ERN: Nonparametric Methods (Topic)最新文献_第7页

Evaluating Long-Horizon Event Study Methodology 评价长视界事件研究方法

ERN: Nonparametric Methods (Topic) Pub Date : 2011-06-15 DOI: 10.2139/ssrn.1865625

James S. Ang, Shaojun Zhang

{"title":"Evaluating Long-Horizon Event Study Methodology","authors":"James S. Ang, Shaojun Zhang","doi":"10.2139/ssrn.1865625","DOIUrl":"https://doi.org/10.2139/ssrn.1865625","url":null,"abstract":"We describe the fundamental issues that long-horizon event studies face in choosing the proper research methodology, and summarize findings from existing simulation studies about the performance of commonly used methods. We document in detail how to implement a simulation study and report findings from our own study that focuses on large-size samples. The findings have important implications for future research. In our simulation study, we examine the performance of more than twenty different testing procedures, which can be broadly classified into two categories: The buy-and-hold benchmark approach and the calendar-time portfolio approach. The first approach uses a benchmark to measure the abnormal buy-and-hold return for every event firm, and tests the null hypothesis that the average abnormal return is zero. We investigate the performance of five ways of choosing the benchmark and four test statistics including the standard t-test, the Johnson’s skewness-adjusted t-test, the bootstrapped Johnson’s skewness-adjusted t-test, and the Fisher’s sign test. The second approach forms a portfolio in each calendar month consisting of firms that have had an event within a certain time period prior to the month, and tests the null hypothesis that the intercept is zero in the regression of monthly calendar-time portfolio returns against the factors in an asset-pricing model. We implement this approach with both the Fama-French three-factor model and the four-factor model with an additional momentum factor, and with both the ordinary least-squares and weighted least-squares estimation methods. We find that the combination of the sign test and the benchmark with a single most correlated firm provides the best overall performance for various sample sizes and long horizons. Furthermore, the Fama-French three-factor model is a better asset pricing model for monthly returns of calendar-time portfolios than the four-factor model, as the latter leads to serious overrejection of the null hypothesis.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81880085","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: 19

Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review 半非参数动态模型的惩罚筛估计与推理:选择性综述

ERN: Nonparametric Methods (Topic) Pub Date : 2011-05-23 DOI: 10.2139/ssrn.1850615

Xiaohong Chen

{"title":"Penalized Sieve Estimation and Inference of Semi-Nonparametric Dynamic Models: A Selective Review","authors":"Xiaohong Chen","doi":"10.2139/ssrn.1850615","DOIUrl":"https://doi.org/10.2139/ssrn.1850615","url":null,"abstract":"In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then present penalized sieve extremum (PSE) estimation as a general method for semi-nonparametric models with cross-sectional, panel, time series, or spatial data. The method is especially powerful in estimating difficult ill-posed inverse problems such as semi-nonparametric mixtures or conditional moment restrictions. We review recent advances on inference and large sample properties of the PSE estimators, which include (1) consistency and convergence rates of the PSE estimator of the nonparametric part; (2) limiting distributions of plug-in PSE estimators of functionals that are either smooth (i.e., root-n estimable) or non-smooth (i.e., slower than root-n estimable); (3) simple criterion-based inference for plug-in PSE estimation of smooth or non-smooth functionals; and (4) root-n asymptotic normality of semiparametric two-step estimators and their consistent variance estimators. Examples from dynamic asset pricing, nonlinear spatial VAR, semiparametric GARCH, and copula-based multivariate financial models are used to illustrate the general results.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84455278","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: 29

Nonparametric Interest Rate Cap Pricing: Implications for the 'Unspanned Stochastic Volatility' 非参数利率上限定价:对“无跨越随机波动”的启示

ERN: Nonparametric Methods (Topic) Pub Date : 2011-01-23 DOI: 10.2139/ssrn.1746450

Tao Wu

引用次数: 1

A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables 具有内生变量的非参数回归控制函数新方法

ERN: Nonparametric Methods (Topic) Pub Date : 2011-01-01 DOI: 10.3386/W16679

K. Kim, Amil Petrin

{"title":"A New Control Function Approach for Non-Parametric Regressions with Endogenous Variables","authors":"K. Kim, Amil Petrin","doi":"10.3386/W16679","DOIUrl":"https://doi.org/10.3386/W16679","url":null,"abstract":"When the endogenous variable enters the structural equation non-parametrically the linear Instrumental Variable (IV) estimator is no longer consistent. Non-parametric IV (NPIV) can be used but it requires one to impose restrictions during estimation to make the problem well-posed. The non-parametric control function estimator of Newey, Powell, and Vella (1999) (NPV-CF) is an alternative approach that uses the residuals from the conditional mean decomposition of the endogenous variable as controls in the structural equation. While computationally simple identification relies upon independence between the instruments and the expected value of the structural error conditional on the controls, which is hard to motivate in many economic settings including estimation of returns to education, production functions, and demand or supply elasticities. We develop an estimator for non-linear and non-parametric regressions that maintains the simplicity of the NPV-CF estimator but allows the conditional expectation of the structural error to depend on both the control variables and the instruments. Our approach combines the conditional moment restrictions (CMRs) from NPIV with the controls from NPV-CF setting. We show that the CMRs place shape restrictions on the conditional expectation of the error given instruments and controls that are sufficient for identification. When sieves are used to approximate both the structural function and the control function our estimator reduces to a series of Least Squares regressions. Our monte carlos are based on the economic settings suggested above and illustrate that our new estimator performs well when the NPV-CF estimator is biased. Our empirical example replicates NPV-CF and we reject the maintained assumption of the independence of the instruments and the expected value of the structural error conditional on the controls in their setting.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86822274","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: 7

Modeling Processor Market Power and the Incidence of Agricultural Policy: A Non-Parametric Approach 加工者市场力量与农业政策发生率建模:一个非参数方法

ERN: Nonparametric Methods (Topic) Pub Date : 2011-01-01 DOI: 10.7208/9780226988061-005

R. Goodhue, C. Russo

{"title":"Modeling Processor Market Power and the Incidence of Agricultural Policy: A Non-Parametric Approach","authors":"R. Goodhue, C. Russo","doi":"10.7208/9780226988061-005","DOIUrl":"https://doi.org/10.7208/9780226988061-005","url":null,"abstract":"This paper examines interactions between market power and agricultural policy in the U.S. wheat flour milling industry using a non-parametric approach. The analysis focuses on marketing loan and pre-1986 deficiency payment programs; farmers' payments from these programs are dependent on whether or not the market price exceeds a \"policy\" price. It assesses if the payments trigger a change in the underlying economic behavior of the milling industry, and any resulting change in the flour-wheat price margin. The analysis compares the outcomes of using constrained and unconstrained sliced inverse regressions in order to identify the significant factors affecting millers' pricing behavior. In both cases, the link functions are then estimated using a non-parametric regression of prices on these factors. Constraining the factors in the sliced inverse regression in order to generate coefficients that are easily interpreted using economic theory does not affect the results. Based on the SIR factors, millers were able to extract an additional $0.24/cwt. of flour by increasing their marketing margins in years farmers received program payments. Based on the CIR factors, the increase in the marketing margin was $0.23/cwt. In both cases the increase was approximately 10 percent of the estimated marketing margin in years farmers received program payments.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2011-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90146983","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: 3

A Non-Parametric Test of Market Timing for Hedge Funds: Beyond Alpha and Beta 对冲基金市场时机的非参数检验:超越α和β

ERN: Nonparametric Methods (Topic) Pub Date : 2010-09-30 DOI: 10.2139/ssrn.1687018

Guillaume Monarcha

引用次数: 3

Nonparametric Estimation of the Volatility Under Microstructure Noise: Wavelet Adaptation 微观结构噪声下波动率的非参数估计:小波自适应

ERN: Nonparametric Methods (Topic) Pub Date : 2010-07-27 DOI: 10.2139/ssrn.1661906

M. Hoffmann, A. Munk, J. Schmidt-Hieber

引用次数: 11

Estimation of Residual Equity in Hierarchical Branding Structures: A Nonparametric Approach on Aggregate Beer Category Data 层次品牌结构中剩余权益的估计:啤酒品类汇总数据的非参数方法

ERN: Nonparametric Methods (Topic) Pub Date : 2010-07-01 DOI: 10.2139/ssrn.1633230

Sudhir Voleti, Paul Nelson, Pulak Ghosh

{"title":"Estimation of Residual Equity in Hierarchical Branding Structures: A Nonparametric Approach on Aggregate Beer Category Data","authors":"Sudhir Voleti, Paul Nelson, Pulak Ghosh","doi":"10.2139/ssrn.1633230","DOIUrl":"https://doi.org/10.2139/ssrn.1633230","url":null,"abstract":"Product offerings in many consumer packaged goods (CPG) categories come in a variety of complex branding structures built around some discernable branding hierarchy. We develop a nonparametric statistical method in the context of a market response model to estimate the residual equity of each hierarchical level in a typical CPG branding structure, consistent with certain economic restrictions on the equity values. Our proposed model uses readily accessible aggregate sales and product data and exploits structure inherent in the set of brand and product relations to estimate its effects on market response. We propose that established brands in mature categories must be value-enhancing and that this translates into bounds on the domain of possible brand equity values. Our model, based on a set of independent Dirichlet process priors, avoids the drawbacks inherent in alternative approaches such as fixed effects, parametric random effects and finite mixtures of continuous densities. We examine the value contribution at different levels of the branding structure and derive insights therein. We demonstrate a brand valuation procedure using a dollar metric transformation of the residual equity estimates obtained. Finally, we validate our brand valuation results with those from independent, external sources. We test our model using AC Nielsen data on aggregate beer sales in US grocery stores. We find substantial heterogeneity in residual equity at different hierarchical levels in the branding structure, substantial differences between residual equity and more aggregate notions of brand equity and external validation of our residual equity estimates in terms of agreement with intuition, theory and previous financial data based brand equity valuations.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78151314","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: 0

Generalized Monotone Additive Latent Variable Models 广义单调加性潜变量模型

ERN: Nonparametric Methods (Topic) Pub Date : 2010-05-04 DOI: 10.2139/ssrn.1762653

S. Sardy, Maria-Pia Victoria-Feser

引用次数: 0

A Non-Parametric Model-Based Approach to Uncertainty and Risk Analysis of Macroeconomic Forecast 基于非参数模型的宏观经济预测不确定性和风险分析方法

ERN: Nonparametric Methods (Topic) Pub Date : 2010-04-26 DOI: 10.2139/ssrn.1670566

C. Miani, S. Siviero

{"title":"A Non-Parametric Model-Based Approach to Uncertainty and Risk Analysis of Macroeconomic Forecast","authors":"C. Miani, S. Siviero","doi":"10.2139/ssrn.1670566","DOIUrl":"https://doi.org/10.2139/ssrn.1670566","url":null,"abstract":"It has increasingly become standard practice to supplement point macroeconomic forecasts with an appraisal of the degree of uncertainty and the prevailing direction of risks. Several alternative approaches have been proposed in the literature to compute the probability distribution of macroeconomic forecasts; all of them rely on combining the predictive density of model-based forecasts with subjective judgment about the direction and intensity of prevailing risks. We propose a non-parametric, model-based simulation approach, which does not require specific assumptions to be made regarding the probability distribution of the sources of risk. The probability distribution of macroeconomic forecasts is computed as the result of model-based stochastic simulations which rely on re-sampling from the historical distribution of risk factors and are designed to deliver the desired degree of skewness. By contrast, other approaches typically make a specific, parametric assumption about the distribution of risk factors. The approach is illustrated using the Bank of Italyi?½s Quarterly Macroeconometric Model. The results suggest that the distribution of macroeconomic forecasts quickly tends to become symmetric, even if all risk factors are assumed to be asymmetrically distributed.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73101544","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: 23