Results 41 to 50 of about 58,855 (160)

Econometrics at the Extreme: From Quantile Regression to QFAVAR1

Journal of Economic Surveys, EarlyView.
ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte, Konstantinos N. Konstantakis, Dimitris Konstantios, Panayotis G. Michaelides, Arsenios‐Georgios N. Prelorentzos   +4 more
wiley   +1 more source

Semiparametric cointegrating rank selection [PDF]

Econometrics Journal, 2009
Summary: Some convenient limit properties of usual information criteria are given for cointegrating rank selection. Allowing for a nonparametric short memory component and using a reduced rank regression with only a single lag, standard information criteria are shown to be weakly consistent in the choice of cointegrating rank provided the penalty ...
CHENG, Xu, Peter C. B. PHILLIPS
openaire   +4 more sources

On Exponential‐Family INGARCH Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT A range of integer‐valued generalised autoregressive conditional heteroscedastic (INGARCH) models have been proposed in the literature, including those based on conditional Poisson, negative binomial and Conway‐Maxwell‐Poisson distributions. This note considers a larger class of exponential‐family INGARCH models, showing that maximum empirical
Alan Huang, Thomas Fung, Kyle Macaskill, Rowan Aukes   +3 more
wiley   +1 more source

Robinson's Squareroot-of-n-consistent Semiparametric Regression Estimator in Stata [PDF]

This paper describes Robinson's (1988) double residual semiparametric regression estimator and Hardle and Mammen's (1993) specification test implementation in Stata.
Nicolas Debarsy, Vincenzo Verardi
core  

Characterization of the asymptotic distribution of semiparametric M-estimators [PDF]

, 2010
This paper develops a concrete formula for the asymptotic distribution of two-step, possibly non-smooth semiparametric M-estimators under general misspecification.
Ichimura, H, Lee, S
core   +3 more sources

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Gaussian semiparametric estimation of multivariate fractionally integrated processes [PDF]

This paper analyzes the semiparametric estimation of multivariate long-range dependent processes. The class of spectral densities considered includes multivariate fractionally integrated processes, which are not covered by the existing literature.
Katsumi Shimotsu
core  

Semiparametrically Optimal Cointegration Test

SSRN Electronic Journal, 2023
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit experiment, which in this context takes the form of Locally ...
openaire   +3 more sources

Analyzing Non‐Random Selectivity in Online Job Advertisements Using Eurostat Benchmark Data and Generalized Sample Selection Models: An Application to EU Regional Labor Markets

LABOUR, EarlyView.
ABSTRACT The present paper provides an overall framework to afford the problem of non‐representativeness and non‐random selectivity arising from online job ads data, using Generalized sample selection models and Eurostat benchmark data. We jointly model the outcome intensity (number of online job ads in observed profiles, whose levels are defined by ...
Pietro Giorgio Lovaglio, Mario Mezzanzanica   +1 more
wiley   +1 more source

Bayesian Inference for Joint Estimation Models Using Copulas to Handle Endogenous Regressors

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This study proposes a Bayesian approach for finite‐sample inference of the Gaussian copula endogeneity correction. Extant studies use frequentist inference, build on a priori computed estimates of marginal distributions of explanatory variables, and use bootstrapping to obtain standard errors. The proposed Bayesian approach facilitates precise
Rouven E. Haschka
wiley   +1 more source