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Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
(2008-02)
The choice of the bandwidth in the local log-periodogram regression is of crucial importance for estimation of the memory parameter of a long memory time series. Different choices may give rise to completely different ...
Survival Analysis Using a Censored Semiparametric Regression Model
(2000-04)
In this work we study the effect of several covariates X on a censored response variable T with unknown probability distribution. A semiparametric model is proposed to consider situations where the functional form of the ...
Nonparametric estimation betas in the Market Model
(2006)
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 ...
Benchmarking of patents: An application of GAM methodology
(2007-04)
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 ...