ERN: Nonparametric Methods (Topic)最新文献_第9页

Testing and Detecting Jumps Based on a Discretely Observed Process 基于离散观察过程的跳变测试与检测

ERN: Nonparametric Methods (Topic) Pub Date : 2008-12-19 DOI: 10.2139/ssrn.1184442

Yingying Fan, Jianqing Fan

引用次数: 28

Efficient Tests under a Weak Convergence Assumption 弱收敛假设下的有效检验

ERN: Nonparametric Methods (Topic) Pub Date : 2008-12-01 DOI: 10.2139/ssrn.1105731

Ulrich K. Müller

{"title":"Efficient Tests under a Weak Convergence Assumption","authors":"Ulrich K. Müller","doi":"10.2139/ssrn.1105731","DOIUrl":"https://doi.org/10.2139/ssrn.1105731","url":null,"abstract":"The asymptotic validity of tests is usually established by making appropriate primitive assumptions, which imply the weak convergence of a specific function of the data, and an appeal to the continuous mapping theorem. This paper, instead, takes the weak convergence of some function of the data to a limiting random element as the starting point and studies efficiency in the class of tests that remain asymptotically valid for all models that induce the same weak limit. It is found that efficient tests in this class are simply given by efficient tests in the limiting problem—that is, with the limiting random element assumed observed—evaluated at sample analogues. Efficient tests in the limiting problem are usually straightforward to derive, even in nonstandard testing problems. What is more, their evaluation at sample analogues typically yields tests that coincide with suitably robustified versions of optimal tests in canonical parametric versions of the model. This paper thus establishes an alternative and broader sense of asymptotic efficiency for many previously derived tests in econometrics, such as tests for unit roots, parameter stability tests, and tests about regression coefficients under weak instruments.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"47 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90530403","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: 48

Nonparametric Multivariate Conditional Distribution and Quantile Regression 非参数多元条件分布与分位数回归

ERN: Nonparametric Methods (Topic) Pub Date : 2008-09-01 DOI: 10.2139/ssrn.1264946

Keming Yu, Xiaochen (Michael) Sun, G. Mitra

引用次数: 2

Cost Allocation and Convex Data Envelopment 成本分配与凸数据包络

ERN: Nonparametric Methods (Topic) Pub Date : 2008-01-01 DOI: 10.2139/ssrn.1135262

J. Hougaard, J. Tind

引用次数: 9

Testing Conditional Asymmetry: A Residual-Based Approach 检验条件不对称:基于残差的方法

ERN: Nonparametric Methods (Topic) Pub Date : 2007-09-15 DOI: 10.2139/ssrn.1029645

S. Laurent, P. Lambert, David Veredas

引用次数: 0

The Revealed Preference Approach to Collective Consumption Behavior: Testing, Recovery, and Welfare Analysis 集体消费行为的显性偏好方法:检验、恢复和福利分析

ERN: Nonparametric Methods (Topic) Pub Date : 2007-09-01 DOI: 10.2139/ssrn.1016653

L. Cherchye, B. Rock, Frederic Vermeulen

{"title":"The Revealed Preference Approach to Collective Consumption Behavior: Testing, Recovery, and Welfare Analysis","authors":"L. Cherchye, B. Rock, Frederic Vermeulen","doi":"10.2139/ssrn.1016653","DOIUrl":"https://doi.org/10.2139/ssrn.1016653","url":null,"abstract":"We extend the nonparametric 'revealed preference' methodology for analyzing collective consumption behavior (with consumption externalities and public consumption), to ren- der it useful for empirical applications that deal with welfare-related questions. First, we provide a nonparametric necessary and su¢ cient condition for collectively rational group behavior that incorporates the possibility of assignable quantity information. This charac- terizes collective rationality in terms of feasible personalized prices, personalized quantities and income shares (representing the underlying sharing rule). Subsequently, we present nonparametric testing tools for data consistency with special cases of the collective model, which impose specific structure on the preferences of the group members (in terms of con- sumption externalities and public consumption); and we show that these testing tools in turn allow for nonparametrically recovering (bounds on) feasible personalized prices, per- sonalized quantities and income shares that underlie observed (collectively rational) group behavior. In addition, we present formally similar testing and recovery tools for the general collective consumption model, which imposes minimal a priori structure. Interestingly, the proposed testing and recovery methodology can be implemented through integer program- ming (IP and MILP), which is attractive for practical applications. Finally, while we argue that assignable quantity information generally entails more powerful recovery results, we also demonstrate that precise nonparametric recovery (i.e. tight bounds) can be obtained even if no assignable quantity information is available.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"430 ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2007-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91510672","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: 17

Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India: A Parametric and Non-Parametric Testing 印度股票交易与非交易市场收益的周数效应:参数与非参数检验

ERN: Nonparametric Methods (Topic) Pub Date : 2006-12-01 DOI: 10.21648/ARTHAVIJ/2006/V48/I4/115444

Shahid Ahmed

{"title":"Day-of-the-Week Effect on Trading and Non-Trading Stock Market Returns in India: A Parametric and Non-Parametric Testing","authors":"Shahid Ahmed","doi":"10.21648/ARTHAVIJ/2006/V48/I4/115444","DOIUrl":"https://doi.org/10.21648/ARTHAVIJ/2006/V48/I4/115444","url":null,"abstract":"The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they are generated. If such an anomaly exists, market participants can take advantage of the same and adjust their buying and selling strategies accordingly to increase their returns. Both parametric and non-parametric approaches are applied to detect the Day-of- the-Week effect in both mean and volatility of returns. The results indicate that BSE starts upwards, declines in middle of the week and end downwards while NSE starts downward, upward in middle of the week and end downwards. The study reveals U-shaped intra-day pattern in price volatility in both the markets. The results also indicate differential pattern of movements in mean and variance of trading and non-trading returns across the weekdays. It is also observed that there is an improvement in the Day-of-the-Week anomaly during the period of January 2002 to March 2006.","PeriodicalId":11744,"journal":{"name":"ERN: Nonparametric Methods (Topic)","volume":"2 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2006-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87463641","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

The Fed and the Question of Financial Stability: An Empirical Investigation 美联储与金融稳定问题:一项实证调查

ERN: Nonparametric Methods (Topic) Pub Date : 2005-10-01 DOI: 10.2139/ssrn.1703444

Thierry Grunspan

引用次数: 53

A Test for Iid Residuals Based on Integrating Over the Correlation Integral 基于相关积分的Iid残差检验

ERN: Nonparametric Methods (Topic) Pub Date : 1996-09-01 DOI: 10.2139/ssrn.1543758

E. Kočenda

引用次数: 1

25 Censored data 25删减数据

ERN: Nonparametric Methods (Topic) Pub Date : 1984-01-01 DOI: 10.1016/S0169-7161(84)04027-X

A. Basu

引用次数: 0