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Efficient Estimation of Nonparametric Simultaneous Equations Models
Local Polynomial Regression Nonparametric Additive Models Structural Models Instrumental Variables
2016/1/26
This paper defines a new procedure to efficiently estimate nonparametric simultaneous e-quations models that have been explored by Newey et al (1999) and Su and Ullah (2008).The proposed estimation pr...
Nonparametric Regression with Discrete Covariate and Missing Values
Nonparametric Regression Discrete kernel smoothing Imputation Missing Values Variance Reduction
2016/1/19
We consider nonparametric regression with a mixture of continuous and discrete ex-planatory variables where realizations of the response variable may be missing. An impu-tation based nonparametric reg...
Switching Nonparametric Regression Models and the Motorcycle Data revisited
nonparametric regression machine learning mixture of Gaussian processes latent variables EM algorithm motorcy-cle data
2013/6/14
We propose a methodology to analyze data arising from a curve that, over its domain, switches among J states. We consider a sequence of response variables, where each response y depends on a covariate...
Nonparametric Estimation of Second-Order Jump-Diffusion Model
Second-order jump-diffusion N-W estimator Weak consistency
2011/7/6
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalit...