Empirical likelihood-based inference for nonparametric recurrent diffusions
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Citations
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Cited by:
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
- Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
- Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015.
"Empirical likelihood for regression discontinuity design,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 94-112.
- Taisuke Otsu & Ke-Li Xu, 2011. "Empirical Likelihood for Regression Discontinuity Design," Cowles Foundation Discussion Papers 1799, Cowles Foundation for Research in Economics, Yale University.
- Otsu, Taisuke & Xu, Ke-Li & Matsushita, Yukitoshi, 2015. "Empirical likelihood for regression discontinuity design," LSE Research Online Documents on Economics 58513, London School of Economics and Political Science, LSE Library.
- Otsu, Taisuke & Matsushita, Yukitoshi & Xu, Ke-Li, 2014. "Empirical likelihood for regression discontinuity design," LSE Research Online Documents on Economics 58065, London School of Economics and Political Science, LSE Library.
- Yukitoshi Matsushita & Taisuke Otsu & Ke-Li Xu, 2014. "Empirical Likelihood for Regression Discontinuity Design," STICERD - Econometrics Paper Series 573, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Kanaya, Shin, 2017.
"Uniform Convergence Rates Of Kernel-Based Nonparametric Estimators For Continuous Time Diffusion Processes: A Damping Function Approach,"
Econometric Theory, Cambridge University Press, vol. 33(4), pages 874-914, August.
- Shin Kanaya, 2015. "Uniform Convergence Rates of Kernel-Based Nonparametric Estimators for Continuous Time Diffusion Processes: A Damping Function Approach," CREATES Research Papers 2015-50, Department of Economics and Business Economics, Aarhus University.
- Song, Yuping & Lin, Zhengyan, 2013. "Empirical likelihood inference for the second-order jump-diffusion model," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 184-195.
- repec:cep:stiecm:/2014/573 is not listed on IDEAS
- YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
- Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
- Yuping Song & Weijie Hou & Guang Yang, 2020. "Asymptotic Normality of Convoluted Smoothed Kernel Estimation for Scalar Diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 191-221, March.
- Yunyan Wang & Lixin Zhang, 2013. "Local linear estimation for stochastic processes driven by $$\alpha $$ α -stable L $$\acute{\mathbf{e}}$$ e ´ vy motion," Statistical Inference for Stochastic Processes, Springer, vol. 16(2), pages 161-171, July.
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More about this item
Keywords
Confidence interval Continuous-time models Diffusion Drift Empirical likelihood Local linear smoothing Local time Nonparametric estimation Nonstationarity Stochastic differential equation;Statistics
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