Essays On Nonparametric Econometrics
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Essays On Nonparametric Econometrics With Applications To Consumer And Financial Economics
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Author : Yi Zheng
language : en
Publisher:
Release Date : 2008
Essays On Nonparametric Econometrics With Applications To Consumer And Financial Economics written by Yi Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Credit categories.
Abstract: This dissertation is composed of three chapters centering on nonparametric econometrics with applications to consumer demand system analysis, value-at-risk analysis of commodity future prices, and credit risk analysis of home mortgage portfolios. The first chapter, based on my joint research with Abdoul Sam considers a semiparametric estimation model for a censored consumer demand system with micro data. A common attribute of disaggregated household data is the censoring of commodities. Maximum likelihood and existing two-step estimators of censored demand systems yield biased and inconsistent estimates when the assumed joint distribution of the disturbances is incorrect. This essay proposes a semiparametric estimator that retains the computational advantage of the two-step methods while circumventing their potential distributional misspecification. The key difference between the proposed estimator and existing two-step counterparts is that the parameters of the binary censoring equations are estimated using a distribution-free single-index model. We implement the proposed estimator using household-level data obtained from the Hainan province in China. Horrowitz and Härdle (1994)'s specification test lends support to our approach. The second chapter is an empirical application of a nonparametric estimator of Value-at-Risk on the cattle feeding margin. Value-at-Risk, known as VaR is a common measure of downside market risk associated with an asset or a portfolio of assets. It has been used as a standard tool of predicting potential portfolio losses for twenty years in the financial industry. Recently VaR has gained popularity in agricultural economics literature since the market price risks associated with agricultural commodities are under evaluation. As initial empirical findings suggest that the performance of any VaR estimation technique is sensitive to the types of data set (portfolio composition) used in developing and evaluating the estimates, agricultural data provides a unique laboratory to further explore VaR and its estimation approaches. This essay as a first attempt applies a distribution-free nonparametric kernel estimator of VaR in an agricultural context, the cattle feeding margin using futures data. The empirical results suggest that the nonparametric VaR estimates enjoy a significant efficiency gain without losing much accuracy compared to the parametric estimates. The third chapter measures credit risks associated with residential mortgage loans. Credit risk is the primary source of risk for real estate lenders. Recent advancements in the measurement and management of credit risk give lenders with sophisticated internal risk models a significant comparative advantage over other lenders in terms of capital optimization and risk controlling. This manuscript helps understand the determinants of credit risk and acquire perspectives on how it is distributed in the current or future loan portfolios. This essay contributes to the existing volume of literature as it incorporates the nonparametric estimation technique into default risk analysis. The CreditRisk model is modified and estimated using the consumer side of information. The model identifies the factors determining household default risks and generates a full loan loss distribution at the portfolio level using consumer finance survey data. In the end, portfolio management strategies are discussed.
Three Essays On Nonparametric Econometrics With Applications To Financial Economics And Insurance
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Author : Kuangyu Wen
language : en
Publisher:
Release Date : 2015
Three Essays On Nonparametric Econometrics With Applications To Financial Economics And Insurance written by Kuangyu Wen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This dissertation includes three essays. The first essay concerns nonparametric kernel density estimation on the unit interval. The Kernel Density Estimator (KDE) suffers boundary biases when applied to densities on bounded supports, which are assumed to be the unit interval. Transformations mapping the unit interval to the real line can be used to remove boundary biases. However, this approach may induce erratic tail behaviors when the estimated density of transformed data is transformed back to its original scale. I propose a modified transformation based KDE that employs a tapered and tilted back-transformation. I derive the theoretical properties of the new estimator and show that it asymptotically dominates the naive transformation based estimator while maintains its simplicity. I then propose three automatic methods of smoothing parameter selection. Monte Carlo simulations demonstrate the good finite sample performance of the proposed estimator, especially for densities with poles near the boundaries. An example with real data is provided. The second essay proposes a new kernel estimator of copula densities. The standard kernel estimator suffers boundary biases since copula densities are defined on a bounded support and often tend to infinity on the boundaries. A transformation based estimator aptly remedies both boundary biases and inconsistencies due to unbounded densities. This method, however, might entail undesirable boundary behaviors due to an unbounded multiplicative factor associated with the transformation. I propose a modified transformation-based estimator that employs an infinitesimal tapering device to mitigate the influence of the unbounded multiplier. I establish the asymptotic properties of our estimator and show that it dominates the original transformation estimator in terms of mean squared error due to bias correction. I present two practically simple methods of smoothing parameter selection. I further show that the proposed estimator admits higher order bias reduction for Gaussian copulas and provides outstanding performance for Gaussian and near Gaussian copulas. This appealing feature makes our estimator particularly suitable for financial data analyses. Extensive simulations corroborate our theoretical analysis and demonstrate outstanding performance of the proposed method relative to competing estimators. Three empirical applications are provided. The third essay studies nonparametric estimation of crop yield distributions and crop insurance premium rates. Since U.S. crop yield data are typically available at county level for only a few decades, nonparametric estimation of yield distribution for individual counties suffers from small sample sizes. The fact that nearby counties share similarities in their yield distributions suggests possible efficiency gains through information pooling. I propose a weighted kernel density estimator subject to selected spatial moment restrictions. The weights are calculated using the method of empirical likelihood and the spatial moments are specified based on the consideration of flexibility and robustness. I further extend the proposed method to the adaptive kernel density estimation. My simulations demonstrate the outstanding performance of the proposed methods in the estimation of crop yield distributions and that of crop insurance premium rates. I apply these methods to estimate corn yield distributions and crop insurance premium rates for the ninety-nine counties in Iowa. The electronic version of this dissertation is accessible from http://hdl.handle.net/1969.1/155094
Essays In Nonparametric Econometrics
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Author : Tomasz Olma
language : en
Publisher:
Release Date : 2021*
Essays In Nonparametric Econometrics written by Tomasz Olma and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021* with categories.
Essays In Nonparametric Econometrics
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Author : Timothy Christensen
language : en
Publisher:
Release Date : 2014
Essays In Nonparametric Econometrics written by Timothy Christensen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays In Nonparametric Econometrics
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Author : Michael Vogt
language : en
Publisher:
Release Date : 2011
Essays In Nonparametric Econometrics written by Michael Vogt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Three Essays On Two Stage Estimation In Semiparametric And Nonparametric Econometrics
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Author : Hyungtaik Ahn
language : en
Publisher:
Release Date : 1991
Three Essays On Two Stage Estimation In Semiparametric And Nonparametric Econometrics written by Hyungtaik Ahn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Essays In Nonparametric Econometrics
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Author : Daniel Santiago Morillo
language : en
Publisher:
Release Date : 2000
Essays In Nonparametric Econometrics written by Daniel Santiago Morillo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Essays On Nonparametric Econometrics
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Author : Young Jun Lee
language : en
Publisher:
Release Date : 2019
Essays On Nonparametric Econometrics written by Young Jun Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This dissertation consists of three chapters that focus on the nonparametric method on time-varying parameter models and optimal transport problem. // The first chapter, which is jointly authored with Dennis Kristensen, develops a novel asymptotic theory for local polynomial (quasi-) maximum-likelihood estimators of time-varying parameters in a broad class of nonlinear time series models. Under weak regularity conditions, we show the proposed estimators are consistent and follow normal distributions in large samples. We demonstrate the usefulness of our general results by applying our theory to local (quasi-) maximum-likelihood estimators of a time-varying VAR's, ARCH and GARCH, and Poisson autogressions. // The second chapter proposes a sieve M-estimation of the solution to the optimal transport problem. Many problems in economics, including matching models and quantile methods, have the structure of an optimal transport problem. The sieve M-estimator is consistent under very little structure on the underlying optimal transport problem being solved. I then derive convergence rates for the estimator and its derivative when the surplus function Φ(X, Y) = X"2Y. The derived convergence rates are the same as the optimal rate in the context of regression and density estimations. The results can be extended to the conditional optimal transport problem having the conditional vector quantiles as an application. // In the third chapter, I consider the multidimensional matching as one of the primary applications of the optimal transport problem. We employ the sieve simultaneous minimum distance estimation method to estimate the parameters in the equilibrium wage and assignment functions. Our estimation results show that worker-job complementarities in manual skills strongly decreased, whereas complementarities in cognitive skills increased. This phenomenon is consistent with the one of Lindenlaub (2017).
Essays On Applied Nonparametric Econometrics
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Author : Sabrina Maria Dorn
language : en
Publisher:
Release Date : 2015
Essays On Applied Nonparametric Econometrics written by Sabrina Maria Dorn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Essays On Applied Nonparametric Econometrics
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Author : Sabrina Dorn
language : en
Publisher:
Release Date : 2015
Essays On Applied Nonparametric Econometrics written by Sabrina Dorn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.