Three Essays on Nonparametric and Semiparametric Regression Models PDF Download
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Author: Feng Yao
Publisher:
ISBN:
Category :
Languages : en
Pages : 111
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Author: Feng Yao
Publisher:
ISBN:
Category :
Languages : en
Pages : 111
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Author: Carl David August Green
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 150
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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...
Author: Michael S. Delgado
Publisher:
ISBN: 9781267546210
Category : Econometric models
Languages : en
Pages : 216
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Author: Feng Yao
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 222
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Author: Hyungtaik Ahn
Publisher:
ISBN:
Category :
Languages : en
Pages : 402
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Author: Myung Jae Sung
Publisher:
ISBN:
Category :
Languages : en
Pages : 348
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Author:
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Category :
Languages : en
Pages :
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This thesis contains three essays in non- and semiparametric econometrics, dealing with semiparametric estimation of binary response models with endogenous regressors, nonparametric estimation of distributional policy effects, and identification of unconditional partial effects in nonseparable models, respectively.
Author: Mustafa Koroglu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This dissertation consists of three essays that deals with estimation of semiparametric regression methods in macroeconomic context. Chapter 1 introduces the building-blocks of the non-/semiparametric regression methods. A literature review is provided to support the estimation methodologies employed in the subsequent chapters. I survey some nonparametric estimation techniques, including (i) the local least squares kernel estimator; (ii) nonparametric series estimator; (iii) estimation of nonparametric models with endogeneity; and (iv) nonparametric estimation of panel data models. I also survey different bootstrapping methods for nonparametric regression methods. In Chapter 2 we consider a spatial Durbin model with unknown functional-coefficients and nonparametric spatial weights. We apply series approximation method to estimate the unknown functional coefficients and spatial weighting functions via a nonparametric two-stage least squares (or 2SLS) estimation method. We illustrate proposed estimation method to re-examine national economic growth by augmenting the conventional Solow economic growth convergence model with unknown spatial interactive structures of the national economy, as well as country-specific Solow parameters, where the spatial weighting functions and Solow parameters are allowed to be a function of geographical distance and the countries' openness to trade, respectively. In Chapter 3 I re-investigate the relationship between public debt and economic growth and try to expose nonlinearity in this link through using an endogenous smooth coefficient approach. I find some evidence of parameter heterogeneity in the debt-growth link that may be governed by the institutional quality of countries. My results show a significant negative effect of public debt on economic growth for the countries with the lowest democracy score and high democracy score.
Author: Wolfgang Karl Härdle
Publisher: Springer Science & Business Media
ISBN: 364217146X
Category : Mathematics
Languages : en
Pages : 317
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Book Description
The statistical and mathematical principles of smoothing with a focus on applicable techniques are presented in this book. It naturally splits into two parts: The first part is intended for undergraduate students majoring in mathematics, statistics, econometrics or biometrics whereas the second part is intended to be used by master and PhD students or researchers. The material is easy to accomplish since the e-book character of the text gives a maximum of flexibility in learning (and teaching) intensity.
