Author: Oliver B. Linton
Publisher:
ISBN:
Category :
Languages : en
Pages : 75
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Book Description
We study the efficient estimation of nonparametric regressions with conditional heteroskedasticity in a time series setting. We introduce a weighted local polynomial regression smoother that takes account of the dynamic heteroskedasticity. The effect of weighting on nonparametric regressions is examined, and cases when efficiency gain can be achieved via weighting is investigated. We show that in many popular nonparametric regression models our method has lower asymptotic variance than the usual unweighted procedures. A Monte Carlo investigation is conducted and confirms the efficiency gain over conventional nonparametric regression estimators in finite samples. We use our method in several common applications concerning stock returns.
Author: Oliver Linton
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Justin Chown
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Randall L. Eubank
Publisher: CRC Press
ISBN: 9780824793371
Category : Mathematics
Languages : en
Pages : 368
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Book Description
Provides a unified account of the most popular approaches to nonparametric regression smoothing. This edition contains discussions of boundary corrections for trigonometric series estimators; detailed asymptotics for polynomial regression; testing goodness-of-fit; estimation in partially linear models; practical aspects, problems and methods for confidence intervals and bands; local polynomial regression; and form and asymptotic properties of linear smoothing splines.
Author: Saraswata Chaudhuri
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: William James Hooper
Publisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 106
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Book Description
Author: Jeffrey Scott Forrester
Publisher:
ISBN:
Category : Heteroscedasticity
Languages : en
Pages : 158
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Author: A C. Harvey
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 29
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Author: B. B. van der Genugten
Publisher:
ISBN:
Category :
Languages : nl
Pages : 52
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Author: Clint Allen Cummins
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 252
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