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...
This dissertation is composed of three essays regarding the finite sample properties of estimators
for nonparametric models.
In the first essay we investigate the finite sample performances of four estimators for additive
nonparametric regression models - the backfitting B-estimator, the marginal integration M-estimator
and two versions of a two stage...
Two essays are focused on semiparametric econometric methods. The first essay investigates applicability of the smooth back tting estimator (SBE) to statistical analysis of residential energy consumption. The second essay attempts to incorporate additivity restrictions into semiparametric stochastic frontier estimation. The procedure described in the first study is used to...
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...
This dissertation explores the intricacies associated with the use of distance functions in empirical studies. It focuses on the measurement of advertising efficiency and investigates the properties of the models that seek to approximate the abatement costs of socially undesirable outputs. The first manuscript is devoted to the development of...