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Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
semiparametric dynamic NPGMM consistency asymptotic
2011/4/2
We suggest using a class of semiparametric dynamic panel data models to capture
individual variations in panel data. The model assumes linearity in some
continuous/discrete variables that can be exo...
Semiparametric Quantile Regression Estimation in Dynamic Models with Partially Varying Coefficients
Efficiency nonlinear time series partially linear partially varying coefficients quantile regression semiparametric
2011/4/1
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both pa...
Nonparametric Quantile Estimations for Dynamic Smooth Coefficient Models
Bandwidth selection Boundary effect Covariance estimation Kernel smoothing method Nonlinear time series Quantile regression Value-at-risk Varying coefficients
2011/4/2
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models
Local linear fitting generalized method of moments instrumental variables panel data varying coefficient model
2011/4/6
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continu ous/discrete variables which can be exo...
Nonparametric Quantile Estimations For Dynamic Smooth Coefficient Models
Bandwidth selection boundary effect covariance estimation kernel smoothing methods nonlinear time series quantile regression value-at-risk varying coefficients
2011/4/6
In this paper, quantile regression methods are suggested for a class of smooth coefficient time series models. We employ a local polynomial fitting scheme to estimate the smooth coefficients in a quan...