Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes. [PDF]
The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process.
Costantini, Mauro, Cerqueti, Roy
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new test for the parametric form of the variance function in nonparametric regression [PDF]
In the common nonparametric regression model the problem of testing for the parametric form of the conditional variance is considered. A stochastic process based on the difference between the empirical processes obtained from the standardized ...
Dette, Holger, van Keilegom, Ingrid
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"Empirical Likelihood Methods in Econometrics: Theory and Practice" [PDF]
Recent developments in empirical likelihood (EL) methods are reviewed. First, to put the method inperspective, two interpretations of empirical likelihood are presented, one as a nonparametric maximum likelihood estimation method (NPMLE) and the other as
Yuichi Kitamura
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Indirect likelihood inference [PDF]
Given a sample from a fully specified parametric model, let Zn be a given finite-dimensional statistic - for example, an initial estimator or a set of sample moments. We propose to (re-)estimate the parameters of the model by maximizing the likelihood of
Michael Creel, Dennis Kristensen
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Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results [PDF]
Econometric analysis of continuous time models has drawn the attention of Peter Phillips for nearly 40 years, resulting in many important publications by him.
Jun YU
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"Characterization of the Asymptotic Distribution of Semiparametric M-Estimators" [PDF]
This paper develops a concrete formula for the asymptotic distribution of two-step, possibly non-smooth semiparametric M-estimators under general misspecification.
Sokbae Lee, Hidehiko Ichimura
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Frontier Estimation and Extreme Values Theory [PDF]
In this paper we investigate the problem of nonparametric monotone frontier estimation from an extreme-values theory perspective. This allows to revisit the asymptotic theory of the popular Free Disposal Hull estimator in a general setup, to derive new ...
Florens, Jean-Pierre +2 more
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Inference on Income Inequality and Tax Progressivity Indices: U-Statistics and Bootstrap Methods [PDF]
This paper discusses asymptotic and bootstrap inference methods for a set of inequality and progressivity indices. The application of non-degenerate U-statistics theory is described, particularly through the derivation of the Suits-progressivity index ...
Raquel Andres, Samuel Calonge
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Nonparametric tests of conditional treatment effects [PDF]
We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the ...
Sokbae 'Simon' Lee, Yoon-Jae Whang
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The existence and asymptotic properties of a backfitting projection algorithm under weak conditions. [PDF]
We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function.
Mammen, E., Linton, Oliver, Nielsen, J.
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