Variance estimation for semiparametric regression models by local averaging
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DOI: 10.1007/s11749-017-0553-3
Abstract: Variance estimation is a fundamental problem in statistical modelling and plays an important role in the inferences after model selection and estimation. In this paper, we focus on several nonparametric and semiparametric models and propose… read more here.
Keywords: estimation; estimation semiparametric; local averaging; variance estimation ... See more keywords
R-estimation in semiparametric dynamic location-scale models
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DOI: 10.1016/j.jeconom.2016.08.002
Abstract: We propose rank-based estimation (R-estimators) as an alternative to Gaussian quasi-likelihood and standard semiparametric estimation in time series models, where conditional location and/or scale depend on a Euclidean parameter of interest, while the unspecified innovation… read more here.
Keywords: estimation; location scale; estimation semiparametric; density ... See more keywords