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作者：Foster, DP; Nelson, DB
作者单位：University of Chicago; National Bureau of Economic Research
摘要：It is widely known that conditional covariances of asset returns change over time. Researchers doing empirical work have adopted many strategies for accommodating conditional heteroskedasticity. Among the popular strategies are: (a) chopping the available data into short blocks of time and assuming homoskedasticity within the blocks, (b) performing one-sided rolling regressions, in which only data from, say, the preceding five year period is used to estimate the conditional covariance of retur...
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作者：Cowell, FA; VictoriaFeser, MP
作者单位：University of London; London School Economics & Political Science
摘要：Inequality measures are often used to summarize information about empirical income distributions. However the resulting picture of the distribution and of changes in the distribution can be severely distorted if the data are contaminated. The nature of this distortion will in general depend upon the underlying properties of the inequality measure. We investigate this issue theoretically using a technique based on the influence function, and illustrate the magnitude of the effect using a simula...
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作者：Horowitz, JL
摘要：This paper presents a method for estimating the model Lambda(Y) = beta'X + U, where Y is a scalar, Lambda is an unknown increasing function, X is a vector of explanatory variables, beta is a vector of unknown parameters, and U has unknown cumulative distribution function F. It is not assumed that Lambda and F belong to known parametric families; they are estimated nonparametrically. This model generalizes a large number of widely used models that make stronger a priori assumptions about Lambda...
