ERN: Nonparametric Methods (Topic)最新文献_第3页

Kernel Estimation for Panel Data with Heterogeneous Dynamics 非均匀动态面板数据的核估计

ERN: Nonparametric Methods (Topic) Pub Date : 2018-02-24 DOI: 10.2139/ssrn.3128885

R. Okui, Takahide Yanagi

引用次数: 13

Nonparametric Demand Estimation in Differentiated Products Markets 差异化产品市场中的非参数需求估计

ERN: Nonparametric Methods (Topic) Pub Date : 2018-01-13 DOI: 10.2139/ssrn.3134152

Giovanni Compiani

引用次数: 12

Estimating Inequality of Opportunities in Punjab (Pakistan): A Non Parametric Approach 估计旁遮普省(巴基斯坦)的机会不平等:一个非参数方法

ERN: Nonparametric Methods (Topic) Pub Date : 2018-01-01 DOI: 10.2139/ssrn.3213926

Zahid Pervaiz, Shahla Akram

{"title":"Estimating Inequality of Opportunities in Punjab (Pakistan): A Non Parametric Approach","authors":"Zahid Pervaiz, Shahla Akram","doi":"10.2139/ssrn.3213926","DOIUrl":"https://doi.org/10.2139/ssrn.3213926","url":null,"abstract":"This paper attempts to estimate inequality of opportunities in Punjab, Pakistan by using non-parametric approach. Household level data of Multiple Indicator Cluster Survey 2014 has been analyzed for this purpose. Household head’s income has been taken as an outcome. Three parental characteristics of household head have been used as circumstances. These characteristics include region of residence (rural/urban), wealth status and education level of household head’s father. Equalization of circumstances has been done by dividing our sample into different groups on the basis of above mentioned circumstances. Then within-group and among-groups inequality of income has been calculated. Within-group inequality has been attributed to the differences in the efforts of household heads. Among-group inequality has been attributed to the difference of circumstances and has been termed as inequality of opportunities. Our results indicate that up to 28% variation in income is due to the differences of circumstances. Among different circumstances, father’s education has the most significant contribution in explaining the variation of income of household heads. The study highlights the significance and need of compensatory government policies to cope with the problem of inequality of opportunities in Punjab (Pakistan). Provision of equal access to educational opportunities for all segments of the society is recommended as an important public policy measure to mitigate inequality of opportunities.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"240 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76914385","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

A Nonparametric Local Volatility Model for Swaptions Smile 交换Smile的非参数局部波动率模型

ERN: Nonparametric Methods (Topic) Pub Date : 2017-08-11 DOI: 10.21314/JCF.2018.343

D. Gatarek, J. Jabłecki

引用次数: 4

A Note on the Use of the Bootstrap for Cost Effectiveness Analysis. 关于在成本效益分析中使用自举法的说明。

ERN: Nonparametric Methods (Topic) Pub Date : 2017-01-24 DOI: 10.2139/ssrn.2994865

Eduardo Fé, S. Peters

引用次数: 0

Two-Way Exclusion Restrictions in Models with Heterogeneous Treatment Effects 异质性治疗效果模型的双向排除限制

ERN: Nonparametric Methods (Topic) Pub Date : 2016-04-05 DOI: 10.2139/ssrn.2761986

Shenglong Liu, Ismael Mourifié, Yuanyuan Wan

引用次数: 3

Nonparametric Identification of Dynamic Games with Multiple Equilibria and Unobserved Heterogeneity 具有多均衡和未观察异质性的动态博弈的非参数辨识

ERN: Nonparametric Methods (Topic) Pub Date : 2016-03-07 DOI: 10.2139/ssrn.2757272

Ruli Xiao

引用次数: 1

Empirical Methods for Dynamic Power Law Distributions in the Social Sciences 社会科学中动态幂律分布的经验方法

ERN: Nonparametric Methods (Topic) Pub Date : 2016-01-30 DOI: 10.2139/ssrn.2735847

Ricardo T. Fernholz

{"title":"Empirical Methods for Dynamic Power Law Distributions in the Social Sciences","authors":"Ricardo T. Fernholz","doi":"10.2139/ssrn.2735847","DOIUrl":"https://doi.org/10.2139/ssrn.2735847","url":null,"abstract":"This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions. First, we show that any stationary distribution in a random growth setting is shaped entirely by two factors - the idiosyncratic volatilities and reversion rates (a measure of cross-sectional mean reversion) for different ranks in the distribution. This result is valid regardless of how growth rates and volatilities vary across different economic agents, and hence applies to Gibrat's law and its extensions. Second, we present techniques to estimate these two factors using panel data. Third, we show how our results offer a structural explanation for a generalized size effect in which higher-ranked processes grow more slowly than lower-ranked processes on average. Finally, we employ our empirical methods using panel data on commodity prices and show that our techniques accurately describe the empirical distribution of relative commodity prices. We also show the existence of a generalized \"size\" effect for commodities, as predicted by our econometric theory.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2016-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80736672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Set Identification and Estimation of Factor and Topic Models 集识别和估计因素和主题模型

ERN: Nonparametric Methods (Topic) Pub Date : 2015-11-02 DOI: 10.2139/ssrn.2685218

C. Adams

{"title":"Set Identification and Estimation of Factor and Topic Models","authors":"C. Adams","doi":"10.2139/ssrn.2685218","DOIUrl":"https://doi.org/10.2139/ssrn.2685218","url":null,"abstract":"The paper presents sharp bounds on the identified set for classical factor models and non-parametric topic models based on results from the non-negative factorization literature. It compares the standard assumption (for factor models) of orthonormality of the factors (principal components analysis) to the \"natural\" assumption of topic models of additivity and non-negativity. For the former, the model is point identified when the number of factors is \"small\" but further restrictions such as those presented in Bai and Ng (2013) are needed to identify larger models. Under the latter, the paper characterizes the identified set and shows the necessary condition for point identification presented in Huang et al (2013) is also sufficient. In the two factor case this condition states that for each latent factor there must be some asset whose return gives it zero weight and there must be some time periods where each factor's normalized return is zero. These \"sparsity\" conditions are characteristics of the observed data, not assumptions on the data generating process. The paper presents a \"least squares\" estimator where the number of parameters to be estimated is not increasing in the size of the data set. The paper shows that this estimator is consistent both when the number time periods increases in the factor model and when the number of documents increases in the topic model. Unlike the similar estimator presented in the classical factor model literature (Stock and Watson (2002), Bai (2003)) this estimator does not rely on orthonormality.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"74 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85713379","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Quantitative Modelling of the EUR/CHF Exchange Rate during the Target Zone Regime of September 2011 to January 2015 2011年9月至2015年1月目标区制度期间欧元/瑞士法郎汇率的定量模型

ERN: Nonparametric Methods (Topic) Pub Date : 2015-10-14 DOI: 10.2139/ssrn.2634425

S. Lera, D. Sornette

{"title":"Quantitative Modelling of the EUR/CHF Exchange Rate during the Target Zone Regime of September 2011 to January 2015","authors":"S. Lera, D. Sornette","doi":"10.2139/ssrn.2634425","DOIUrl":"https://doi.org/10.2139/ssrn.2634425","url":null,"abstract":"Krugman (1991)'s target zone model for exchange rate dynamics has become the reference of a large part of this literature. Despite its simplicity and elegance, empirical evidence has been lacking, not least because it is difficult to capture the predicted non-linear relationship between the observable exchange rate and the non-observable fundamental value. This is why we propose a different approach. By inverting locally the relation between exchange rate and fundamental value, we derive analytical expressions for the conditional volatility and the probability density as a function of the exchange rate. This allows us to examine Krugman's prediction directly from historical data, and, furthermore, enables us to test the smooth pasting condition, which is intimately related to the no-arbitrage condition. Concretely, we study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 to January 15, 2015, when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. We show that the data are well explained by the theory and conclude that Krugman's target zone model holds after all, but apparently only under extreme and sustained pressure that pushes continuously the exchange rate very close to the boundary of the target zone.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76135159","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 18