Enno Mammen

University of Mannheim - Department of Economics

Mannheim, 68131

Germany

SCHOLARLY PAPERS

20

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2,185

CITATIONS
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Top 17,775

in Total Papers Citations

27

Scholarly Papers (20)

1.
Downloads 892 ( 25,235)
Citation 10

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 785 (29,660)
Citation 1

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Coupon bonds, Kernal Estimation, Hilbert Space, nonparametric regression, term structure estimation, yield curve, zero coupon

Yield Curve Estimation by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM385
Number of pages: 46 Posted: 21 Jul 2008
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 107 (251,487)
Citation 9

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2.

Testing Parametric Versus Semiparametric Modelling in Generalized Linear Models

Number of pages: 25 Posted: 14 Jan 1997
Humboldt University of Berlin - Institute for Statistics and Econometrics, Beuth University of Applied Sciences Berlin and University of Mannheim - Department of Economics
Downloads 351 (83,646)
Citation 7

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More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Cowles Foundation Discussion Paper No. 1375
Number of pages: 50 Posted: 12 Aug 2002
University of Illinois at Urbana-Champaign - Department of Economics, University of Cambridge, Texas A&M University - Department of Statistics and University of Mannheim - Department of Economics
Downloads 162 (181,233)

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Time Series Regression, Nonparametric Regression, Kernel, Efficiency

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

LSE STICERD Research Paper No. EM435
Number of pages: 53 Posted: 21 Jul 2008
Texas A&M University - Department of Statistics, University of Cambridge, University of Mannheim - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 43 (416,169)
Citation 5

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4.

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

University of Heidelberg, Department of Economics, Discussion Paper No. 473
Number of pages: 46 Posted: 31 Jul 2008
Christian Conrad and Enno Mammen
Heidelberg University - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 201 (149,287)
Citation 10

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Specification test, GARCH-M, semiparametric regression, risk premium, ICAPM

5.

Estimating Semiparametric Arch (Infinity) Models by Kernel Smoothing Methods

Number of pages: 77 Posted: 26 Jan 2004
Enno Mammen and Oliver B. Linton
University of Mannheim - Department of Economics and University of Cambridge
Downloads 125 (223,378)

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ARCH, Inverse Problem, Kernel Estimation, News Impact Curve, Nonparametric regression, Profile Likelihood, Semiparametric Estimation, Volatility

6.

Asymptotics for Parametric GARCH-in-Mean Models

Journal of Econometrics, Forthcoming
Number of pages: 26 Posted: 10 Feb 2015 Last Revised: 03 Jan 2017
Christian Conrad and Enno Mammen
Heidelberg University - Faculty of Economics and Social Studies and University of Mannheim - Department of Economics
Downloads 96 (269,057)
Citation 3

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GARCH-in-Mean, stochastic recurrence equations, risk-return relationship

7.

Do-Validating Local Linear Hazards

Number of pages: 32 Posted: 03 Oct 2014
University of Granada, University of Mannheim - Department of Economics, University of Granada and City University London - Cass Business School
Downloads 53 (373,795)

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Aalen's multiplicative model, cross-validation, Do-validation, filtered data, local linear estimation, semiparametric estimation

8.

Semiparametric Estimation with Generated Covariates

IZA Discussion Paper No. 6084
Number of pages: 44 Posted: 13 Nov 2011
University of Mannheim - Department of Economics, Columbia University and Humboldt University of Berlin - School of Business and Economics
Downloads 47 (393,878)
Citation 5

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semiparametric estimation, generated covariates, profiling, propensity score

9.

A General Semiparametric Approach to Inference with Marker-Dependent Hazard Rate Models

IZA Discussion Paper No. 8339
Number of pages: 39 Posted: 02 Aug 2014
VU University Amsterdam - Department of Economics, University of Mannheim, University of Mannheim - Department of Economics and City University London - Cass Business School
Downloads 43 (408,184)

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covariate effects, survival analysis, local linear estimation, asymptotic distribution, birth weight, mortality, social class

10.

Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM453
Number of pages: 62 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 36 (435,410)
Citation 23

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11.

Nonparametric Instrumental Variable Methods for Dynamic Treatment Evaluation

IZA Discussion Paper No. 9782
Number of pages: 49 Posted: 07 Mar 2016
VU University Amsterdam - Department of Economics, Mines-Paristech and University of Mannheim - Department of Economics
Downloads 35 (439,540)

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hazard rate, duration variable, treatment effects, survival function, noncompliance, regression discontinuity design, unemployment, labor market policy reform, active labor market policy, unemployment benefits

12.

Nonparametric Transformation to White Noise

LSE STICERD Research Paper No. EM503
Number of pages: 36 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 33 (447,909)
Citation 6

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13.

The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions

LSE STICERD Research Paper No. EM386
Number of pages: 59 Posted: 21 Jul 2008
Oliver B. Linton, Enno Mammen and N Nielsen
University of Cambridge, University of Mannheim - Department of Economics and affiliation not provided to SSRN
Downloads 33 (447,909)
Citation 26

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14.

Properties of the Nonparametric Autoregressive Bootstrap

Journal of Time Series Analysis, Vol. 23, pp. 555-585, 2002
Number of pages: 31 Posted: 15 May 2003
Technology University of Braunschweig - Department of Mathematics, University of Mannheim - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) and Universität Kaiserslautern - Fachbereich Mathematik
Downloads 17 (532,825)
Citation 2
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15.

Generalised Partially Linear Regression with Misclassified Data and an Application to Labour Market Transitions

ZEW - Centre for European Economic Research Discussion Paper No. 15-043
Number of pages: 29 Posted: 06 Aug 2015
Stephan Dlugosz, Enno Mammen and Ralf A. Wilke
ZEW – Leibniz Centre for European Economic Research, University of Mannheim - Department of Economics and Copenhagen Business School - Department of Economics
Downloads 14 (550,350)

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semiparametric regression, measurement error, side information

16.

Identification and Estimation of Local Average Derivatives in Non-Separable Models Without Monotonicity

Econometrics Journal, Vol. 12, Issue 1, pp. 1-25, March 2009
Number of pages: 25 Posted: 27 Apr 2009
Stefan Hoderlein and Enno Mammen
affiliation not provided to SSRN and University of Mannheim - Department of Economics
Downloads 3 (621,266)
Citation 6
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17.

Non‐Parametric Models in Binary Choice Fixed Effects Panel Data

The Econometrics Journal, Vol. 14, Issue 3, pp. 351-367, 2011
Number of pages: 17 Posted: 26 Oct 2011
Stefan Hoderlein, Enno Mammen and Kyusang Yu
affiliation not provided to SSRN, University of Mannheim - Department of Economics and affiliation not provided to SSRN
Downloads 1 (643,830)
Citation 2
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Binary choice, Panel data, Stochastic integral equation

18.

Backfitting and Smooth Backfitting in Varying Coefficient Quantile Regression

The Econometrics Journal, Vol. 17, Issue 2, pp. S20-S38, 2014
Number of pages: 19 Posted: 05 Jun 2014
Young Lee, Enno Mammen and Byeong U. Park
Kangwon National University, University of Mannheim - Department of Economics and Seoul National University
Downloads 0 (661,936)
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Backfitting, Integral equation, Kernel smoothing, Quantile regression, Smooth backfitting, Varying coefficient models

19.

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Journal of Econometrics, Vol. 188, No. 1, 2015, pp. 196-218
Posted: 01 Nov 2013 Last Revised: 20 Jun 2015
University of St. Gallen - School of Economics and Political Science, University of Mannheim - Department of Economics and University of Cambridge

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Additive models, Backfitting, Nonparametric time series analysis, Specification tests, Realized variance; Heterogeneous autoregressive model

20.

A Semiparametric Factor Model for Implied Volatility Surface Dynamics

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 189-218, 2007
Posted: 16 Jun 2008
University of St. Gallen - School of Economics and Political Science, Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Mannheim - Department of Economics

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functional principal component analysis, implied volatility surface, semiparametric factor models