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Adaptive estimation of regression models via moment restrictions

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  1. Linton, Oliver, 1996. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 12(1), pages 30-60, March.
  2. Zhengyu Zhang & Pingfang Zhu, 2010. "A More Efficient Best Spatial Three-stage Least Squares Estimator for Spatial Autoregressive Models," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 155-184, May.
  3. Delis, Manthos & Savva, Christos & Theodossiou, Panayiotis, 2020. "A Coronavirus Asset Pricing Model: The Role of Skewness," MPRA Paper 100877, University Library of Munich, Germany.
  4. Ximing Wu & Thanasis Stengos, 2005. "Partially adaptive estimation via the maximum entropy densities," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 352-366, December.
  5. Wai Mun Fong, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, John Wiley & Sons, vol. 6(2), pages 167-186.
  6. Ao Yuan & Jan G. De Gooijer, 2007. "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 841-869, December.
  7. Arslan, Olcay, 2004. "Family of multivariate generalized t distributions," Journal of Multivariate Analysis, Elsevier, vol. 89(2), pages 329-337, May.
  8. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
  9. West, Kenneth D, 2001. "On Optimal Instrumental Variables Estimation of Stationary Time Series Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1043-1050, November.
  10. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
  11. Tao Chen & Gautam Tripathi, 2013. "Testing conditional symmetry without smoothing," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 273-313, June.
  12. Lee, Jungyoon & Robinson, Peter M., 2020. "Adaptive inference on pure spatial models," Journal of Econometrics, Elsevier, vol. 216(2), pages 375-393.
  13. Steigerwald, Douglas G, 2006. "A Note on Adaptive Estimation," University of California at Santa Barbara, Economics Working Paper Series qt94v9g27p, Department of Economics, UC Santa Barbara.
  14. Hahn, Jinyong, 1997. "Efficient estimation of panel data models with sequential moment restrictions," Journal of Econometrics, Elsevier, vol. 79(1), pages 1-21, July.
  15. 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.
  16. West, K.D., 1997. "On Optimal Instrumental Variables Estimation of Time Series Models," Working papers 9717, Wisconsin Madison - Social Systems.
  17. Hend Auda, 2013. "Novel symmetry tests in regression models based on Gini mean difference," METRON, Springer;Sapienza Università di Roma, vol. 71(1), pages 21-32, June.
  18. Robinson, Peter M., 2007. "Efficient estimation of the semiparametric spatial autoregressive model," LSE Research Online Documents on Economics 4535, London School of Economics and Political Science, LSE Library.
  19. Fong, Wai Mun, 1997. "Robust beta estimation: Some empirical evidence," Review of Financial Economics, Elsevier, vol. 6(2), pages 167-186.
  20. James S. Allison & Charl Pretorius, 2017. "A Monte Carlo evaluation of the performance of two new tests for symmetry," Computational Statistics, Springer, vol. 32(4), pages 1323-1338, December.
  21. Kenneth West & Ka-fu Wong & Stanislav Anatolyev, 2009. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(5), pages 441-467.
  22. 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.
  23. Luca Bagnato & Valerio Potì & Maria Zoia, 2015. "The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns," Statistical Papers, Springer, vol. 56(4), pages 1205-1234, November.
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  25. Masayuki Hirukawa & Mari Sakudo, 2016. "Testing Symmetry of Unknown Densities via Smoothing with the Generalized Gamma Kernels," Econometrics, MDPI, vol. 4(2), pages 1-27, June.
  26. Robinson, Peter, 2004. "Efficiency improvements in inference on stationary and nonstationary fractional time series," LSE Research Online Documents on Economics 2126, London School of Economics and Political Science, LSE Library.
  27. Peter M Robinson, 2007. "Efficient Estimation of the SemiparametricSpatial Autoregressive Model," STICERD - Econometrics Paper Series 515, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  28. James Mcdonald & Richard Michelfelder & Panayiotis Theodossiou, 2010. "Robust estimation with flexible parametric distributions: estimation of utility stock betas," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 375-387.
  29. Im, Kyung So & Schmidt, Peter, 2008. "More efficient estimation under non-normality when higher moments do not depend on the regressors, using residual augmented least squares," Journal of Econometrics, Elsevier, vol. 144(1), pages 219-233, May.
  30. Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
  31. Peter Robinson, 2006. "Efficient estimation of the semiparametric spatial autoregressive model," CeMMAP working papers CWP08/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  32. Chen, Tao & Tripathi, Gautam, 2017. "A simple consistent test of conditional symmetry in symmetrically trimmed tobit models," Journal of Econometrics, Elsevier, vol. 198(1), pages 29-40.
  33. Perez-Alonso, Alicia, 2007. "A bootstrap approach to test the conditional symmetry in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3484-3504, April.
  34. James B. McDonald & Daniel B. Walton & Bryan Chia, 2020. "Distributional Assumptions and the Estimation of Contingent Valuation Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 431-460, August.
  35. 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.
  36. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
  37. Ramirez, Octavio A., 2001. "Autoregressive Conditional Heteroskedasticy Under Error-Term Non-Normality," 2001 Annual meeting, August 5-8, Chicago, IL 20595, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  38. Ramirez, Octavio A. & Misra, Sukant K. & Nelson, Jeannie, 2002. "Estimation Of Efficient Regression Models For Applied Agricultural Economics Research," 2002 Annual meeting, July 28-31, Long Beach, CA 19904, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  39. Victor Korolev, 2023. "Analytic and Asymptotic Properties of the Generalized Student and Generalized Lomax Distributions," Mathematics, MDPI, vol. 11(13), pages 1-27, June.
  40. Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
  41. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
  42. Arnab Maity & Michael Sherman, 2008. "On adaptive linear regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(12), pages 1409-1422.
  43. McDonald, James B. & Xu, Yexiao J., 1995. "A generalization of the beta distribution with applications," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 133-152.
  44. Harvey, Andew & Liao, Yin, 2023. "Dynamic Tobit models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 72-83.
  45. Peter M Robinson, 2009. "Developments in the Analysis of Spatial Data," STICERD - Econometrics Paper Series 531, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  46. Peter M Robinson, 2004. "Efficiency Improvements in Inference on Stationary and Nonstationary Fractional Time Series," STICERD - Econometrics Paper Series 480, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  47. Tata Subba Rao & Granville Tunnicliffe Wilson & P. M. Robinson & L. Taylor, 2017. "Adaptive Estimation in Multiple Time Series With Independent Component Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 191-203, March.
  48. Haoying Wang, 2018. "Pricing used books on Amazon.com: a spatial approach to price dispersion," Spatial Economic Analysis, Taylor & Francis Journals, vol. 13(1), pages 99-117, January.
  49. Liangjun Su & Sainan Jin, 2005. "A Bootstrap Test for Conditional Symmetry," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 251-261, November.
  50. 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.
  51. Robinson, P.M., 2010. "Efficient estimation of the semiparametric spatial autoregressive model," Journal of Econometrics, Elsevier, vol. 157(1), pages 6-17, July.
  52. Joseph Ngatchou-Wandji & Michel Harel, 2013. "A Cramér-von Mises test for symmetry of the error distribution in asymptotically stationary stochastic models," Statistical Inference for Stochastic Processes, Springer, vol. 16(3), pages 207-236, October.
  53. Gupta, A, 2015. "Nonparametric specification testing via the trinity of tests," Economics Discussion Papers 15619, University of Essex, Department of Economics.
  54. Eric Auerbach, 2019. "Identification and Estimation of a Partially Linear Regression Model using Network Data," Papers 1903.09679, arXiv.org, revised Jun 2021.
  55. Harvey, Andrew & Ito, Ryoko, 2020. "Modeling time series when some observations are zero," Journal of Econometrics, Elsevier, vol. 214(1), pages 33-45.
  56. Ivanović, Blagoje & Milošević, Bojana & Obradović, Marko, 2020. "Comparison of symmetry tests against some skew-symmetric alternatives in i.i.d. and non-i.i.d. setting," Computational Statistics & Data Analysis, Elsevier, vol. 151(C).
  57. Gupta, Abhimanyu, 2018. "Nonparametric specification testing via the trinity of tests," Journal of Econometrics, Elsevier, vol. 203(1), pages 169-185.
  58. H. He & W. Wang & J. Hu & R. Gallop & P. Crits-Christoph & Y. Xia, 2015. "Distribution-free inference of zero-inflated binomial data for longitudinal studies," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(10), pages 2203-2219, October.
  59. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  60. Phillips, Robert F., 1997. "On the robustness of two alternatives to least squares: A Monte Carlo study," Economics Letters, Elsevier, vol. 56(1), pages 21-26, September.
  61. 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.
  62. De Gooijer, Jan G. & Reichardt, Hugo, 2021. "A multi-step kernel–based regression estimator that adapts to error distributions of unknown form," LSE Research Online Documents on Economics 115083, London School of Economics and Political Science, LSE Library.
  63. Robinson, Peter, 2008. "Developments in the analysis of spatial data," LSE Research Online Documents on Economics 25473, London School of Economics and Political Science, LSE Library.
  64. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
  65. Hansen, James V. & McDonald, James B. & Turley, Robert S., 2006. "Partially adaptive robust estimation of regression models and applications," European Journal of Operational Research, Elsevier, vol. 170(1), pages 132-143, April.
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