IDEAS home Printed from https://ideas.repec.org/r/eee/spapps/v65y1996i1p81-101.html
   My bibliography  Save this item

Multivariate regression estimation local polynomial fitting for time series

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jacho-Chávez, David & Lewbel, Arthur & Linton, Oliver, 2010. "Identification and nonparametric estimation of a transformed additively separable model," Journal of Econometrics, Elsevier, vol. 156(2), pages 392-407, June.
  2. Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian, 2008. "Fiscal policy and asset markets: A semiparametric analysis," Journal of Econometrics, Elsevier, vol. 147(1), pages 141-150, November.
  3. Joseph G. Altonji & Hidehiko Ichimura & Taisuke Otsu, 2012. "Estimating Derivatives in Nonseparable Models With Limited Dependent Variables," Econometrica, Econometric Society, vol. 80(4), pages 1701-1719, July.
  4. Pedro Gozalo & Oliver Linton, 1994. "Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically," Cowles Foundation Discussion Papers 1075, Cowles Foundation for Research in Economics, Yale University.
  5. Shen, Jia & Xie, Yuan, 2013. "Strong consistency of the internal estimator of nonparametric regression with dependent data," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1915-1925.
  6. Liu, Zhenjun & Stengos, Thanasis & Li, Qi, 2000. "Nonparametric model check based on local polynomial fitting," Statistics & Probability Letters, Elsevier, vol. 48(4), pages 327-334, July.
  7. Huang, Liquan & Khalil, Umair & Yıldız, Neşe, 2019. "Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables," Journal of Econometrics, Elsevier, vol. 208(2), pages 346-366.
  8. Arthur Lewbel & Oliver Linton, 2003. "Nonparametric estimation of homothetic and homothetically separable functions," CeMMAP working papers 14/03, Institute for Fiscal Studies.
  9. Francesco Bravo & David Jacho-Chavez, 2011. "Empirical Likelihood for Efficient Semiparametric Average Treatment Effects," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 1-24.
  10. Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
  11. Pérez-González, A. & Vilar-Fernández, J.M. & González-Manteiga, W., 2010. "Nonparametric variance function estimation with missing data," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1123-1142, May.
  12. Li, Jialiang & Zhang, Wenyang & Kong, Efang, 2018. "Factor models for asset returns based on transformed factors," Journal of Econometrics, Elsevier, vol. 207(2), pages 432-448.
  13. Čížek, Pavel & Lei, Jinghua, 2018. "Identification and estimation of nonseparable single-index models in panel data with correlated random effects," Journal of Econometrics, Elsevier, vol. 203(1), pages 113-128.
  14. Ying-Ying Lee, 2018. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Papers 1811.00157, arXiv.org.
  15. Cai, Zongwu, 2003. "Nonparametric estimation equations for time series data," Statistics & Probability Letters, Elsevier, vol. 62(4), pages 379-390, May.
  16. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation for Research in Economics, Yale University.
  17. Daiki Maki & Yasushi Ota, 2019. "Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches," Papers 1907.12752, arXiv.org, revised Sep 2019.
  18. Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
  19. Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2019. "Machine Learning for Forecasting Excess Stock Returns The Five-Year-View," Graz Economics Papers 2019-06, University of Graz, Department of Economics.
  20. King, Maxwell L. & Zhang, Xibin & Akram, Muhammad, 2020. "Hypothesis testing based on a vector of statistics," Journal of Econometrics, Elsevier, vol. 219(2), pages 425-455.
  21. Francesco Bravo, 2013. "Partially linear varying coefficient models with missing at random responses," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(4), pages 721-762, August.
  22. Lee, Yoonseok & Mukherjee, Debasri & Ullah, Aman, 2019. "Nonparametric estimation of the marginal effect in fixed-effect panel data models," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 53-67.
  23. Liu, Jun M. & Chen, Rong & Yao, Qiwei, 2010. "Nonparametric transfer function models," LSE Research Online Documents on Economics 28868, London School of Economics and Political Science, LSE Library.
  24. Su, Liangjun & Ullah, Aman, 2008. "Local polynomial estimation of nonparametric simultaneous equations models," Journal of Econometrics, Elsevier, vol. 144(1), pages 193-218, May.
  25. Liu, Jun M. & Chen, Rong & Yao, Qiwei, 2010. "Nonparametric transfer function models," Journal of Econometrics, Elsevier, vol. 157(1), pages 151-164, July.
  26. Linton, Oliver & Xiao, Zhijie, 2019. "Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity," Journal of Econometrics, Elsevier, vol. 213(2), pages 608-631.
  27. Aneiros-Perez, G. & Vilar-Fernandez, J.M., 2008. "Local polynomial estimation in partial linear regression models under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2757-2777, January.
  28. Ioannis Kyriakou & Parastoo Mousavi & Jens Perch Nielsen & Michael Scholz, 2021. "Forecasting benchmarks of long-term stock returns via machine learning," Annals of Operations Research, Springer, vol. 297(1), pages 221-240, February.
  29. Linton, Oliver, 2002. "Edgeworth approximations for semiparametric instrumental variable estimators and test statistics," Journal of Econometrics, Elsevier, vol. 106(2), pages 325-368, February.
  30. Chan Shen, 2019. "Recursive Differencing for Estimating Semiparametric Models," Departmental Working Papers 201903, Rutgers University, Department of Economics.
  31. Masry, Elias & Mielniczuk, Jan, 1999. "Local linear regression estimation for time series with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 173-193, August.
  32. Lewbel, Arthur & McFadden, Daniel & Linton, Oliver, 2011. "Estimating features of a distribution from binomial data," Journal of Econometrics, Elsevier, vol. 162(2), pages 170-188, June.
  33. Andrea Meilán-Vila & Mario Francisco-Fernández & Rosa M. Crujeiras & Agnese Panzera, 2021. "Nonparametric multiple regression estimation for circular response," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 650-672, September.
  34. A. Pérez-González & J. Vilar-Fernández & W. González-Manteiga, 2009. "Asymptotic properties of local polynomial regression with missing data and correlated errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 85-109, March.
  35. Masry, Elias, 2002. "Multivariate probability density estimation for associated processes: strong consistency and rates," Statistics & Probability Letters, Elsevier, vol. 58(2), pages 205-219, June.
  36. Chauvet, Marcelle & Tierney, Heather L. R., 2007. "Real Time Changes in Monetary Policy," MPRA Paper 16199, University Library of Munich, Germany, revised Apr 2009.
  37. Francesco Bravo, 2014. "Varying coefficients partially linear models with randomly censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 383-412, April.
  38. Xiao, Jianli & Wei, Chao & Liu, Yuncai, 2018. "Speed estimation of traffic flow using multiple kernel support vector regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 989-997.
  39. Bandi, Federico M. & Moloche, Guillermo, 2018. "On The Functional Estimation Of Multivariate Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 34(4), pages 896-946, August.
  40. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  41. Daiqiang Zhang, 2021. "Testing Passive Versus Symmetric Beliefs In Contracting With Externalities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 723-767, May.
  42. Chiou, Yan-Yu & Chen, Mei-Yuan & Chen, Jau-er, 2018. "Nonparametric regression with multiple thresholds: Estimation and inference," Journal of Econometrics, Elsevier, vol. 206(2), pages 472-514.
  43. Aboubacar Amiri & Baba Thiam, 2018. "Regression estimation by local polynomial fitting for multivariate data streams," Statistical Papers, Springer, vol. 59(2), pages 813-843, June.
  44. Lu, Xuewen & Burke, M.D., 2005. "Censored multiple regression by the method of average derivatives," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 182-205, July.
  45. Gozalo, Pedro & Linton, Oliver, 2000. "Local nonlinear least squares: Using parametric information in nonparametric regression," Journal of Econometrics, Elsevier, vol. 99(1), pages 63-106, November.
  46. Semykina, Anastasia & Xie, Yimeng & Yang, Cynthia Fan & Zhou, Qiankun, 2024. "Semiparametric least squares estimation of binary choice panel data models with endogeneity," Economic Modelling, Elsevier, vol. 132(C).
  47. Neumeyer, Natalie & Noh, Hohsuk & Van Keilegom, Ingrid, 2014. "Heteroscedastic semiparametric transformation models: estimation and testing for validity," LIDAM Discussion Papers ISBA 2014047, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  48. Henderson, Daniel J. & Parmeter, Christopher F., 2012. "Normal reference bandwidths for the general order, multivariate kernel density derivative estimator," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2198-2205.
  49. Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
  50. Liangjun Su & Yundong Tu & Aman Ullah, 2015. "Testing Additive Separability of Error Term in Nonparametric Structural Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1057-1088, December.
  51. Cai, Zongwu & Das, Mitali & Xiong, Huaiyu & Wu, Xizhi, 2006. "Functional coefficient instrumental variables models," Journal of Econometrics, Elsevier, vol. 133(1), pages 207-241, July.
  52. J. Vilar-Fernández & J. Vilar-Fernández, 1998. "Recursive Estimation of Regression Functions by Local Polynomial Fitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(4), pages 729-754, December.
  53. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
  54. Yebin Cheng & Jan G. de Gooijer, 2005. "Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence," Tinbergen Institute Discussion Papers 05-067/4, Tinbergen Institute.
  55. Henderson, Daniel J. & Li, Qi & Parmeter, Christopher F. & Yao, Shuang, 2015. "Gradient-based smoothing parameter selection for nonparametric regression estimation," Journal of Econometrics, Elsevier, vol. 184(2), pages 233-241.
  56. Xiao Huang, 2013. "Nonparametric Estimation in Large Panels with Cross-Sectional Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 754-777, August.
  57. Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
  58. Cheng, Yu-Hsiang & Huang, Tzee-Ming, 2012. "A conditional independence test for dependent data based on maximal conditional correlation," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 210-226.
  59. Cai, Zongwu & Fan, Jianqing, 2000. "Average Regression Surface for Dependent Data," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 112-142, October.
  60. Yan-Yu Chiou & Mei-Yuan Chen & Jau-er Chen, 2017. "Nonparametric Regression with Multiple Thresholds: Estimation and Inference," Papers 1705.09418, arXiv.org, revised Feb 2018.
  61. Valentina Corradi & Daniel Gutknecht, 2019. "Testing for Quantile Sample Selection," Papers 1907.07412, arXiv.org, revised Jan 2021.
  62. Ying-Ying Lee, 2014. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Economics Series Working Papers 706, University of Oxford, Department of Economics.
  63. Jingping Gu & Qi Li & Jui-Chung Yang, 2015. "Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 979-1010, December.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.