers in Economics 1464, Faculty of Economics, University of Cambridge.
- Yacine Aït-Sahalia & Jean Jacod, 2012.
"Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data,"
Journal of Economic Literature, American Economic Association, vol. 50(4), pages 1007-1050, December.
- Yacine Aït-Sahalia & Jean Jacod, 2010. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers 15808, National Bureau of Economic Research, Inc.
- Neil Shephard & Ole E. Barndorff-Nielsen & Asger Lunde, 2006.
"Subsampling realised kernels,"
Economics Series Working Papers
278, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2006. "Subsampling realised kernels," Economics Papers 2006-W10, Economics Group, Nuffield College, University of Oxford.
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Cambridge Working Papers in Economics
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- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2006.
"Flexible Term Structure Estimation: Which Method is Preferred?,"
Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 63(1), pages 99-122, February.
See citations under working paper version above.
- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method Is Preferred?," Yale School of Management Working Papers ysm171, Yale School of Management, revised 01 Oct 2001.
- Andrew Jeffrey & Oliver Linton & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method Is Preferred?," Yale School of Management Working Papers ysm171, Yale School of Management, revised 01 Oct 2001.
- Oliver Linton & Andrew Jeffrey & Thong Nguyen, 2001. "Flexible Term Structure Estimation: Which Method is Preferred?," FMG Discussion Papers dp385, Financial Markets Group.
- Kristensen, Dennis & Linton, Oliver, 2006.
"A Closed-Form Estimator For The Garch(1,1) Model,"
Econometric Theory, Cambridge University Press, vol. 22(2), pages 323-337, April.
Cited by:
- Arvanitis Stelios & Demos Antonis, 2018.
"On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators,"
Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
- Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
- Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.
- Donald W. K. Andrews & Patrik Guggenberger, 2014.
"A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter,"
The Review of Economics and Statistics, MIT Press, vol. 96(2), pages 376-381, May.
- Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Patrik Guggenberger, 2011. "A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter," Cowles Foundation Discussion Papers 1812R, Cowles Foundation for Research in Economics, Yale University, revised Dec 2012.
- Hafner, C. & Preminger, A., 2010.
"Deciding between GARCH and Stochastic Volatility via Strong Decision Rules,"
LIDAM Reprints ISBA
2010032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," LIDAM Discussion Papers CORE 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian & Linton, Oliver, 2017.
"An Almost Closed Form Estimator For The EGARCH Model,"
LIDAM Reprints ISBA
2017040, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian M. HAFNER & Oliver LINTON, 2017. "An almost closed form estimator for the EGARCH model," LIDAM Reprints CORE 2881, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, C. & Linton, O., 2016. "An Almost Closed Form Estimator for the EGARCH model," LIDAM Discussion Papers ISBA 2016036, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Linton, Oliver, 2017. "An Almost Closed Form Estimator For The Egarch Model," Econometric Theory, Cambridge University Press, vol. 33(4), pages 1013-1038, August.
- HAFNER, Christian & LINTON, Oliver, 2013. "An almost closed form estimator for the EGARCH model," LIDAM Discussion Papers CORE 2013022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- PREMINGER, Arie & STORTI, Giuseppe, 2006. "A GARCH (1,1) estimator with (almost) no moment conditions on the error term," LIDAM Discussion Papers CORE 2006068, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
- HAFNER, Christian & PREMINGER, Arie, 2006.
"Asymptotic theory for a factor GARCH model,"
LIDAM Discussion Papers CORE
2006071, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hafner, Christian M. & Preminger, Arie, 2009. "Asymptotic Theory For A Factor Garch Model," Econometric Theory, Cambridge University Press, vol. 25(2), pages 336-363, April.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Leucht, Anne & Neumann, Michael H. & Kreiss, Jens-Peter, 2013. "A model specification test for GARCH(1,1) processes," Working Papers 13-11, University of Mannheim, Department of Economics.
- Abhimanyu Gupta, 2020.
"Efficient closed-form estimation of large spatial autoregressions,"
Papers
2008.12395, arXiv.org, revised May 2021.
- Gupta, Abhimanyu, 2023. "Efficient closed-form estimation of large spatial autoregressions," Journal of Econometrics, Elsevier, vol. 232(1), pages 148-167.
- Amendola, Alessandra & Storti, Giuseppe, 2008. "A GMM procedure for combining volatility forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 3047-3060, February.
- Todd Prono, 2016. "Closed-Form Estimation of Finite-Order ARCH Models: Asymptotic Theory and Finite-Sample Performance," Finance and Economics Discussion Series 2016-083, Board of Governors of the Federal Reserve System (U.S.).
- Hafner C. & Linton, O., 2013. "An Almost Closed Form Estimator for the EGARCH," LIDAM Discussion Papers ISBA 2013010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Alessandra Amendola & Giuseppe Storti, 2009. "Combination of multivariate volatility forecasts," SFB 649 Discussion Papers SFB649DP2009-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014.
"Time Series Models for Business and Economic Forecasting,"
Cambridge Books,
Cambridge University Press, number 9780521817707.
- Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521520911.
- Christian M. Dahl & Emma M. Iglesias, 2008. "The limiting properties of the QMLE in a general class of asymmetric volatility models," CREATES Research Papers 2008-38, Department of Economics and Business Economics, Aarhus University.
- Shi, Yanlin, 2022. "A closed-form estimator for the Markov switching in mean model," Finance Research Letters, Elsevier, vol. 44(C).
- Todd Prono, 2017. "Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry," Finance and Economics Discussion Series 2017-095, Board of Governors of the Federal Reserve System (U.S.).
- Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
- Sbrana, Giacomo & Poloni, Federico, 2013. "A closed-form estimator for the multivariate GARCH(1,1) model," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 152-162.
- Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
- Xuejie Feng & Chiping Zhang, 2020. "A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 1021-1044, March.
- Poloni, Federico & Sbrana, Giacomo, 2014. "Feasible generalized least squares estimation of multivariate GARCH(1, 1) models," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 151-159.
- Arvanitis Stelios & Demos Antonis, 2018.
"On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators,"
Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
- Linton, Oliver, 2005.
"Nonparametric Inference For Unbalanced Time Series Data,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 143-157, February.
See citations under working paper version above.
- Oliver Linton, 2004. "Nonparametric inference for unbalance time series data," CeMMAP working papers CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver, 2004. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 2116, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series 474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
- O. Linton & E. Mammen, 2005.
"Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods,"
Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
See citations under working paper version above.
- Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (∞) models by kernel smoothing methods," LSE Research Online Documents on Economics 58068, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005.
"Consistent Testing for Stochastic Dominance under General Sampling Schemes,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 735-765.
See citations under working paper version above.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," SFB 373 Discussion Papers 2003,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2003. "Consistent testing for stochastic dominance under general sampling schemes," LSE Research Online Documents on Economics 2208, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004.
"Testing forward exchange rate unbiasedness efficiently: a semiparametric approach,"
Journal of Applied Economics, Universidad del CEMA, vol. 7, pages 325-353, November.
- Hodgson, Douglas J. & Linton, Oliver & Vorkink, Keith, 2004. "Testing forward exchange rate unbiasedness efficiently: A semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 7(2), pages 1-29, November.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach," Journal of Applied Economics, Taylor & Francis Journals, vol. 7(1), pages 325-353, May.
Cited by:
- Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Ioannis N. Kallianiotis, 2021. "Exchange Rate Determination: The Portfolio-Balance Approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 11(1), pages 1-2.
- Fu, Hsuan & Luger, Richard, 2022. "Multiple testing of the forward rate unbiasedness hypothesis across currencies," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 232-245.
- Kim, Woocheol & Linton, Oliver, 2004.
"The Live Method For Generalized Additive Volatility Models,"
Econometric Theory, Cambridge University Press, vol. 20(6), pages 1094-1139, December.
See citations under working paper version above.
- Kim, Woocheol & Linton, Oliver B., 2004. "The live method for generalized additive volatility models," LSE Research Online Documents on Economics 321, London School of Economics and Political Science, LSE Library.
- Steve Berry & Oliver B. Linton & Ariel Pakes, 2004.
"Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(3), pages 613-654.
See citations under working paper version above.
- Steve Berry & Oliver B. Linton & Ariel Pakes, 2002. "Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems," Harvard Institute of Economic Research Working Papers 1955, Harvard - Institute of Economic Research.
- Steven Berry & Oliver Linton & Ariel Pakes, 2002. "Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems," Cowles Foundation Discussion Papers 1372, Cowles Foundation for Research in Economics, Yale University.
- Berry, Steve & Linton, Oliver & Pakes, Ariel, 2000. "Limit theorems for estimating the parameters of differentiated product demand systems," LSE Research Online Documents on Economics 2032, London School of Economics and Political Science, LSE Library.
- Steve Berry & Oliver Linton & Ariel Pakes, 2000. "Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems," STICERD - Econometrics Paper Series 400, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Wang Q. & Linton O. & Hardle W., 2004.
"Semiparametric Regression Analysis With Missing Response at Random,"
Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 334-345, January.
See citations under working paper version above.
- Wolfgang Härdle & Oliver Linton & Wang, Qihua, 2003. "Semiparametric regression analysis with missing response at random," CeMMAP working papers CWP11/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kristensen, Dennis & Linton, Oliver, 2004.
"03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution,"
Econometric Theory, Cambridge University Press, vol. 20(5), pages 990-993, October.
Cited by:
- Rasmus Søndergaard Pedersen, 2014.
"Targeting estimation of CCC-Garch models with infinite fourth moments,"
Discussion Papers
14-04, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard, 2016. "Targeting Estimation Of Ccc-Garch Models With Infinite Fourth Moments," Econometric Theory, Cambridge University Press, vol. 32(2), pages 498-531, April.
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2009.
"Merits and drawbacks of variance targeting in GARCH models,"
MPRA Paper
15143, University Library of Munich, Germany.
- Christian Francq & Lajos Horváth, 2011. "Merits and Drawbacks of Variance Targeting in GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 619-656.
- Christian FRANCQ & Lajos HORVATH & Jean-Michel ZAKOIAN, 2009. "Merits and Drawbacks of Variance Targeting in GARCH Models," Working Papers 2009-17, Center for Research in Economics and Statistics.
- Christian Francq & Lajos Horváth & Jean-Michel Zakoïan, 2016.
"Variance Targeting Estimation of Multivariate GARCH Models,"
Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 353-382.
- Francq, Christian & Horvath, Lajos & Zakoian, Jean-Michel, 2014. "Variance targeting estimation of multivariate GARCH models," MPRA Paper 57794, University Library of Munich, Germany.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016.
"Copula--based Specification of vector MEMs,"
Econometrics Working Papers Archive
2016_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2016. "Copula--based Specification of vector MEMs," Papers 1604.01338, arXiv.org.
- Qi Li & Fukang Zhu, 2020. "Mean targeting estimator for the integer-valued GARCH(1, 1) model," Statistical Papers, Springer, vol. 61(2), pages 659-679, April.
- de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018.
"MGARCH models: Trade-off between feasibility and flexibility,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
- Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther, 2015. "MGARCH models: tradeoff between feasibility and flexibility," DES - Working Papers. Statistics and Econometrics. WS ws1516, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017.
"Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity,"
Econometrics, MDPI, vol. 5(2), pages 1-24, April.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2017. "Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity," Econometrics Working Papers Archive 2017_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Christian T. Brownlees & Fabrizio Cipollini & Giampiero M. Gallo, 2011. "Multiplicative Error Models," Econometrics Working Papers Archive 2011_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Apr 2011.
- Stanislav Anatolyev & Stanislav Khrapov, 2015. "Right on Target, or Is it? The Role of Distributional Shape in Variance Targeting," Econometrics, MDPI, vol. 3(3), pages 1-23, August.
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011.
"The Euro-introduction and non-Euro currencies,"
LIDAM Reprints ISBA
2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
- Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
- Asai, Manabu, 2023. "Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application," Econometrics and Statistics, Elsevier, vol. 25(C), pages 23-38.
- Rasmus Søndergaard Pedersen, 2014.
"Targeting estimation of CCC-Garch models with infinite fourth moments,"
Discussion Papers
14-04, University of Copenhagen. Department of Economics.
- Shintani, Mototsugu & Linton, Oliver, 2004.
"Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos,"
Journal of Econometrics, Elsevier, vol. 120(1), pages 1-33, May.
See citations under working paper version above.
- Shintani, Mototsugu & Linton, Oliver, 2002. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2093, London School of Economics and Political Science, LSE Library.
- Shintani, Mototsugu & Linton, Oliver, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Mototsugu Shintani, 2002. "Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 434, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series 455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Shintani, Mototsugu, 2002. "Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 58170, London School of Economics and Political Science, LSE Library.
- Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," Vanderbilt University Department of Economics Working Papers 0309, Vanderbilt University Department of Economics.
- Xiao Z. & Linton O.B. & Carroll R.J. & Mammen E., 2003.
"More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors,"
Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 980-992, January.
Cited by:
- Su, Liangjun, 2012. "Semiparametric GMM estimation of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 167(2), pages 543-560.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Dabo-Niang, S. & Guillas, S. & Ternynck, C., 2016. "Efficiency in multivariate functional nonparametric models with autoregressive errors," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 168-182.
- Stefano Magrini & Margherita Gerolimetto, 2015. "Spatial Distribution Dynamics," ERSA conference papers ersa15p1172, European Regional Science Association.
- Linton, Oliver B. & Mammen, Enno, 2008.
"Nonparametric transformation to white noise,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
- Su, Liangjun & Lu, Xun, 2013. "Nonparametric dynamic panel data models: Kernel estimation and specification testing," Journal of Econometrics, Elsevier, vol. 176(2), pages 112-133.
- Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2757-2777, January.
- Juliane Geller & Michael H. Neumann, 2018. "Improved local polynomial estimation in time series regression," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 30(1), pages 1-27, January.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Short-Term Exuberance and Long-Term Stability: A Simultaneous Optimization of Stock Return Predictions for Short and Long Horizons," Mathematics, MDPI, vol. 9(6), pages 1-19, March.
- Qiong Pang & Xijian Hu, 2024. "INLA Estimation of Semi-Variable Coefficient Spatial Lag Model—Analysis of PM2.5 Influencing Factors in the Context of Urbanization in China," Mathematics, MDPI, vol. 12(7), pages 1-24, March.
- Alan T. K. Wan & Jinhong You & Riquan Zhang, 2016. "A Seemingly Unrelated Nonparametric Additive Model with Autoregressive Errors," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 894-928, May.
- Ozabaci, Deniz & Henderson, Daniel J., 2014.
"Additive Kernel Estimates of Returns to Schooling,"
IZA Discussion Papers
8736, Institute of Labor Economics (IZA).
- Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
- Bingduo Yang & Xiaohui Liu & Liang Peng & Zongwu Cai, 2018. "Unified Tests for a Dynamic Predictive Regression," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201808, University of Kansas, Department of Economics, revised Sep 2018.
- You, Jinhong & Zhou, Xian, 2006. "Statistical inference in a panel data semiparametric regression model with serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 97(4), pages 844-873, April.
- Martins-Filho, Carlos & Yao, Feng, 2009. "Nonparametric regression estimation with general parametric error covariance," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 309-333, March.
- Linton, O. & Xiao, Z., 2019.
"Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity,"
Cambridge Working Papers in Economics
1907, Faculty of Economics, University of Cambridge.
- Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
- Koo, Chao, 2018. "Essays on functional coefficient models," Other publications TiSEM ba87b8a5-3c55-40ec-967d-9, Tilburg University, School of Economics and Management.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- Degao Li & Guodong Li & Jinhong You, 2014. "Significant Variable Selection And Autoregressive Order Determination For Time-Series Partially Linear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 478-490, August.
- Liu, Jun M. & Chen, Rong & Yao, Qiwei, 2010. "Nonparametric transfer function models," Journal of Econometrics, Elsevier, vol. 157(1), pages 151-164, July.
- Xuemei Hu & Xiaohui Liu, 2013. "Empirical likelihood confidence regions for semi-varying coefficient models with linear process errors," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(1), pages 161-180, March.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Longer-Term Forecasting of Excess Stock Returns—The Five-Year Case," Mathematics, MDPI, vol. 8(6), pages 1-20, June.
- Margherita Gerolimetto & Stefano Magrini, 2016. "Distribution Dynamics in the US. A Spatial Perspective," Working Papers 2016:02, Department of Economics, University of Venice "Ca' Foscari".
- Su, Liangjun & Ullah, Aman, 2008. "Local polynomial estimation of nonparametric simultaneous equations models," Journal of Econometrics, Elsevier, vol. 144(1), pages 193-218, May.
- Qiu, Jia & Li, Degao & You, Jinhong, 2015. "SCAD-penalized regression for varying-coefficient models with autoregressive errors," Journal of Multivariate Analysis, Elsevier, vol. 137(C), pages 100-118.
- Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2020. "Short-Term Exuberance and long-term stability: A simultaneous optimization of stock return predictions for short and long horizons," Graz Economics Papers 2020-20, University of Graz, Department of Economics.
- Liangjun Su & Aman Ullah & Yun Wang, 2013. "Nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator," Empirical Economics, Springer, vol. 45(2), pages 1009-1024, October.
- Linton, Oliver & Perron, Benoit, 2003.
"The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 354-367, July.
Cited by:
- Song, Zefang & Song, Xinyuan & Li, Yuan, 2023. "Bayesian Analysis of ARCH-M model with a dynamic latent variable," Econometrics and Statistics, Elsevier, vol. 28(C), pages 47-62.
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jing Li, 2021. "On Estimating Risk Premium With Flexible Fourier Form," Economics Bulletin, AccessEcon, vol. 41(3), pages 1026-1035.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Conrad, Christian & Mammen , Enno, 2015.
"Asymptotics for parametric GARCH-in-Mean Models,"
Working Papers
0579, University of Heidelberg, Department of Economics.
- Conrad, Christian & Mammen, Enno, 2016. "Asymptotics for parametric GARCH-in-Mean models," Journal of Econometrics, Elsevier, vol. 194(2), pages 319-329.
- Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen, 2009.
"Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model,"
Working Paper
1207, Economics Department, Queen's University.
- Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, Department of Economics and Business Economics, Aarhus University.
- Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2010. "Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 460-470, June.
- Dias, Gustavo Fruet, 2017. "The time-varying GARCH-in-mean model," Economics Letters, Elsevier, vol. 157(C), pages 129-132.
- Enno Mammen & Jens Perch Nielsen & Michael Scholz & Stefan Sperlich, 2019. "Conditional Variance Forecasts for Long-Term Stock Returns," Risks, MDPI, vol. 7(4), pages 1-22, November.
- Likai Chen & Ekaterina Smetanina & Wei Biao Wu, 2022. "Estimation of nonstationary nonparametric regression model with multiplicative structure [Income and wealth distribution in macroeconomics: A continuous-time approach]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 176-214.
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
- HAFNER Christian, & KYRIAKOPOULOU Dimitra,, 2019.
"Exponential-type GARCH models with linear-in-variance risk premium,"
LIDAM Discussion Papers CORE
2019013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian M. Hafner & Dimitra Kyriakopoulou, 2021. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 589-603, March.
- Hafner, Christian & Kyriakopoulou, Dimitra, 2020. "Exponential-Type GARCH Models With Linear-in-Variance Risk Premium," LIDAM Reprints ISBA 2020029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
- Jie Zhu, 2008. "FIEGARCH-M and and International Crises: A Cross-Country Analysis," CREATES Research Papers 2008-16, Department of Economics and Business Economics, Aarhus University.
- Conrad, Christian & Loch, Karin, 2012.
"Anticipating Long-Term Stock Market Volatility,"
Working Papers
0535, University of Heidelberg, Department of Economics.
- Christian Conrad & Karin Loch, 2015. "Anticipating Long‐Term Stock Market Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(7), pages 1090-1114, November.
- Kristensen, Dennis & Linton, Oliver, 2003.
"03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation,"
Econometric Theory, Cambridge University Press, vol. 19(5), pages 879-880, October.
Cited by:
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011.
"The Euro-introduction and non-Euro currencies,"
LIDAM Reprints ISBA
2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Dick van Dijk & Haris Munandar & Christian M. Hafner, 2005. "The Euro Introduction and Non-Euro Currencies," Tinbergen Institute Discussion Papers 05-044/4, Tinbergen Institute, revised 08 Jun 2006.
- Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011.
"The Euro-introduction and non-Euro currencies,"
LIDAM Reprints ISBA
2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003.
"Estimation of Semiparametric Models when the Criterion Function Is Not Smooth,"
Econometrica, Econometric Society, vol. 71(5), pages 1591-1608, September.
See citations under working paper version above.
- Xiaohong Chen & Oliver Linton & Ingrid Van Keilegom, 2003. "Estimation of Semiparametric Models when the Criterion Function is not Smooth," STICERD - Econometrics Paper Series 450, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Xiaohong Chen & Oliver Linton & Ingred van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Linton, Oliver & Van Keilegom, Ingrid, 2003. "Estimation of semiparametric models when the criterion function is not smooth," LSE Research Online Documents on Economics 2167, London School of Economics and Political Science, LSE Library.
- Mototsugu Shintani & Oliver Linton, 2003.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
See citations under working paper version above.
- Oliver Linton & Mototsugu Shintani, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," FMG Discussion Papers dp383, Financial Markets Group.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002.
"Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639, December.
See citations under working paper version above.- Hodgson, Douglas J & Linton, Oliver & Vorkink, Keith, 2000. "Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach," LSE Research Online Documents on Economics 2197, London School of Economics and Political Science, LSE Library.
- Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," Cahiers de recherche CREFE / CREFE Working Papers 143, CREFE, Université du Québec à Montréal.
- Oliver Linton & Douglas J.Hodgson & Keith Vorkink, 2001. "Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach," FMG Discussion Papers dp382, Financial Markets Group.
- Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series 398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2002.
"Edgeworth approximations for semiparametric instrumental variable estimators and test statistics,"
Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
See citations under working paper version above.
- Oliver Linton, 2000. "Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics," STICERD - Econometrics Paper Series 399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2000. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," LSE Research Online Documents on Economics 2156, London School of Economics and Political Science, LSE Library.
- Zhijie Xiao & Oliver Linton, 2002.
"A Nonparametric Prewhitened Covariance Estimator,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 215-250, March.
Cited by:
- Hirukawa, Masayuki, 2010. "Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 473-495, February.
- Linton, Oliver, 2005.
"Nonparametric Inference For Unbalanced Time Series Data,"
Econometric Theory, Cambridge University Press, vol. 21(1), pages 143-157, February.
- Oliver Linton, 2004. "Nonparametric inference for unbalance time series data," CeMMAP working papers CWP06/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver, 2004. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 2116, London School of Economics and Political Science, LSE Library.
- Oliver Linton, 2004. "Nonparametric Inference for Unbalanced Time Series Data," STICERD - Econometrics Paper Series 474, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver, 2005. "Nonparametric inference for unbalanced time series data," LSE Research Online Documents on Economics 322, London School of Economics and Political Science, LSE Library.
- Iglesias, Emma M. & Linton, Oliver, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," UC3M Working papers. Economics we094726, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Working Papers
202212, University of Liverpool, Department of Economics.
- Ruijun Bu & Degui Li & Oliver Linton & Hanchao Wang, 2023. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Papers 2307.01348, arXiv.org.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022.
"Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data,"
Janeway Institute Working Papers
2208, Faculty of Economics, University of Cambridge.
- Bu, R. & Li, D. & Linton, O. & Wang, H., 2022. "Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data," Cambridge Working Papers in Economics 2218, Faculty of Economics, University of Cambridge.
- Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
- Christopher Withers & Saralees Nadarajah, 2014. "Non-parametric confidence intervals for covariance and correlation," METRON, Springer;Sapienza Università di Roma, vol. 72(3), pages 283-306, October.
- Park, Sujin & Hong, Seok Young & Linton, Oliver, 2016. "Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error," Journal of Econometrics, Elsevier, vol. 191(2), pages 325-347.
- Hirukawa Masayuki, 2004. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers 04005, Concordia University, Department of Economics.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Arthur Lewbel & Oliver Linton, 2002.
"Nonparametric Censored and Truncated Regression,"
Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
See citations under working paper version above.
- Lewbel, Arthur & Linton, Oliver, 2000. "Nonparametric censored and truncated regression," LSE Research Online Documents on Economics 2060, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," STICERD - Econometrics Paper Series 389, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Boston College Working Papers in Economics 439, Boston College Department of Economics.
- Arthur Lewbel & Oliver Linton, 2000. "Nonparametric Censored and Truncated Regression," Econometric Society World Congress 2000 Contributed Papers 1237, Econometric Society.
- Linton, Oliver & Whang, Yoon-Jae, 2002.
"Nonparametric Estimation With Aggregated Data,"
Econometric Theory, Cambridge University Press, vol. 18(2), pages 420-468, April.
See citations under working paper version above.
- Linton, Oliver & Whang, Yoon-Jae, 2000. "Nonparametric estimation with aggregated data," LSE Research Online Documents on Economics 2092, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Yoon-Jae Whang, 2000. "Nonparametric Estimation with Aggregated Data," STICERD - Econometrics Paper Series 397, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Whang, Yoon-Jae, 2002. "Nonparametric estimation with aggregated data," LSE Research Online Documents on Economics 320, London School of Economics and Political Science, LSE Library.
- Juan Rodríguez-Poo & Oliver Linton, 2001.
"Nonparametric factor analysis of residual time series,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(1), pages 161-182, June.
Cited by:
- Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Bonsoo Koo & Oliver Linton, 2013.
"Let's get LADE: robust estimation of semiparametric multiplicative volatility models,"
CeMMAP working papers
CWP11/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Koo, Bonsoo & Linton, Oliver, 2015. "Let’S Get Lade: Robust Estimation Of Semiparametric Multiplicative Volatility Models," Econometric Theory, Cambridge University Press, vol. 31(4), pages 671-702, August.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020.
"Time-varying general dynamic factor models and the measurement of financial connectedness,"
LIDAM Reprints ISBA
2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," Working Papers ECARES 2019-09, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2021. "Time-varying general dynamic factor models and the measurement of financial connectedness," Journal of Econometrics, Elsevier, vol. 222(1), pages 324-343.
- Barigozzi, M. & Hallin, M. & Soccorsi, S. & Von Sachs, R., 2019. "Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness," LIDAM Discussion Papers ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Linton, Oliver, 2010.
"Efficient estimation of a multivariate multiplicative volatility model,"
Journal of Econometrics, Elsevier, vol. 159(1), pages 55-73, November.
- Christian M. Hafner & Oliver Linton, 2009. "Efficient Estimation of a Multivariate Multiplicative Volatility Model," STICERD - Econometrics Paper Series 541, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Christian M. Hafner & Oliver Linton, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Post-Print hal-00732539, HAL.
- Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
- Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2005.
"Semi-Parametric Modelling of Correlation Dynamics,"
Econometric Institute Research Papers
EI 2005-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Christian M. Hafner & Dick van Dijk & Philip Hans Franses, 2006. "Semi-Parametric Modelling of Correlation Dynamics," Advances in Econometrics, in: Econometric Analysis of Financial and Economic Time Series, pages 59-103, Emerald Group Publishing Limited.
- Bonsoo Koo & Oliver Linton, 2013. "Let's get LADE: robust estimation of semiparametric multiplicative volatility models," CeMMAP working papers 11/13, Institute for Fiscal Studies.
- Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2268-2283.
- Linton, Oliver, 2001.
"ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY,"
Econometric Theory, Cambridge University Press, vol. 17(6), pages 1037-1050, December.
See citations under working paper version above.
- Linton, Oliver, 2001. "Estimating additive nonparametric models by partial Lq norm: the curse of fractionality," LSE Research Online Documents on Economics 319, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Mammen, Enno & Nielsen, Jans Perch & Tanggaard, Carsten, 2001.
"Yield curve estimation by kernel smoothing methods,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 185-223, November.
See citations under working paper version above.
- Oliver B. Linton & Enno Mammen & J. Nielsen & Carsten Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," Econometric Society World Congress 2000 Contributed Papers 0235, Econometric Society.
- Oliver Linton & Enno Mammen & Jens Perch Nielsen & C Tanggaard, 2000. "Yield Curve Estimation by Kernel Smoothing Methods," STICERD - Econometrics Paper Series 385, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno & Perch Nielsen, Jens & Tanggaard, C, 2000. "Yield curve estimation by kernel smoothing methods," LSE Research Online Documents on Economics 2270, London School of Economics and Political Science, LSE Library.
- Linton, Oliver & Xiao, Zhijie, 2001.
"Second-Order Approximation For Adaptive Regression Estimators,"
Econometric Theory, Cambridge University Press, vol. 17(5), pages 984-1024, October.
See citations under working paper version above.
- Linton, Oliver & Xiao, Zhijie, 2001. "Second-order approximation for adaptive regression estimators," LSE Research Online Documents on Economics 317, London School of Economics and Political Science, LSE Library.
- Gozalo, Pedro L. & Linton, Oliver B., 2001.
"Testing additivity in generalized nonparametric regression models with estimated parameters,"
Journal of Econometrics, Elsevier, vol. 104(1), pages 1-48, August.
Cited by:
- M.L. Nores & M.P. Díaz, 2016. "Bootstrap hypothesis testing in generalized additive models for comparing curves of treatments in longitudinal studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 810-826, April.
- Tadao Hoshino, 2014. "Quantile regression estimation of partially linear additive models," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(3), pages 509-536, September.
- Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers CWP20/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- David Jacho-Chavez & Arthur Lewbel & Oliver Linton, 2006.
"Identification and Nonparametric Estimation of a Transformed Additively Separable Model,"
Boston College Working Papers in Economics
652, Boston College Department of Economics, revised 26 Nov 2008.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
- Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2006. "Identification and nonparametric estimation of a transformed additively separable model," LSE Research Online Documents on Economics 4416, London School of Economics and Political Science, LSE Library.
- Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007.
"Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns,"
FMG Discussion Papers
dp599, Financial Markets Group.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
- Germán Aneiros-Pérez & Philippe Vieu, 2013. "Testing linearity in semi-parametric functional data analysis," Computational Statistics, Springer, vol. 28(2), pages 413-434, April.
- Zhang, Chunming & Dette, Holger, 2003. "A power comparison between nonparametric regression tests," Technical Reports 2003,22, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Lawrence Dacuycuy, 2005. "On distribution approximation: a simple comparative study on procedural variations of the Zheng test," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-10.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
- Li, Qi & Hsiao, Cheng & Zinn, Joel, 2003. "Consistent specification tests for semiparametric/nonparametric models based on series estimation methods," Journal of Econometrics, Elsevier, vol. 112(2), pages 295-325, February.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2004.
"Nonparametric estimation of an additive quantile regression model,"
CeMMAP working papers
CWP07/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Horowitz, Joel L. & Lee, Sokbae, 2005. "Nonparametric Estimation of an Additive Quantile Regression Model," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1238-1249, December.
- Sokbae Lee & Joel L. Horowitz, 2004. "Nonparametric Estimation of an Additive Quantile Regression Model," Econometric Society 2004 Far Eastern Meetings 721, Econometric Society.
- Bontemps, Christophe & Simioni, Michel & Surry, Yves R., 2005.
"Hedonic Housing Prices and Agricultural Pollution: An Empirical Investigation on Semiparametric Models,"
2005 International Congress, August 23-27, 2005, Copenhagen, Denmark
24709, European Association of Agricultural Economists.
- Bontemps, Christophe & Simioni, Michel & Surry, Yves R., 2005. "Hedonic Housing Prices and Agricultural Pollution: An Empirical Investigation on Semiparametric Models," 2005 Annual meeting, July 24-27, Providence, RI 19547, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Neumeyer, Natalie & Van Keilegom, Ingrid, 2010. "Estimating the error distribution in nonparametric multiple regression with applications to model testing," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1067-1078, May.
- Christophe Bontemps & Michel Simioni & Yves Surry, 2008.
"Semiparametric hedonic price models: assessing the effects of agricultural nonpoint source pollution,"
Post-Print
hal-02661292, HAL.
- Christophe Bontemps & Michel Simioni & Yves Surry, 2008. "Semiparametric hedonic price models: assessing the effects of agricultural nonpoint source pollution," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 825-842.
- Bontemps, C. & Simioni, M. & Surry, Y., 2006. "Semiparametric hedonic price models : assessing the effects of agricultural nonpoint source pollution," Economics Working Paper Archive (Toulouse) 200602, French Institute for Agronomy Research (INRA), Economics Laboratory in Toulouse (ESR Toulouse).
- Lewbel, Arthur & Lu, Xun & Su, Liangjun, 2015.
"Specification testing for transformation models with an application to generalized accelerated failure-time models,"
Journal of Econometrics, Elsevier, vol. 184(1), pages 81-96.
- Arthur Lewbel & Xun Lu & Liangjun Su, 2012. "Specification Testing for Transformation Models with an Application to Generalized Accelerated Failure-time Models," Boston College Working Papers in Economics 817, Boston College Department of Economics, revised 01 May 2013.
- Zhang, Chunming & Dette, Holger, 2004. "A power comparison between nonparametric regression tests," Statistics & Probability Letters, Elsevier, vol. 66(3), pages 289-301, February.
- Jorge Hugo Barrientos Marín, 2006.
"Estimation And Testing An Additive Partially Linear Model In A Sysmtem Of Engel Curves,"
Grupo Microeconomía Aplicada
034, Universidad de Antioquia, Departamento de Economía.
- Jorge Barrientos Marin, 2006. "Estimation And Testing An Additive Partially Linear Model In A System Of Engel Curves," Working Papers. Serie AD 2006-23, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.
- Nitschka Thomas & Markov Nikolay, 2016.
"Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland,"
German Economic Review, De Gruyter, vol. 17(4), pages 478-490, December.
- Thomas Nitschka & Nikolay Markov, 2016. "Semi-Parametric Estimates of Taylor Rules for a Small, Open Economy – Evidence from Switzerland," German Economic Review, Verein für Socialpolitik, vol. 17(4), pages 478-490, November.
- Joel L. Horowitz & Sokbae (Simon) Lee, 2004. "Nonparametric estimation of an additive quantile regression model," CeMMAP working papers 07/04, Institute for Fiscal Studies.
- Lawrence Dacuycuy, 2006. "Explaining male wage inequality in the Philippines: non-parametric and semiparametric approaches," Applied Economics, Taylor & Francis Journals, vol. 38(21), pages 2497-2511.
- Pascal Lavergne & Valentin Patilea, 2006.
"Breaking the Curse of Dimensionality in Nonparametric Testing,"
Working Papers
2006-24, Center for Research in Economics and Statistics.
- Lavergne, Pascal & Patilea, Valentin, 2008. "Breaking the curse of dimensionality in nonparametric testing," Journal of Econometrics, Elsevier, vol. 143(1), pages 103-122, March.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Jorge Barrientos Marín, 2005. "A note on the Bandwidth choice when the null hypothesis is semiparametric," Revista de Economía del Rosario, Universidad del Rosario, December.
- Joel L. Horowitz, 2012. "Nonparametric additive models," CeMMAP working papers 20/12, Institute for Fiscal Studies.
- Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
- Stefan Sperlich, 2014. "On the choice of regularization parameters in specification testing: a critical discussion," Empirical Economics, Springer, vol. 47(2), pages 427-450, September.
- Debbarh, Mohammed & Viallon, Vivian, 2008. "Testing additivity in nonparametric regression under random censorship," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2584-2591, November.
- Felix Abramovich & Italia Feis & Theofanis Sapatinas, 2009. "Optimal testing for additivity in multiple nonparametric regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(3), pages 691-714, September.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Daniel J. Henderson & Christopher F. Parmeter & Liangjun Su, 2017. "M-Estimation of a Nonparametric Threshold Regression Model," Working Papers 2017-15, University of Miami, Department of Economics.
- Lu, Xun & White, Halbert, 2014. "Testing for separability in structural equations," Journal of Econometrics, Elsevier, vol. 182(1), pages 14-26.
- Linton, Oliver B., 2000.
"Efficient Estimation Of Generalized Additive Nonparametric Regression Models,"
Econometric Theory, Cambridge University Press, vol. 16(4), pages 502-523, August.
See citations under working paper version above.
- Linton, Oliver, 2000. "Efficient estimation of generalized additive nonparametric regression models," LSE Research Online Documents on Economics 314, London School of Economics and Political Science, LSE Library.
- Oliver Linton & Douglas Steigerwald, 2000.
"Adaptive testing in arch models,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
See citations under working paper version above.
- Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers 1105, Cowles Foundation for Research in Economics, Yale University.
- Gozalo, Pedro & Linton, Oliver, 2000.
"Local nonlinear least squares: Using parametric information in nonparametric regression,"
Journal of Econometrics, Elsevier, vol. 99(1), pages 63-106, November.
Cited by:
- Temel, T. & Lucas, A., 2005. "Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 115-138.
- Caraveli, H. & Tsionas, E.G., 2009. "Where in the U-shaped Curve Is Europe Found? An Empirical Analysis of Centre-Periphery in the E.U," The Journal of Economic Asymmetries, Elsevier, vol. 6(1), pages 75-88.
- Eduardo Fé & Richard Hofler, 2013.
"Count data stochastic frontier models, with an application to the patents–R&D relationship,"
Journal of Productivity Analysis, Springer, vol. 39(3), pages 271-284, June.
- Eduardo Fé-Rodríguez & Richard Hofler, 2009. "Count Data Stochastic Frontier Models, with an application to the patents-R&D Relationship," Economics Discussion Paper Series 0916, Economics, The University of Manchester.
- Matthias HAGMANN & Olivier SCAILLET, 2003.
"Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators,"
FAME Research Paper Series
rp91, International Center for Financial Asset Management and Engineering.
- Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
- Matthias Hagmann & Olivier Scaillet, 2004. "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004 25, Royal Economic Society.
- Li, Shaoran & Linton, Oliver, 2021.
"When will the Covid-19 pandemic peak?,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
- Li, S. & Linton, O., 2020. "When will the Covid-19 pandemic peak?," Cambridge Working Papers in Economics 2025, Faculty of Economics, University of Cambridge.
- Oliver Linton, 2020. "When will the Covid-19 pandemic peak?," CeMMAP working papers CWP11/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Markus Froelich & Jean Bourdon & Katharina Michaelowa, 2007.
"Teacher Shortages, Teacher Contracts and their Impact on Education in Africa,"
University of St. Gallen Department of Economics working paper series 2007
2007-20, Department of Economics, University of St. Gallen.
- Bourdon, Jean & Michaelowa, Katharina & Frölich, Markus, 2007. "Teacher shortages, teacher contracts and their impact on education in Africa," HWWI Research Papers 2-10, Hamburg Institute of International Economics (HWWI).
- Jean Bourdon & Markus Frölich & Katharina Michaelowa, 2007. "Teacher Shortages, Teacher Contracts and their Impacton Education in Africa," Post-Print halshs-00150147, HAL.
- Bourdon, Jean & Frölich, Markus & Michaelowa, Katharina, 2007. "Teacher Shortages, Teacher Contracts and their Impact on Education in Africa," IZA Discussion Papers 2844, Institute of Labor Economics (IZA).
- Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2013.
"To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regression,"
LIDAM Discussion Papers ISBA
2013025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Valentin Zelenyuk & Leopold Simar, 2011. "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions," CEPA Working Papers Series WP102011, School of Economics, University of Queensland, Australia.
- Simar, Leopold & Zelenyuk, Valentin, 2011. "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions," LIDAM Discussion Papers ISBA 2011042, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Kumbhakar, Subal & Tsionas, Efthymios, 2003. "Recent Developments in Stochastic Frontier Modeling," Efficiency Series Papers 2003/06, University of Oviedo, Department of Economics, Oviedo Efficiency Group (OEG).
- Tsionas, Euthimios G. & Mamatzakis, Emmanuel C., 2017. "Adjustment costs in the technical efficiency: An application to global banking," European Journal of Operational Research, Elsevier, vol. 256(2), pages 640-649.
- Lahiri, Kajal & Yang, Liu, 2013.
"Forecasting Binary Outcomes,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106,
Elsevier.
- Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
- Dette, Holger & Wieczorek, Gabriele, 2007. "Testing for a constant coefficient of variation in nonparametric regression," Technical Reports 2007,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Frölich, Markus & Michaelowa, Katharina, 2005.
"Peer Effects and Textbooks in Primary Education: Evidence from Francophone Sub-Saharan Africa,"
IZA Discussion Papers
1519, Institute of Labor Economics (IZA).
- Markus Froehlich & Katharina Michaelowa, 2005. "Peer effects and textbooks in primary education: Evidence from francophone sub-Saharan Africa," University of St. Gallen Department of Economics working paper series 2005 2005-11, Department of Economics, University of St. Gallen.
- Frolich, Markus & Michaelowa, Katharina, 2005. "Peer Effects and Textbooks in Primary Education: Evidence from Francophone Sub-Saharan Africa," Discussion Paper Series 26262, Hamburg Institute of International Economics.
- Frölich, Markus & Michaelowa, Katharina, 2004. "Peer effects and textbooks in primary education: Evidence from francophone sub-Saharan Africa," HWWA Discussion Papers 311, Hamburg Institute of International Economics (HWWA).
- Rothe, Christoph & Firpo, Sergio, 2013.
"Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions,"
IZA Discussion Papers
7564, Institute of Labor Economics (IZA).
- Rothe, Christoph & Firpo, Sergio Pinheiro, 2013. "Semiparametric estimation and inference using doubly robust moment conditions," Textos para discussão 330, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Mamuneas, T.P. & Savvides, A. & Stengos, T., 2002.
"Economic Development and the Return to Human Capital: A Smooth Coefficient Semiparametric Approach,"
Working Papers
2002-14, University of Guelph, Department of Economics and Finance.
- Theofanis P. Mamuneas & Andreas Savvides & Thanasis Stengos, 2006. "Economic development and the return to human capital: a smooth coefficient semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 111-132, January.
- Andreas Savvides & Theofanis P. Mamuneas & Thanasis Stengos, 2006. "Economic development and the return to human capital: a smooth coefficient semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 111-132.
- Xu, Ke-Li & Phillips, Peter C. B., 2011.
"Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 518-528.
- Ke-Li Xu & Peter C. B. Phillips, 2011. "Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(4), pages 518-528, October.
- Puhani, Patrick & Fröhlich, Markus, 2002.
"Immigration and Heterogeneous Labour in Western Germany: A Labour Market Classification Based on Nonparametric Estimation,"
CEPR Discussion Papers
3158, C.E.P.R. Discussion Papers.
- Puhani, Patrick A. & Frölich, Markus, 2002. "Immigration and Heterogeneous Labor in Western Germany: A Labor Market Classification Based on Nonparametric Estimation," ZEW Discussion Papers 02-01, ZEW - Leibniz Centre for European Economic Research.
- Artem Prokhorov & Kien C. Tran & Mike G. Tsionas, 2021. "Estimation of semi- and nonparametric stochastic frontier models with endogenous regressors," Empirical Economics, Springer, vol. 60(6), pages 3043-3068, June.
- Majda Talamakrouni & Anouar El Ghouch & Ingrid Van Keilegom, 2015. "Guided Censored Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 214-233, March.
- Long, Xiangdong & Su, Liangjun & Ullah, Aman, 2011.
"Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 109-125.
- Xiangdong Long & Liangjun Su & Aman Ullah, 2011. "Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 109-125, January.
- Arthur Lewbel & Daniel McFadden & Oliver Linton, 1997.
"Estimating Features of a Distribution from Binomial Data,"
Boston College Working Papers in Economics
442, Boston College Department of Economics, revised 01 Jul 2010.
- Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011. "Estimating features of a distribution from binomial data," Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
- Lewbel, Arthur & Linton, Oliver & McFadden, D. L., 2006. "Estimating features of a distribution from binomial data," LSE Research Online Documents on Economics 4418, London School of Economics and Political Science, LSE Library.
- Arthur Lewbel & Oliver Linton & Daniel McFadden, 2001. "Estimating features of a distribution from binomial data," CeMMAP working papers CWP07/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, Yingying & Lewbel, Arthur, 2011.
"Nonparametric identification of a binary random factor in cross section data,"
Journal of Econometrics, Elsevier, vol. 163(2), pages 163-171, August.
- Yingying Dong & Arthur Lewbel, 2009. "Nonparametric Identification of a Binary Random Factor in Cross Section Data," Boston College Working Papers in Economics 707, Boston College Department of Economics, revised 01 Jul 2010.
- Yingyong Dong & Arthur Lewbel, 2009. "Nonparametric identification of a binary random factor in cross section data," CeMMAP working papers CWP16/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Li, Degui & Simar, Léopold & Zelenyuk, Valentin, 2016.
"Generalized nonparametric smoothing with mixed discrete and continuous data,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 424-444.
- Li, Degui & Simar, Leopold & Zelenyuk, Valentin, 2016. "Generalized nonparametric smoothing with mixed discrete and continuous data," LIDAM Reprints ISBA 2016020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Peter C.B. Phillips & Ke-Li Xu, 2007. "Tilted Nonparametric Estimation of Volatility Functions," Cowles Foundation Discussion Papers 1612, Cowles Foundation for Research in Economics, Yale University, revised Jul 2010.
- Kien Tran & Efthymios Tsionas, 2010. "Local GMM Estimation of Semiparametric Panel Data with Smooth Coefficient Models," Econometric Reviews, Taylor & Francis Journals, vol. 29(1), pages 39-61.
- McCloud, Nadine & Parmeter, Christopher F., 2020. "Determining the Number of Effective Parameters in Kernel Density Estimation," Computational Statistics & Data Analysis, Elsevier, vol. 143(C).
- Sancetta, Alessio, 2013. "Weak conditions for shrinking multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 285-300.
- Talamakrouni, Majda & El Ghouch, Anouar & Van Keilegom, Ingrid, 2012. "Guided censored regression," LIDAM Discussion Papers ISBA 2012023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- D. F. Benoit & D. Van Den Poel, 2010. "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/662, Ghent University, Faculty of Economics and Business Administration.
- Centorrino, Samuele & Florens, Jean-Pierre, 2021. "Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors," Econometrics and Statistics, Elsevier, vol. 17(C), pages 35-63.
- Lewbel, Arthur, 2007. "A local generalized method of moments estimator," Economics Letters, Elsevier, vol. 94(1), pages 124-128, January.
- Yixiao Sun & Peter C.B. Phillips, 2002.
"Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes,"
Cowles Foundation Discussion Papers
1366, Cowles Foundation for Research in Economics, Yale University.
- Sun, Yixiao & Phillips, Peter C. B., 2003. "Nonlinear log-periodogram regression for perturbed fractional processes," Journal of Econometrics, Elsevier, vol. 115(2), pages 355-389, August.
- Wrenn, Douglas H. & Sam, Abdoul G., 2014. "Geographically and temporally weighted likelihood regression: Exploring the spatiotemporal determinants of land use change," Regional Science and Urban Economics, Elsevier, vol. 44(C), pages 60-74.
- El Ghouch, Anouar & Genton, Marc G., 2009. "Local Polynomial Quantile Regression With Parametric Features," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1416-1429.
- Florios, Kostas & Skouras, Spyros, 2008. "Exact computation of max weighted score estimators," Journal of Econometrics, Elsevier, vol. 146(1), pages 86-91, September.
- Stefan Sperlich & Oliver Linton & Wolfgang Härdle, 1999.
"Integration and backfitting methods in additive models-finite sample properties and comparison,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 419-458, December.
See citations under working paper version above.
- Sperlich, Stefan & Hardle, Wolfgang & Linton, Oliver, 1998. "Integration and Backfitting methods in additive models: finite sample properties and comparison," DES - Working Papers. Statistics and Econometrics. WS 6270, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Whang, Yoon-Jae & Linton, Oliver, 1999.
"The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series,"
Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July.
See citations under working paper version above.
- Yoon-Jae Whang & Oliver Linton, 1997. "The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series," Cowles Foundation Discussion Papers 1130R, Cowles Foundation for Research in Economics, Yale University.
- J. P. Nielsen & O. B. Linton, 1998.
"An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(1), pages 217-222.
See citations under working paper version above.
- Nielsen, J. P. & Linton, O. B., 1996. "An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models," SFB 373 Discussion Papers 1996,88, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Linton, Oliver, 1997.
"An Asymptotic Expansion in the GARCH(l, 1) Model,"
Econometric Theory, Cambridge University Press, vol. 13(4), pages 558-581, February.
See citations under working paper version above.
- Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1996.
"Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models,"
Econometric Theory, Cambridge University Press, vol. 12(1), pages 30-60, March.
See citations under working paper version above.
- Oliver Linton, 1994. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Cowles Foundation Discussion Papers 1086, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver, 1995.
"Second Order Approximation in the Partially Linear Regression Model,"
Econometrica, Econometric Society, vol. 63(5), pages 1079-1112, September.
See citations under working paper version above.
- Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
- Linton, Oliver & Nielsen, Jens Perch, 1994.
"A multiplicative bias reduction method for nonparametric regression,"
Statistics & Probability Letters, Elsevier, vol. 19(3), pages 181-187, February.
Cited by:
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
- Scholz, Michael & Nielsen, Jens Perch & Sperlich, Stefan, 2015. "Nonparametric prediction of stock returns based on yearly data: The long-term view," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 143-155.
- Hirukawa, Masayuki, 2010. "Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 473-495, February.
- Wenzhuan Zhang & Yingcun Xia, 2012. "Twicing local linear kernel regression smoothers," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(2), pages 399-417.
- Yao, Weixin, 2012. "A bias corrected nonparametric regression estimator," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 274-282.
- Jens Perch Nielsen & Carsten Tanggaard & M.C. Jones, 2007. "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," CREATES Research Papers 2007-13, Department of Economics and Business Economics, Aarhus University.
- Naito, Kanta & Yoshizaki, Masahiro, 2009. "Bandwidth selection for a data sharpening estimator in nonparametric regression," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1465-1486, August.
- Funke, Benedikt & Hirukawa, Masayuki, 2021. "Bias correction for local linear regression estimation using asymmetric kernels via the skewing method," Econometrics and Statistics, Elsevier, vol. 20(C), pages 109-130.
- Nielsen, Jens Perch & Tanggaard, Carsten & Jones, M. C., 2003. "Local Linear Density Estimation for Filtered Survival Data, with Bias Correction," Finance Working Papers 03-9, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Perch Nielsen, Jens & Tanggaard, Carsten, 2000. "Boundary and Bias Correction in Kernel Hazard Estimation," Finance Working Papers 00-7, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
- Bischofberger, Stephan M. & Hiabu, Munir & Mammen, Enno & Nielsen, Jens Perch, 2019. "A comparison of in-sample forecasting methods," Computational Statistics & Data Analysis, Elsevier, vol. 137(C), pages 133-154.
- Linton, Oliver, 1993.
"Adaptive Estimation in ARCH Models,"
Econometric Theory, Cambridge University Press, vol. 9(4), pages 539-569, August.
See citations under working paper version above.
- Oliver Linton, 1993. "Adaptive Estimation in ARCH Models," Cowles Foundation Discussion Papers 1054, Cowles Foundation for Research in Economics, Yale University.
Chapters
- Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods,"
Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339,
Elsevier.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," LIDAM Discussion Papers CORE 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Oliver LINTON, "undated". "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
Books
- Linton,Oliver, 2019.
"Financial Econometrics,"
Cambridge Books,
Cambridge University Press, number 9781107177154.
- Linton,Oliver, 2019. "Financial Econometrics," Cambridge Books, Cambridge University Press, number 9781316630334.
Cited by:
- Lajos Horváth & Hemei Li & Zhenya Liu, 2021.
"How to identify the different phases of stock market bubbles statistically?,"
Post-Print
hal-03511435, HAL.
- Horváth, Lajos & Li, Hemei & Liu, Zhenya, 2022. "How to identify the different phases of stock market bubbles statistically?," Finance Research Letters, Elsevier, vol. 46(PA).
- Daniel S. Hamermesh & Gerard A. Pfann, 2022.
"The Variability and Volatility of Sleep: An ARCHetypal Behavior,"
NBER Working Papers
29658, National Bureau of Economic Research, Inc.
- Hamermesh, Daniel S. & Pfann, Gerard A., 2022. "The variability and volatility of sleep: An ARCHetypal behavior," Economics & Human Biology, Elsevier, vol. 47(C).