Download or read book A Simple Framework for Nonparametric Specification Testing written by Glenn Ellison and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple framework for testing the specification of parametric conditional means. The test statistics are based on quadratic forms in the residuals of the null model. Under general assumptions the test statistics are asymptotically normal under the null. With an appropriate choice of the weight matrix, the tests are shown to be consistent and to have good local power. Specific implementations involving matrices of bin and kernel weights are discussed. Finite sample properties are explored in simulations and an application to some parametric models of gasoline demand is presented.
Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2023-07-18 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...
Download or read book Handbook of Econometrics written by James J. Heckman and published by Elsevier. This book was released on 2009-01-13 with total page 1057 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Micro Econometrics written by Myoung-jae Lee and published by Springer Science & Business Media. This book was released on 2009-09-28 with total page 789 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-date coverage of most micro-econometric topics; first half parametric, second half semi- (non-) parametric Many empirical examples and tips in applying econometric theories to data Essential ideas and steps shown for most estimators and tests; well-suited for both applied and theoretical readers
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 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an accessible collection of techniques for analyzing nonparametric and semiparametric regression models. Worked examples include estimation of Engel curves and equivalence scales, scale economies, semiparametric Cobb-Douglas, translog and CES cost functions, household gasoline consumption, hedonic housing prices, option prices and state price density estimation. The book should be of interest to a broad range of economists including those working in industrial organization, labor, development, urban, energy and financial economics. A variety of testing procedures are covered including simple goodness of fit tests and residual regression tests. These procedures can be used to test hypotheses such as parametric and semiparametric specifications, significance, monotonicity and additive separability. Other topics include endogeneity of parametric and nonparametric effects, as well as heteroskedasticity and autocorrelation in the residuals. Bootstrap procedures are provided.
Download or read book Statistical Theory and Method Abstracts written by and published by . This book was released on 2001 with total page 750 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Econometrics written by and published by . This book was released on 2001 with total page 860 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Introduction to the Advanced Theory of Nonparametric Econometrics written by Jeffrey S. Racine and published by Cambridge University Press. This book was released on 2019-06-27 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides theory, open source R implementations, and the latest tools for reproducible nonparametric econometric research.
Download or read book Nonparametric Econometrics written by Qi Li and published by Princeton University Press. This book was released on 2011-10-09 with total page 769 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive, up-to-date textbook on nonparametric methods for students and researchers Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data—nominal and ordinal—in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types—continuous, nominal, and ordinal—within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.
Download or read book Working Paper Series written by and published by . This book was released on 1995 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Encompassing Tests when No Model is Encompassing written by Kenneth David West and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers regression-based tests for encompassing, when none of the models under consideration encompasses all the other models. For both in- and out-of-sample applications, I derive asymptotic distributions and propose feasible procedures to construct confidence intervals and test statistics. Procedures that are asymptotically valid under the null of encompassing (e.g., Davidson and MacKinnon (1981)) can have large asymptotic and finite sample distortions. Simulations indicate that the proposed procedures can work well in samples of size typically available, though the divergence between actual and nominal confidence interval coverage sometimes is large.
Download or read book Applied Nonparametric Econometrics written by Daniel J. Henderson and published by Cambridge University Press. This book was released on 2015-01-12 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The majority of empirical research in economics ignores the potential benefits of nonparametric methods, while the majority of advances in nonparametric theory ignore the problems faced in applied econometrics. This book helps bridge this gap between applied economists and theoretical nonparametric econometricians. It discusses in depth, and in terms that someone with only one year of graduate econometrics can understand, basic to advanced nonparametric methods. The analysis starts with density estimation and motivates the procedures through methods that should be familiar to the reader. It then moves on to kernel regression, estimation with discrete data, and advanced methods such as estimation with panel data and instrumental variables models. The book pays close attention to the issues that arise with programming, computing speed, and application. In each chapter, the methods discussed are applied to actual data, paying attention to presentation of results and potential pitfalls.
Download or read book Computer Aided Econometrics written by David E. A. Giles and published by CRC Press. This book was released on 2003-06-18 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emphasizing the impact of computer software and computational technology on econometric theory and development, this text presents recent advances in the application of computerized tools to econometric techniques and practices—focusing on current innovations in Monte Carlo simulation, computer-aided testing, model selection, and Bayesian methodology for improved econometric analyses.
Download or read book Simulated Liklihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets written by Michael W. Brandt and published by . This book was released on 2001 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Parametric and Nonparametric Volatility Measurement written by Torben Gustav Andersen and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval, (ii) the ex-ante expected volatility over a fixed time interval, and (iii) the instantaneous volatility corresponding to the strength of the volatility process at a point in time. The parametric procedures rely on explicit functional form assumptions regarding the expected and/or instantaneous volatility. In the discrete-time ARCH class of models, the expectations are formulated in terms of directly observable variables, while the discrete- and continuous-time stochastic volatility models involve latent state variable(s). The nonparametric procedures are generally free from such functional form assumptions and hence afford estimates of notional volatility that are flexible yet consistent (as the sampling frequency of the underlying returns increases). The nonparametric procedures include ARCH filters and smoothers designed to measure the volatility over infinitesimally short horizons, as well as the recently-popularized realized volatility measures for (non-trivial) fixed-length time intervals.
Download or read book Robust Covariance Matrix Estimation with Data dependent VAR Prewhitening Order written by Wouter J. Den Haan and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter. We highlight the pitfalls of using an arbitrarily fixed lag order for the VAR filter, and we demonstrate the benefits of using a model selection criterion (either AIC or BIC) to determine its lag structure. Furthermore, once data-dependent VAR prewhitening has been utilized, we find negligible or even counter-productive effects of applying standard kernel-based methods to the prewhitened residuals; that is, the performance of the prewhitened kernel estimator is virtually indistinguishable from that of the VARHAC estimator.
