3063 Allen, 4228 TAMU
Department of Economics, TAMU
College Station, TX 77843-4228
Texas A&M University
in Total Papers Downloads
in Total Papers Citations
Conditional quantile function, Empirical likelihood, Local polynomial estimation, Nonparametric inference, Time series, Value-at-risk
CUSUM test, LM test, nonparametric volatility estimation, nonstationary volatility, volatility break
Adaptive estimation, Autoregression, Heterogeneity, Weighted regression
Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusions, Local linear estimator, Heteroskedastic nonparametric regression, Volatility
Conditional variance function, Empirical likelihood, Conditional heteroskedasticity, Jump diffusion, Local linear estimator, Heteroskedastic nonparametric regression, Volatility
Confidence interval; (Generalized) Empirical likelihood; Expected shortfall; Nonparametric model; Semiparametric index model; Value at risk
Bootstrap, Deterministic trends, Multivariate trend function testing, Nonstationary volatility, Wild bootstrap, Variance change
Bias reduction, diffusion; empirical likelihood, local linear smoothing, local time, Nadaraya-Watson estimator, nonparametric estimation, stochastic differential equation, volatility.
Diffusion, empirical likelihood, local linear smoothing, local time, recurrence, stochastic differential equation, volatility
Confidence interval; continuous-time models; diffusion; drift; empirical likelihood; local linear smoothing; local time; nonparametric estimation; nonstationarity; stochastic differential equation.
Empirical likelihood, Nonparametric methods, Regression discontinuity design, Treatment effect
Cochrane-Orcutt estimator; Deterministic trend; Efficiency gain; Nearly-integrated process; Nonstationary volatility; Semiparametric model
CUSUM test; LM test; non-monotonic power; robust tests; structural change; volatility break.
Confidence Set; Monetary Policy Reaction Function; Nearly Unit Root; Nonlinear Least Squares; Real-Time Data; Weak Identification
Bandwidth selection; confidence intervals; categorical outcomes; local likelihood; multinomial logit model; nonparametric models; regression discontinuity
Deterministic trends; Efficient estimation; Fixed-b asymptotics; HAC standard error; Multivariate time series; Nearly integrated processes; Seemingly unrelated regression (SUR)
CUSUM test, LM test, Non‐monotonic power, Robust tests, Structural change, Volatility break
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