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Three Essays On Nonparametric Regression
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Book Synopsis Three Essays on Nonparametric and Semiparametric Methods and Their Applications by : Carl David August Green
Download or read book Three Essays on Nonparametric and Semiparametric Methods and Their Applications written by Carl David August Green and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays on nonparametric and semiparametric regression methods. In the first essay, we consider the problem of nonparametric regression with mixed discrete and continuous covariates using the k-nearest neighbor (k-nn) method. We derive the asymptotic normality of the proposed estimator and use Monte Carlo simulations to demonstrate its finite sample performance. We apply the method to estimate corn yields in Iowa as a function of agricultural district, temperature, and precipitation. In the second essay, we consider the problem of testing error serial correlation in fixed effects panel data models in a nonparametric framework. We show that our test statistic has a standard normal distribution under the null hypothesis of zero serial correlation. The test statistic diverges to infinity at the rate of √N under the alternative hypothesis that errors are serially correlated, where N is the cross-sectional sample size. We propose a bootstrap version of the test which we show to perform well in finite sample applications. In the third essay, we consider estimation of varying-coefficient single-index models with an endogenous regressor. We propose a multi-step instrumental variables procedure to estimate the coefficient function and the corresponding index parameters. We prove the consistency of the estimators, and we present Monte Carlo simulations demonstrating their finite sample performance. We then apply the proposed method to examine the determinants of aggregate illiquidity in the U.S. stock market. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/155089
Book Synopsis Three Essays on Nonparametric and Semiparametric Regression Models by : Feng Yao
Download or read book Three Essays on Nonparametric and Semiparametric Regression Models written by Feng Yao and published by . This book was released on 2004 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonparametric Regression by : Myung Jae Sung
Download or read book Three Essays on Nonparametric Regression written by Myung Jae Sung and published by . This book was released on 1992 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonparametric and Semiparametri Regression Models by : Feng Yao
Download or read book Three Essays on Nonparametric and Semiparametri Regression Models written by Feng Yao and published by . This book was released on 2004 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Applied Nonparametric and Semiparametric Regression Estimation by : Michael S. Delgado
Download or read book Three Essays in Applied Nonparametric and Semiparametric Regression Estimation written by Michael S. Delgado and published by . This book was released on 2012 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Two-stage Estimation in Semiparametric and Nonparametric Econometrics by : Hyungtaik Ahn
Download or read book Three Essays on Two-stage Estimation in Semiparametric and Nonparametric Econometrics written by Hyungtaik Ahn and published by . This book was released on 1991 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Application of Semiparametric Regression: Partially Linear Mixed Effects Model and Index Model by :
Download or read book Three Essays on Application of Semiparametric Regression: Partially Linear Mixed Effects Model and Index Model written by and published by . This book was released on 2012 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation consists of three essays. The main focus is set on semiparametric regression modeling, which embodies the strength of parametric and nonparametric regression models in terms of flexibility, dimensionality and interpretability. The first essay is "Some Recent Advances in Modeling with Mixed Effects for Small Areas, Multi-level and Panel Models...
Book Synopsis Three Essays on Nonparametric Identification by : Philip J. Cross
Download or read book Three Essays on Nonparametric Identification written by Philip J. Cross and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonparametric Inference for Longitudinal Data and Time Series Data by : Seonjin Kim
Download or read book Three Essays on Nonparametric Inference for Longitudinal Data and Time Series Data written by Seonjin Kim and published by . This book was released on 2013 with total page 103 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Estimation and Testing of Nonparametric Models by : Guangyi Ma
Download or read book Three Essays on Estimation and Testing of Nonparametric Models written by Guangyi Ma and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I focus on the development and application of nonparametric methods in econometrics. First, a constrained nonparametric regression method is developed to estimate a function and its derivatives subject to shape restrictions implied by economic theory. The constrained estimators can be viewed as a set of empirical likelihood-based reweighted local polynomial estimators. They are shown to be weakly consistent and have the same first order asymptotic distribution as the unconstrained estimators. When the shape restrictions are correctly specified, the constrained estimators can achieve a large degree of finite sample bias reduction and thus outperform the unconstrained estimators. The constrained nonparametric regression method is applied on the estimation of daily option pricing function and state-price density function. Second, a modified Cumulative Sum of Squares (CUSQ) test is proposed to test structural changes in the unconditional volatility in a time-varying coefficient model. The proposed test is based on nonparametric residuals from local linear estimation of the time-varying coefficients. Asymptotic theory is provided to show that the new CUSQ test has standard null distribution and diverges at standard rate under the alternatives. Compared with a test based on least squares residuals, the new test enjoys correct size and good power properties. This is because, by estimating the model nonparametrically, one can circumvent the size distortion from potential structural changes in the mean. Empirical results from both simulation experiments and real data applications are presented to demonstrate the test's size and power properties. Third, an empirical study of testing the Purchasing Power Parity (PPP) hypothesis is conducted in a functional-coefficient cointegration model, which is consistent with equilibrium models of exchange rate determination with the presence of trans- actions costs in international trade. Supporting evidence of PPP is found in the recent float exchange rate era. The cointegration relation of nominal exchange rate and price levels varies conditioning on the real exchange rate volatility. The cointegration coefficients are more stable and numerically near the value implied by PPP theory when the real exchange rate volatility is relatively lower.
Book Synopsis Three essays on real estate finance by : Xiaolong Liu
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Non-linear Time Series by : Chor-Yiu Sin
Download or read book Three Essays on Non-linear Time Series written by Chor-Yiu Sin and published by . This book was released on 1993 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonlinear Regression Models in Econometrics and Actuarial Science by : Linda Elin Walter
Download or read book Three Essays on Nonlinear Regression Models in Econometrics and Actuarial Science written by Linda Elin Walter and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Introduction to Nonparametric Regression by : K. Takezawa
Download or read book Introduction to Nonparametric Regression written by K. Takezawa and published by John Wiley & Sons. This book was released on 2005-12-02 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: An easy-to-grasp introduction to nonparametric regression This book's straightforward, step-by-step approach provides an excellent introduction to the field for novices of nonparametric regression. Introduction to Nonparametric Regression clearly explains the basic concepts underlying nonparametric regression and features: * Thorough explanations of various techniques, which avoid complex mathematics and excessive abstract theory to help readers intuitively grasp the value of nonparametric regression methods * Statistical techniques accompanied by clear numerical examples that further assist readers in developing and implementing their own solutions * Mathematical equations that are accompanied by a clear explanation of how the equation was derived The first chapter leads with a compelling argument for studying nonparametric regression and sets the stage for more advanced discussions. In addition to covering standard topics, such as kernel and spline methods, the book provides in-depth coverage of the smoothing of histograms, a topic generally not covered in comparable texts. With a learning-by-doing approach, each topical chapter includes thorough S-Plus? examples that allow readers to duplicate the same results described in the chapter. A separate appendix is devoted to the conversion of S-Plus objects to R objects. In addition, each chapter ends with a set of problems that test readers' grasp of key concepts and techniques and also prepares them for more advanced topics. This book is recommended as a textbook for undergraduate and graduate courses in nonparametric regression. Only a basic knowledge of linear algebra and statistics is required. In addition, this is an excellent resource for researchers and engineers in such fields as pattern recognition, speech understanding, and data mining. Practitioners who rely on nonparametric regression for analyzing data in the physical, biological, and social sciences, as well as in finance and economics, will find this an unparalleled resource.
Book Synopsis Advanced Regression Methods in Finance and Economics by : Paul Hofmarcher
Download or read book Advanced Regression Methods in Finance and Economics written by Paul Hofmarcher and published by . This book was released on 2012 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Econometrics by : Tao Chen
Download or read book Three Essays in Econometrics written by Tao Chen and published by . This book was released on 2011 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Nonlinear Time Series by : Jin-Lung Lin
Download or read book Three Essays on Nonlinear Time Series written by Jin-Lung Lin and published by . This book was released on 1991 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
