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职业迁徙
个人简介
My research contribution has mostly been to do with nonparametric and semiparametric methods. I am also interested in Financial Econometrics.
Investigation of the curse of dimensionality, leads one to consider models like additive regression that only involve one-dimensional functions. My work with Jens Perch Nielsen led to a number of papers on estimating additive and other separable models. We introduced a new method which we called marginal integration for estimating additive nonparametric regression. More recently, I have worked with Jens Perch Nielsen and Enno Mammen on deriving the asymptotic properties of a general class of iterative smoothing procedures which includes as a special case a variant of backfitting. It turns out that the backfitting method can be shown to be more efficient than the marginal integration method (under homoskedasticity) and to be better behaved in the boundaries, although the finite sample comparison is more complex, see the simulation study by Stefan Sperlich. I am also working with Arthur Lewbel on estimating a general class of nonparametric index models, which includes models for censored and truncated regression as well as models representing homotheticity. These structures also lead to non-standard estimation problems.
Investigation of the curse of dimensionality, leads one to consider models like additive regression that only involve one-dimensional functions. My work with Jens Perch Nielsen led to a number of papers on estimating additive and other separable models. We introduced a new method which we called marginal integration for estimating additive nonparametric regression. More recently, I have worked with Jens Perch Nielsen and Enno Mammen on deriving the asymptotic properties of a general class of iterative smoothing procedures which includes as a special case a variant of backfitting. It turns out that the backfitting method can be shown to be more efficient than the marginal integration method (under homoskedasticity) and to be better behaved in the boundaries, although the finite sample comparison is more complex, see the simulation study by Stefan Sperlich. I am also working with Arthur Lewbel on estimating a general class of nonparametric index models, which includes models for censored and truncated regression as well as models representing homotheticity. These structures also lead to non-standard estimation problems.
研究兴趣
论文共 390 篇作者统计合作学者相似作者
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JOURNAL OF BUSINESS & ECONOMIC STATISTICSno. 2 (2024): 367-390
ECONOMETRIC REVIEWS (2024)
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETYno. 1 (2024): 158-177
JOURNAL OF ECONOMETRICSno. 2 (2024): 105603-105603
arxiv(2023)
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INTERNATIONAL JOURNAL OF FORECASTINGno. 4 (2023): 1945-1948
arXiv (Cornell University) (2023)
Journal of Econometricspp.105382, (2023)
Social Science Research Networkno. 2 (2023): 779-815
International Journal of Forecastingno. 4 (2023): 1945-1948
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