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Semiparametric Regression Estimation In Null Recurrent Nonlinear Time Series
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Book Synopsis Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series by : Jia Chen
Download or read book Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series written by Jia Chen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimation theory in a nonstationary environment has been very popular in recent years. Existing studies focus on nonstationarity in parametric linear, parametric nonlinear and nonparametric nonlinear models. In this paper, we consider a partially linear model of the form Yt = X t +g(Vt)+ t, t = 1, · · ·, n, where {Vt} is a sequence of -null recurrent Markov chains, {Xt} is a sequence of either strictly stationary or nonstationary regressors and { t} is a stationary sequence. We propose to estimate both a and g(·) semiparametrically. We then show that the proposed estimator of is still asymptotically normal with the same rate as for the case of stationary time series. We also establish the asymptotic normality for the nonparametric estimator of the function g(·) and the uniform consistency of the nonparametric estimator. The simulated example is given to show that our theory and method work well in practice.
Book Synopsis The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics by : Jeffrey Racine
Download or read book The Oxford Handbook of Applied Nonparametric and Semiparametric Econometrics and Statistics written by Jeffrey Racine and published by Oxford University Press. This book was released on 2014-04 with total page 562 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, edited by Jeffrey Racine, Liangjun Su, and Aman Ullah, contains the latest research on nonparametric and semiparametric econometrics and statistics. Chapters by leading international econometricians and statisticians highlight the interface between econometrics and statistical methods for nonparametric and semiparametric procedures.
Download or read book Nonlinear Time Series written by Jiti Gao and published by CRC Press. This book was released on 2007-03-22 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received extensive attention in the economics and statistics communities over the past twenty years. Recent studies show that semiparametric methods and models may be applied to solve dimensionality reduction problems arising from using fully
Book Synopsis Semiparametric Regression by : David Ruppert
Download or read book Semiparametric Regression written by David Ruppert and published by Cambridge University Press. This book was released on 2003-07-14 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even experts on semiparametric regression should find something new here.
Book Synopsis Essays in Honor of Peter C. B. Phillips by : Thomas B. Fomby
Download or read book Essays in Honor of Peter C. B. Phillips written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.
Book Synopsis Recursive Estimation and Time-Series Analysis by : Peter C. Young
Download or read book Recursive Estimation and Time-Series Analysis written by Peter C. Young and published by Springer Science & Business Media. This book was released on 2011-08-04 with total page 505 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a revised version of the 1984 book of the same name but considerably modified and enlarged to accommodate the developments in recursive estimation and time series analysis that have occurred over the last quarter century. Also over this time, the CAPTAIN Toolbox for recursive estimation and time series analysis has been developed at Lancaster, for use in the MatlabTM software environment (see Appendix G). Consequently, the present version of the book is able to exploit the many computational routines that are contained in this widely available Toolbox, as well as some of the other routines in MatlabTM and its other toolboxes. The book is an introductory one on the topic of recursive estimation and it demonstrates how this approach to estimation, in its various forms, can be an impressive aid to the modelling of stochastic, dynamic systems. It is intended for undergraduate or Masters students who wish to obtain a grounding in this subject; or for practitioners in industry who may have heard of topics dealt with in this book and, while they want to know more about them, may have been deterred by the rather esoteric nature of some books in this challenging area of study.
Book Synopsis Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series by : Jiti Gao
Download or read book Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series written by Jiti Gao and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper establishes several results for uniform convergence of nonparametric kernel density and regression estimates for the case where the time series regressors concerned are nonstationary null- recurrent Markov chains. Under suitable conditions, certain rates of convergence are also established for these estimates. Our results can be viewed as an extension of some well-known uniform consistency results for the stationary time series to the nonstationary time series case.
Book Synopsis Semiparametric Estimation in Time Series Regression with Long Range Dependence by : M. Ørregaard Nielsen
Download or read book Semiparametric Estimation in Time Series Regression with Long Range Dependence written by M. Ørregaard Nielsen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation in Semiparametric Time Series Models by : Jiti Gao
Download or read book Estimation in Semiparametric Time Series Models written by Jiti Gao and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider a semiparametric time series regression model and establish a set of identification conditions such that the model under discussion is both identifiable and estimable. We then discuss how to estimate a sequence of local alternative functions nonparametrically when the null hypothesis does not hold. An asymptotic theory is established in each case. An empirical application is also included.
Book Synopsis Nonparametric Estimation in Null Recurrent Time Series by : Hans Arnfinn Karlsen
Download or read book Nonparametric Estimation in Null Recurrent Time Series written by Hans Arnfinn Karlsen and published by . This book was released on 1998 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Semiparametric Estimation in Time Series Regression with Long Range Dependence by :
Download or read book Semiparametric Estimation in Time Series Regression with Long Range Dependence written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Recent Development in Non- and Semiparametric Regression with Fractional Time Series Errors by : Jan Beran
Download or read book Recent Development in Non- and Semiparametric Regression with Fractional Time Series Errors written by Jan Beran and published by . This book was released on 2002 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Design-adaptive Pointwise Nonparametric Regression Estimation for Recurrent Markov Time Series by : Emmanuel Guerre
Download or read book Design-adaptive Pointwise Nonparametric Regression Estimation for Recurrent Markov Time Series written by Emmanuel Guerre and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Semiparametric Estimation in Time Series Regression with Long Range Depencence by : Morten Ørregaard Nielsen
Download or read book Semiparametric Estimation in Time Series Regression with Long Range Depencence written by Morten Ørregaard Nielsen and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Gaussian Semiparametric Estimation of Non-stationary Time Series by : Carlos Velasco
Download or read book Gaussian Semiparametric Estimation of Non-stationary Time Series written by Carlos Velasco and published by . This book was released on 1998 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Semiparametric Regression for the Applied Econometrician by : Adonis Yatchew
Download or read book Semiparametric Regression for the Applied Econometrician written by Adonis Yatchew and published by Cambridge University Press. This book was released on 2003-06-02 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: Adonis Yatchew provides simple and flexible (nonparametric) techniques for analyzing regression data. He includes a series of empirical examples with the estimation of Engel curves and equivalence scales, scale economies, household gasoline consumption, housing prices, option prices and state price density estimation. The book is of interest to a broad range of economists including those working in industrial organization, labor, development, and urban, energy and financial economics.
Book Synopsis Nonparametric and Semiparametric Regression with Missing Data by : Lu Wang
Download or read book Nonparametric and Semiparametric Regression with Missing Data written by Lu Wang and published by . This book was released on 2008 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, we consider nonparametric and semiparametric regression for both independent and longitudinal data with missing at random (MAR). The thesis consists of three chapters. In chapter 1, we focus on nonparametric regression of a scalar outcome on a covariate when the outcome is MAR. We show that the usual nonparametric kernel regression estimation based only on complete cases is generally inconsistent. We propose inverse probability weighted (IPW) kernel estimating equations (KEEs) and a class of augmented IPW (AIPW) KEEs. Both approaches do not require specification of a parametric model for the error distribution. We show that the IPW kernel estimator is consistent when the probability that a sampling unit is observed, i.e., the selection probability, is known by design or is estimated using a correctly specified model. We further show that the AIPW kernel estimator is double-robust in the sense that it is consistent if either the model for the selection probability or the model for the conditional mean of the outcome given covariates and auxiliary variables is correctly specified, not necessarily both. We argue that adequate augmentation terms in the AIPW KEEs help increase the efficiency of the estimator. We study the asymptotic properties of the proposed IPW and AIPW kernel estimators, perform simulations to evaluate their finite sample performance, and apply to the analysis of the AIDS Costs and Services Utilization Survey data.
