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Filtering by: Advisor Martins-Filho, Carlos Remove constraint Advisor: Martins-Filho, Carlos Academic Affiliation Economics Remove constraint Academic Affiliation: Economics Subject Econometric models Remove constraint Subject: Econometric models

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  • Three essays on nonparametric and semiparametric regression models

    Creator:
    Yao, Feng
    Abstract:
    This dissertation contains three essays on nonprametric and semiparametric regression mod- In the first essay, we propose an estimation procedure for value at risk (VaR) and expected shortfall (TailVaR.) for conditional distributions of a time series of returns on a financial asset. Our approach combines a local polynomial estimator of...
    Resource Type:
    Dissertation
    Full Text:
    Semiparametric Regression Models. Abstract Approved: els. Filho This dissertation contains three essays on

  • Smooth nonparametric conditional quantile profit function estimation

    Creator:
    Piskunov, Anton
    Abstract:
    Recently, in an attempt to produce robust production frontier estimators, Aragon et al. [2005, Nonparametric frontier estimation: a conditional quantile-based approach. Econometric Theory 21, 358-389] and Martins-Filho and Yao [2008, A smooth nonparametric conditional quantile frontier estimator. Journal of Econometrics 143, 317-333] considered the estimation of nonparametric α- frontier models...
    Resource Type:
    Masters Thesis
    Full Text:
    have. Monte-Carlo simulation conducted by Martins-Filho and Yao reveals, that when the data is such