Results 131 to 140 of about 7,257 (284)

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments [PDF]

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables.
Demian Pouzo, Xiaohong Chen
core   +3 more sources

Nonparametric Inference of Conditional Expectile Functions in Large‐Scale Time Series Data With Improved Efficiency

Journal of Time Series Analysis, EarlyView.
ABSTRACT Expectile is a coherent and elicitable law‐invariant risk measure widely applied in risk management. Existing methods based on iteratively reweighted least squares (IWLS) are not computationally efficient for large‐scale sample sizes. To overcome the issue, we develop a direct nonparametric conditional expectile function estimator by inverting
Feipeng Zhang, Ping‐Shou Zhong
wiley   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Testing Distributional Granger Causality With Entropic Optimal Transport

Journal of Time Series Analysis, EarlyView.
ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley   +1 more source

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative [PDF]

This paper is concerned with inference about a function g that is identified by a conditional quantile restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family ...
Sokbae 'Simon' Lee, Joel Horowitz
core  

Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach

Mathematical Finance, EarlyView.
ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui, Daisuke Murakami, Tor A. Myrvoll   +4 more
wiley   +1 more source

Small‐scale adaptation to geothermal soil heating in a perennial herb revealed by combining crosses and transplantations

New Phytologist, EarlyView.
Path diagrams showing the results of piecewise structural equation models examining how fitness (total number of seeds in flowering individuals) of Cerastium fontanum depended on temperature at planting site, temperature difference, mating type, and flowering time (FFD, first flowering date) in each of the two study years.
Alicia Valdés, Vigdís F. Helmutsdóttir, Bryndís Marteinsdóttir, Johan Ehrlén   +3 more
wiley   +1 more source

Threshold Regression for Fixed‐T$$ T $$ Panel Data with Interactive Fixed Effects

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, T$$ T $$. The toolbox is designed to be simple, accurate, and computationally efficient.
Jan Ditzen, Yiannis Karavias, Joakim Westerlund   +2 more
wiley   +1 more source

Stock Liquidity and Company Annual Reports. How Does Publishing the Annual Report Affect Stock Liquidity?

Nauki o Finansach
Aim: This study examines how management reports affect stock liquidity and compares the responses of stocks with low, medium, and high liquidity. Methodology: Stocks were classified into three liquidity groups based on the median Amihud (ILLIQ) ratio ...
Tohid Zeinali, Jan Makary Fryczak
doaj   +1 more source

What Candidates Benefit From Corruption? Opportunities for Corruption and the Prevalence of Candidates With Business Ties

Regulation &Governance, EarlyView.
ABSTRACT Which candidates benefit from corruption and favoritism in public procurement? While existing studies show that politically connected firms profit from corruption risks in public procurement, we know less about whether these risks also increase the prevalence of political candidates with ties to business.
Saverio Di Giorno, Monika Bauhr, Francesco Busato   +2 more
wiley   +1 more source