Results 121 to 130 of about 7,257 (284)

Bias Adjustment for Mean Squared Error Estimation in M‐Quantile Models for Small Area Estimation

International Statistical Review, EarlyView.
Summary M‐quantile (MQ) regression provides a robust and flexible alternative to mixed models for small area estimation. However, several theoretical aspects remain underexplored. In this paper, a parametric bootstrap method is proposed to approximate the distributions of area‐specific MQ coefficients and applied to adjust the bias in the mean squared ...
María Bugallo, Domingo Morales, Nicola Salvati, Francesco Schirripa Spagnolo   +3 more
wiley   +1 more source

Global Bahadur representation for nonparametric censored regression quantiles and its applications [PDF]

This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is randomly censored. Using results on the strong uniform convergence of U-processes, we derive a global Bahadur representation for the weighted
Yingcun Xia, Oliver Linton, Efang Kong
core  

Nonparametric quantile regression for twice censored data

Bernoulli, 2013
We consider the problem of nonparametric quantile regression for twice censored data. Two new estimates are presented, which are constructed by applying concepts of monotone rearrangements to estimates of the conditional distribution function. The proposed methods avoid the problem of crossing quantile curves.
Volgushev, Stanislav, Dette, Holger
openaire   +5 more sources

Heterogeneity in Manufacturing Growth Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multilevel quantile regression approach, we find that industries exhibit heterogeneous increases of downside risk in times of tight financial conditions, while upside potential remains stable.
DAAN OPSCHOOR, DICK VAN DIJK, PHILIP HANS FRANSES   +2 more
wiley   +1 more source

Quantile Regression in Risk Calibration [PDF]

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the ...
Wolfgang Karl Härdle, Shih-Kang Chao, Weining Wang   +2 more
core  

Asymmetric Effect of Monetary and Fiscal Policy Uncertainty on the Energy Transition: Evidence from the United States

გლობალიზაცია და ბიზნესი
This research attempts to investigate how uncertainty in fiscal policy (FPU) and monetary policy (MPU) affects the US energy transition. While previous literature took the total renewable energy consumption (REC) as an indicator for the energy transition,
Mohammed Amine Mouffok, Omar Mouffok, Wassila Bouabdallah, Youcef Souar   +3 more
doaj   +1 more source

Mixing It Up: Inflation at Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley   +1 more source

Efficient Estimation of an Additive Quantile Regression Model [PDF]

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the ...
Zerom, Dawit, Cheng, Yebin, De Gooijer, Jan   +2 more
core   +1 more source

AN ADAPTIVE COMPOSITE QUANTILE APPROACH TO DIMENSION REDUCTION [PDF]

, 2014
Sufficient dimension reduction [Li 1991] has long been a prominent issue in multivariate nonparametric regression analysis. To uncover the central dimension reduction space, we propose in this paper an adaptive composite quantile approach.
Kong, Efang
core   +1 more source

Consumption in Asset Returns

The Journal of Finance, EarlyView.
ABSTRACT Using information in returns, we identify the stochastic process of consumption. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets. This persistent component accounts for over a quarter of consumption variation. These shocks command a large and significant risk premium, driving a large
SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD   +2 more
wiley   +1 more source