ERN: Nonparametric Methods (Topic)最新文献_第8页

Quasiconcave Preferences and Choices on a Probability Simplex - A Nonparametric Analysis 概率单纯形上的拟凹形偏好与选择——非参数分析

ERN: Nonparametric Methods (Topic) Pub Date : 2010-03-01 DOI: 10.2139/ssrn.1593473

Jan Heufer

引用次数: 2

Comparison of the Short Term Interest Rate Models: Parametric Versus Non Parametric Approach 短期利率模型的比较:参数与非参数方法

ERN: Nonparametric Methods (Topic) Pub Date : 2010-02-03 DOI: 10.2139/ssrn.2393909

Mona Ben Salah

{"title":"Comparison of the Short Term Interest Rate Models: Parametric Versus Non Parametric Approach","authors":"Mona Ben Salah","doi":"10.2139/ssrn.2393909","DOIUrl":"https://doi.org/10.2139/ssrn.2393909","url":null,"abstract":"This article attempts to identify the best model of the short term interest rates that can predict its stochastic process over time. We studied nine different models of the short term interest rates. The choice of these models was the aim of analyzing the relevance of certain specifications of the the short term interest rate stochastic process, the effect of mean reversion and the sensitivity of the volatility to the level of interest rate. The yield on US three months treasury bills is used as a proxy for the short term interest rates. The parameters of the different stochastic process are estimated using the generalized method of moments. The results show that the effect of mean reversion is not statistically significant and that volatility is highly sensitive to the level of interest rates. To further study the performance prediction of the intertemporal behavior of the short term interest rate of the various models; we simulated their stochastic process for different periods. The results show that none of the studied models reproduce the actual path of the short term interest rates. The problem lies in the parametric specification of the mean and volatility of the diffusion process To further study the accurate parametric specification of the interest rate stochastic process we use a nonparametric estimation of the drift and the diffusion functions. The results prove that both should be nonlinear.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75034595","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

Identification in Differentiated Products Markets Using Market Level Data 利用市场水平数据识别差异化产品市场

ERN: Nonparametric Methods (Topic) Pub Date : 2010-01-01 DOI: 10.2139/ssrn.2064898

Steven T. Berry, Philip A. Haile

{"title":"Identification in Differentiated Products Markets Using Market Level Data","authors":"Steven T. Berry, Philip A. Haile","doi":"10.2139/ssrn.2064898","DOIUrl":"https://doi.org/10.2139/ssrn.2064898","url":null,"abstract":"We present new identification results for nonparametric models of differentiated products markets, using only market level observables. We specify a nonparametric random utility discrete choice model of demand allowing rich preference heterogeneity, product/market unobservables, and endogenous prices. Our supply model posits nonparametric cost functions, allows latent cost shocks, and nests a range of standard oligopoly models. We consider identification of demand, identification of changes in aggregate consumer welfare, identification of marginal costs, identification of firms' marginal cost functions, and discrimination between alternative models of firm conduct. We explore two complementary approaches. The first demonstrates identification under the same nonparametric instrumental variables conditions required for identification of regression models. The second treats demand and supply in a system of nonparametric simultaneous equations, leading to constructive proofs exploiting exogenous variation in demand shifters and cost shifters. We also derive testable restrictions that provide the first general formalization of Bresnahan's (1982) intuition for empirically distinguishing between alternative models of oligopoly competition. From a practical perspective, our results clarify the types of instrumental variables needed with market level data, including tradeoffs between functional form and exclusion restrictions.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2010-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76608995","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: 313

Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France 一个广义Roy模型的推论，并在法国学校教育决策中的应用

ERN: Nonparametric Methods (Topic) Pub Date : 2009-12-08 DOI: 10.2139/ssrn.1519242

Xavier D’Haultfœuille, Arnaud Maurel

{"title":"Inference on a Generalized Roy Model, with an Application to Schooling Decisions in France","authors":"Xavier D’Haultfœuille, Arnaud Maurel","doi":"10.2139/ssrn.1519242","DOIUrl":"https://doi.org/10.2139/ssrn.1519242","url":null,"abstract":"This paper considers the identification and estimation of an extension of Roy's model (1951) of occupational choice, which includes a non-pecuniary component in the decision equation and allows for uncertainty on the potential outcomes. This framework is well suited to various economic contexts, including educational and sectoral choices, or migration decisions. We focus in particular on the identification of the non-pecuniary component under the condition that at least one variable affects the selection probability only through potential earnings, that is under the opposite of the usual exclusion restrictions used to identify switching regressions models and treatment effects. Point identification is achieved if such variables are continuous, while bounds are obtained otherwise. As a result, the distribution of the ex ante treatment effects can be point or set identified without any usual instruments. We propose a three-stages semiparametric estimation procedure for this model, which yields root-n consistent and asymptotically normal estimators. We apply our results to the educational context, by providing new evidence from French data that non-pecuniary factors are a key determinant of higher education attendance decisions.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89413649","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: 9

Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor 内生性回归量中连续位置移位的非参数结构估计

ERN: Nonparametric Methods (Topic) Pub Date : 2009-06-04 DOI: 10.2139/ssrn.1414338

P. Phillips, Liangjun Su

{"title":"Nonparametric Structural Estimation Via Continuous Location Shifts in an Endogenous Regressor","authors":"P. Phillips, Liangjun Su","doi":"10.2139/ssrn.1414338","DOIUrl":"https://doi.org/10.2139/ssrn.1414338","url":null,"abstract":"Recent work by Wang and Phillips (2009b, c) has shown that ill posed inverse problems do not arise in nonstationary nonparametric regression and there is no need for nonparametric instrumental variable estimation. Instead, simple Nadaraya Watson nonparametric estimation of a (possibly nonlinear) cointegrating regression equation is consistent with a limiting (mixed) normal distribution irrespective of the endogeneity in the regressor, near integration as well as integration in the regressor, and serial dependence in the regression equation. The present paper shows that some closely related results apply in the case of structural nonparametric regression with independent data when there are continuous location shifts in the regressor. In such cases, location shifts serve as an instrumental variable in tracing out the regression line similar to the random wandering nature of the regressor in a cointegrating regression. Asymptotic theory is given for local level and local linear nonparametric estimators, links with nonstationary cointegrating regression theory and nonparametric IV regression are explored, and extensions to the stationary strong mixing case are given. In contrast to standard nonparametric limit theory, local level and local linear estimators have identical limit distributions, so the local linear approach has no apparent advantage in the present context. Some interesting cases are discovered, which appear to be new in the literature, where nonparametric estimation is consistent whereas parametric regression is inconsistent even when the true (parametric) regression function is known. The methods are further applied to establish a limit theory for nonparametric estimation of structural panel data models with endogenous regressors and individual effects. Some simulation evidence is reported.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-06-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77512718","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

Empirical Tests of Canonical Nonparametric American Option Pricing Methods 典型非参数美式期权定价方法的实证检验

ERN: Nonparametric Methods (Topic) Pub Date : 2009-05-16 DOI: 10.2139/ssrn.1405842

Jamie Alcock, D. Auerswald

引用次数: 17

Order Selection Tests with Multiply-Imputed Data 使用多重输入数据的订单选择测试

ERN: Nonparametric Methods (Topic) Pub Date : 2009-03-01 DOI: 10.2139/ssrn.1430275

Fabrizio Consentino, G. Claeskens

引用次数: 0

Two-Step Extremum Estimation with Estimated Single-Indices 估计单指标的两步极值估计

ERN: Nonparametric Methods (Topic) Pub Date : 2009-02-16 DOI: 10.2139/ssrn.1360975

Kyungchul Song

引用次数: 5

Poisson Indices of Segregation 偏析的泊松指数

ERN: Nonparametric Methods (Topic) Pub Date : 2009-02-07 DOI: 10.2139/ssrn.1413246

A. Mele

引用次数: 14

Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail Indexes 极端波动、金融危机与尾指数的l矩估计

ERN: Nonparametric Methods (Topic) Pub Date : 2009-01-12 DOI: 10.2139/ssrn.1288661

Bertrand B. Maillet, Jean-Philippe Médecin

引用次数: 1