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Filtering by: Advisor Martins-Filho, Carlos Remove constraint Advisor: Martins-Filho, Carlos Peer Reviewed No Remove constraint Peer Reviewed: No

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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

  • Finite sample performance of nonparametric regression estimators : the case of additive and parametric covariance models

    Creator:
    Yang, Ke
    Abstract:
    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...
    Resource Type:
    Dissertation
    Full Text:
    currently available in the literature as well as with the procedures proposed herein via a Monte Carlo

  • 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

  • Essays on the use of distance functions in empirical studies : efficiency measurement and beyond

    Creator:
    Vardanyan, Mikayel
    Abstract:
    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...
    Resource Type:
    Dissertation
    Full Text:
    professors Dr. RolfFäre and Dr. Carlos Martins-Filho, who have provided me with valuable guidance and