Results 61 to 70 of about 7,325 (196)
The Asymptotic Variance of Semiparametric Estimators [PDF]
Econometrica, 1994 Summary: The purpose of this paper is the presentation of a general formula for the asymptotic variance of a semiparametric estimator. A particularly important feature of this formula is a way of accounting for the presence of nonparametric estimates of nuisance functions.
openaire +2 more sources
An Uncertainty Based Approach for Dealing With Selection Bias in Non‐Probability Samples
International Statistical Review, EarlyView.Summary The main issue with non‐probability samples is that the standard design‐based approach cannot be applied as the selection mechanism is unknown. In this paper, the concept of uncertainty on data generating model, resulting from the lack of knowledge of the sampling design acting in the non‐probability sample, is discussed.
Pier Luigi Conti, Daniela Marella
wiley +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, EarlyView.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Demand Shocks, Export Diversification, and Firm Performance During the Great Trade Collapse
Journal of Economics &Management Strategy, EarlyView.ABSTRACT This paper analyzes the impact of external demand shocks from the 2008 to 2009 Great Trade Collapse on the performance of Chinese exporters and examines how export diversification mitigates these effects. Using Chinese Customs data merged with financial data from all listed Chinese firms, we construct firm‐specific demand shocks based on pre ...
Qianlin Hong +3 more
wiley +1 more source
Discrete Dynamics in Nature and Society, 2019 This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the ...
Liang Wang +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
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 +2 more
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
A Semiparametric Sequential Ordinal Model with Applications to Analyse First Birth Intervals
Austrian Journal of Statistics, 2016 A semiparametric sequential ordinal model is proposed to analyze socio-demographic and spatial determinants of first birth intervals after marriage. Random effects are introduced to capture spatially structured and unstructured latent covariates.
Lawrence Kazembe
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Obesity Reviews, EarlyView.ABSTRACT Gut microbiota may contribute to the adiposity‐associated disease risk, but human studies reported inconsistent associations of adiposity with gut microbiota composition. We examined associations of body mass index (BMI) with alpha diversity and relative microbial abundance at the phylum and genus taxonomic levels (based on 16S rRNA amplicon ...
Carolina Schwedhelm +27 more
wiley +1 more source