2,772 research outputs found
Heteroscedastic semiparametric transformation models: estimation and testing for validity
In this paper we consider a heteroscedastic transformation model, where the
transformation belongs to a parametric family of monotone transformations, the
regression and variance function are modelled nonparametrically and the error
is independent of the multidimensional covariates. In this model, we first
consider the estimation of the unknown components of the model, namely the
transformation parameter, regression and variance function and the distribution
of the error. We show the asymptotic normality of the proposed estimators.
Second, we propose tests for the validity of the model, and establish the
limiting distribution of the test statistics under the null hypothesis. A
bootstrap procedure is proposed to approximate the critical values of the
tests. Finally, we carry out a simulation study to verify the small sample
behavior of the proposed estimators and tests.Comment: 33 pages, 1 figur
Quantile Regression in the Presence of Sample Selection
Most sample selection models assume that the errors are independent of the regressors. Under this assumption, all quantile and mean functions are parallel, which implies that quantile estimators cannot reveal any (per definition non-existing) heterogeneity. However, quantile estimators are useful for testing the independence assumption, because they are consistent under the null hypothesis. We propose tests for this crucial restriction that are based on the entire conditional quantile regression process after correcting for sample selection bias. Monte Carlo simulations demonstrate that they are powerful and two empirical illustrations indicate that violations of this assumption are likely to be ubiquitous in labor economics.Sample selection, quantile regression, independence, test
Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, implemented by an asymmetric version of the Pearson type VII distribution for random innovations. By providing a method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a factor-based VaR approach. The approximation quality of the non-stationary model is supported by simulation studies. --heteroscedastic asset returns,non-stationarity,nonparametric regression,volatility,innovation modelling,asymmetric heavy-tails,distributional forecast,Value at Risk (VaR)
Asymptotic inference in some heteroscedastic regression models with long memory design and errors
This paper discusses asymptotic distributions of various estimators of the
underlying parameters in some regression models with long memory (LM) Gaussian
design and nonparametric heteroscedastic LM moving average errors. In the
simple linear regression model, the first-order asymptotic distribution of the
least square estimator of the slope parameter is observed to be degenerate.
However, in the second order, this estimator is -consistent and
asymptotically normal for ; nonnormal otherwise, where and are
LM parameters of design and error processes, respectively. The
finite-dimensional asymptotic distributions of a class of kernel type
estimators of the conditional variance function in a more general
heteroscedastic regression model are found to be normal whenever ,
and non-normal otherwise. In addition, in this general model,
-consistency of the local Whittle estimator of based on pseudo
residuals and consistency of a cross validation type estimator of
are established. All of these findings are then used to propose a lack-of-fit
test of a parametric regression model, with an application to some currency
exchange rate data which exhibit LM.Comment: Published in at http://dx.doi.org/10.1214/009053607000000686 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Endogenous semiparametric binary choice models with heteroscedasticity
In this paper we consider endogenous regressors in the binary choice model under a weak median exclusion restriction, but without further specification of the distribution of the unobserved random components. Our reduced form specification with heteroscedastic residuals covers various heterogeneous structural binary choice models. As a particularly relevant example of a structural model where no semiparametric estimator has of yet been analyzed, we consider the binary random utility model with endogenous regressors and heterogeneous parameters. We employ a control function IV assumption to establish identification of a slope parameter 'ĆĀ¢' by the mean ratio of derivatives of two functions of the instruments. We propose an estimator based on direct sample counterparts, and discuss the large sample behavior of this estimator. In particular, we show 'ā'n consistency and derive the asymptotic distribution. In the same framework, we propose tests for heteroscedasticity, overidentification and endogeneity. We analyze the small sample performance through a simulation study. An application of the model to discrete choice demand data concludes this paper.
A Bootstrap Test for the Comparison of Nonlinear Time Series - with Application to Interest Rate Modelling
We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test statistic for two hypotheses: Equality of regression functions and shifted regression functions. Neither markovian behavior nor Brownian motion error of the processes are assumed. A detailed simulation study finds the size of the new test near the nominal level and a good power for a variety of parametric models. The two-sample result serves to test for mean reversion of the diffusion drift in several examples. The interest rates Euribor, Libor as well as T-Bond yields do not show that stylized feature often modelled for interest rates. --
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