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作者：Calin, OL; Chen, Y; Cosimano, TF; Himonas, AA
作者单位：Eastern Michigan University; Idaho State University; University of Notre Dame; University of Notre Dame
摘要：We present a new method for solving asset pricing models, which yields an analytic price-dividend function of one state variable. To illustrate our method we give a detailed analysis of Abel's asset pricing model. A function is analytic in an open interval if it can be represented as a convergent power series near every point of that interval. In addition to allowing us to solve for the exact equilibrium price-dividend function, the analyticity property also lets us assess the accuracy of any ...
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作者：Nishiyama, Y; Robinson, PM
作者单位：Kyoto University; University of London; London School Economics & Political Science
摘要：In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of interest, especially in sample sizes that are not enormous. We show that a bootstrap distribution achieves a valid Edgeworth correction in the case of density-weighted averaged derivative estimates of sem...
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作者：Hong, YM; White, H
作者单位：Cornell University; Cornell University; Tsinghua University; University of California System; University of California San Diego
摘要：Entropy is a classical statistical concept with appealing properties. Establishing asymptotic distribution theory for smoothed nonparametric entropy measures of dependence has so far proved challenging. In this paper, we develop an asymptotic theory for a class of kernel-based smoothed nonparametric entropy measures of serial dependence in a time-series context. We use this theory to derive the limiting distribution of Granger and Lin's (1994) normalized entropy measure of serial dependence, w...
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作者：Tang, XL; King, I
作者单位：University of Auckland
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作者：Anatolyev, S
作者单位：New Economic School
摘要：For stationary time series models with serial correlation, we consider generalized method of moments (GMM) estimators that use heteroskedasticity and autocorrelation consistent (HAC) positive definite weight matrices and generalized empirical likelihood (GEL) estimators based on smoothed moment conditions. Following the analysis of Newey and Smith (2004) for independent observations, we derive second order asymptotic biases of these estimators. The inspection of bias expressions reveals that t...
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作者：Heckman, JJ; Vytlacil, E
作者单位：University of Chicago; Stanford University
摘要：This paper uses the marginal treatment effect (MTE) to unify the nonparametric literature on treatment effects with the econometric literature on structural estimation using a nonparametric analog of a policy invariant parameter; to generate a variety of treatment effects from a common serniparametric functional form; to organize the literature on alternative estimators; and to explore what policy questions commonly used estimators in the treatment effect literature answer. A fundamental asymm...
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作者：Linton, O; Mammen, E
作者单位：University of London; London School Economics & Political Science; University of Mannheim
摘要：We investigate a class of semiparametric ARCH(infinity) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the news impact function. We show that the functional part of the model satisfies a type II linear integral equation and give simple conditions under which there is a unique solution. We propose an estimation method that is based on kernel smo...
