Three Essays on Estimation and Testing of Nonparametric Models

Three Essays on Estimation and Testing of Nonparametric Models

In this dissertation, I focus on the development and application of nonparametric methods in econometrics. First, a constrained nonparametric regression method is developed to estimate a function and its derivatives subject to shape restrictions implied by economic theory. The constrained estimators...

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Bibliographic Details
Main Author: Ma, Guangyi
Other Authors: Xu, Ke-Li
Format: Others
Language:en_US
Published: 2012
Subjects:
Constrained nonparametric regression
CUSUM of squares test
derivative estimation
empirical likelihood
functional-coefficient cointegration
nonparametric alternative
option pricing
purchasing power parity
state-price density
structural change
time-varying coefficient model
volatility break.
Online Access:http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11768

Internet

http://hdl.handle.net/1969.1/ETD-TAMU-2012-08-11768

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