On estimating the nonparametric multiplicative error models

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 143
Issue: C
Pages: 66-68

Authors (2)

Li, Shuo (not in RePEc) Tu, Yundong (Peking University)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In a nonparametric multiplicative error model, this paper considers estimation of the regression mean function when the error is conditional homoscedastic. To exploit the conditional homoscedasticity information, we propose to estimate the conditional mean function using nonparametric generalized method of moments. The resulted estimator is shown to be asymptotically normal and enjoy superior finite sample properties in Monte Carlo simulations.

Technical Details

RePEc Handle
repec:eee:ecolet:v:143:y:2016:i:c:p:66-68
Journal Field
General
Author Count
2
Added to Database
2026-01-29