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Bayesian semiparametric regression [PDF]
We consider Bayesian estimation of restricted conditional moment models with linear regression as a particular example. The standard practice in the Bayesian literature for semiparametric models is to use flexible families of distributions for the errors and assume that the errors are independent from covariates.
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We study drift dynamics in high-frequency financial returns using a semiparametric approach based on the conventional semimartingale representation of asset prices. By exploiting the exact discretization of the continuous-time process, our framework allows us to formally test for the presence of stochastic drift dynamics in the data and to assess its ...
Giuseppe Buccheri, Giorgio Vocalelli
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Giuseppe Buccheri, Giorgio Vocalelli
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Semiparametric Smooth Coefficient Models
Journal of Business and Economic Statistics, 2002Qi Li, Cliff J Huang, Tsu-Tan Fu
exaly
Semiparametric Regression Analysis With Missing Response at Random
Journal of the American Statistical Association, 2004, Oliver Linton, Wolfgang Karl Härdle
exaly
A Semiparametric Approach to Dimension Reduction
Journal of the American Statistical Association, 2012Yanyuan Ma, Liping Zhu
exaly
Efficient Semiparametric Marginal Estimation for Longitudinal/Clustered Data
Journal of the American Statistical Association, 2005Naisyin Wang, Xihong Lin
exaly
Semiparametric Regression for Clustered Data Using Generalized Estimating Equations
Journal of the American Statistical Association, 2001Xihong Lin
exaly
A semiparametric approach to short-term oil price forecasting
Energy Economics, 2001Claudio Morana
exaly

