Browsing Documentos de Trabajo e Informes Técnicos by Author "Orbe Mandaluniz, Susan"
Now showing items 1-6 of 6
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A time varying coefficient model for panel data: Foreign Direct Investment in European OECD countries
The present article reexamines some of the issues regarding the Knowledge-Capital Model that encompasses both horizontal and vertical Foreign Direct Investment described in detail in the literature. The empirical support ... -
Benchmarking of patents: An application of GAM methodology
The present article reexamines some of the issues regarding the benchmarking of patents using the NBER data base on U.S. patents by generalizing a parametric citation model and by estimating it using GAM methodology. The ... -
Conditional beta pricing models: A nonparametric approach
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ... -
Nonparametric estimation betas in the Market Model
In this study an alternative nonparametric estimator to the Fama and MacBeth approach for the CAPM estimation is proposed. Betas and risk premiums are estimated simultaneously in order to increase the explanatory power of ... -
Nonparametric estimation of time varying parameters under shape restrictions
In this paper we propose a new method to estimate nonparametrically a time varying parameter model when some qualitative information from outside data (e.g. seasonality) is available. In this framework we make two main ... -
Time-Varying Beta Estimators in the Mexican Emerging Market
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study ...