Consistent estimator of nonparametric structural spurious regression model for high frequency data
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.10.007
Abstract: We propose a new nonparametric estimator for continuous-time regression models with nonstationary error terms. While other conventional nonparametric estimators such as the Nadaraya–Watson and local linear estimators are not consistent, our estimator achieves consistency and… read more here.
Keywords: estimator nonparametric; consistent estimator; regression; estimator ... See more keywords
The conditionality principle in high-dimensional regression
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DOI: 10.1093/biomet/asz015
Abstract: Consider a high-dimensional linear regression problem, where the number of covariates is larger than the number of observations and the interest is in estimating the conditional variance of the response variable given the covariates. A… read more here.
Keywords: regression; high dimensional; dimensional regression; marginal distribution ... See more keywords