 | University College London Verified email at ucl.ac.uk Cited by 546 |
R Blundell, X Chen… - Econometrica, 2007 - Wiley Online Library
This paper studies a shape-invariant Engel curve system with endogenous total
expenditure, in which the shape-invariant specification involves a common shift parameter
for each demographic group in a pooled system of nonparametric Engel curves. We focus ...
D Kristensen - Econometric Theory, 2010 - Cambridge Univ Press
A kernel weighted version of the standard realized integrated volatility estimator is proposed.
By different choices of the kernel and bandwidth, the measure allows us to focus on specific
characteristics of the volatility process. In particular, as the bandwidth vanishes, an ...
D Kristensen… - Econometric Theory, 2005 - Cambridge Univ Press
Abstract Strong consistency and asymptotic normality are established for the quasi-
maximum likelihood estimator for a class of ARCH (q) models. The conditions are that the
ARCH process is geometrically ergodic with a moment of arbitrarily small order. ...
D Kristensen… - Econometric Theory, 2006 - Cambridge Univ Press
We propose a closed-form estimator for the linear GARCH~ 1, 1! model+ The estimator has
the advantage over the often used quasi-maximum likelihood estimator~ QMLE! that it can
be easily implemented and does not require the use of any numerical optimization ...
D Kristensen - Econometric Theory, 2009 - Cambridge Univ Press
The main uniform convergence results of Hansen (2008, Econometric Theory 24, 726–748)
are generalized in two directions: Data are allowed to (a) be heterogeneously dependent
and (b) depend on a (possibly unbounded) parameter. These results are useful in ...
Two classes of semiparametric diffusion models are considered, where either the drift or the
diffusion term is parameterized, while the other term is left unspecified. We propose a
pseudo-maximum likelihood estimator (PMLE) of the parametric component that ...
We propose an easy-to-implement simulated maximum likelihood estimator for dynamic
models where no closed-form representation of the likelihood function is available. Our
method can handle any simulable model without latent dynamics. Using simulated ...
S Kanaya… - CREATES Research Papers, 2010 - ideas.repec.org
A two-step estimation method of stochastic volatility models is proposed: In the first step, we
estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen
(2010, Econometric Theory 26). In the second step, standard estimation methods for fully ...
A Jeffrey,
D Kristensen, O Linton… - Journal of Financial …, 2004 - Oxford Univ Press
Abstract We propose a new nonparametric estimator for the volatility structure of the zero-
coupon yield curve inside the Heath-Jarrow-Morton framework. The estimator incorporates
cross-sectional restrictions along the maturity dimension, and also allows for ...
D Kristensen - Manuscript, Columbia University, 2008 - papers.ssrn.com
Abstract: A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are
developed given a preliminary parametric estimator of the diffusion (drift) term. Under
regularity conditions, rates of convergence and asymptotic normality of the nonparametric ...
M Creel,
D Kristensen - Manuscript, Department of Economics, …, 2009 - papers.ssrn.com
ABSTRACT. Given a model that can be simulated, conditional moments at a trial parameter
value can be calculated with high accuracy by applying kernel smoothing methods to a long
simulation. With such conditional moments in hand, standard method of moments ...
[CITATION] Semiparametric Engel Curves with Endogenous Expenditure
R Blundell, X Chen… - Econometrica, 2003
D Kristensen… - Econometric Theory, 2004 - Cambridge Univ Press
In vector form the disturbances can be written as u Zm m Zl ln, where Zm IN iT, IN is an
identity of dimension T, and iN is a vector of ones dimension N, Zl iN IT, m is of dimension N
1, l is of dimension T 1, and n is of dimension NT 1+ In general, if D@ X1, X2# then PD ...
Linear parabolic partial differential equations (PDE's) and diffusion models are closely
linked through the celebrated Feynman–Kac representation of solutions to PDE's. In asset
pricing theory, this leads to the representation of derivative prices as solutions to PDE's. ...
We propose a semiparametric single-factor diffusion model for the term structure of interest
rate. The This model is highly flexible and encompasses most parametric single-factor
models proposed in the literature. We fit the semiparametric model to a proxy of the ...
We consider a class of nonlinear vector error correction models where the transfer function
(or loadings) of the stationary relationships is nonlinear. This includes in particular the
smooth transition models. A general representation theorem is given which establishes ...
D Kristensen… - Journal of Time Series Econometrics, 2009 - degruyter.com
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear
ARCH (q) models--including for example Asymmetric Power ARCH and log-ARCH--are
derived. Strong consistency is established under the assumptions that the ARCH process ...
Abstract. This paper derives sufficient conditions for nonparametric transformation models to
be identified and develops estimators of the identified components. Our nonparametric
identification result is global, and is derived under conditions that are substantially weaker ...
Abstract This paper develops new techniques for the estimation and testing of stochastic
consumer demand models. Particular attention is given to nonseparable unoberserved
heterogeneity. The objective is to elicit demand responses from consumer expenditure ...
D Kristensen… - Journal of financial economics, 2011 - Elsevier
We develop a new approach to approximating asset prices in the context of continuous-time
models. For any pricing model that lacks a closed-form solution, we provide a closed-form
approximate solution, which relies on the expansion of the intractable model around an “ ...
Novel transition-based misspecification tests of semiparametric and fully parametric
univariate diffusion models based on the estimators developed in [Kristensen, D., 2010.
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models. ...
D Kristensen - Man'uscript, Columbia University, 2006 - 89.96.248.67
Abstract We propose two classes of semiparametric single'factor diffusion models for the
term structure of interest rate. The models are highly flexible and encompass any parametric
single'factor model proposed in the literature. We estimate a specific semiparametric ...
Abstract: Semiparametric models are characterized by a finite-and infinite-dimensional
(functional) component. As such they allow for added flexibility over fully parametric models,
and at the same time estimators of parametric components can be developed that exhibit ...
S Kanaya… - Manuscript, Department of Economics, …, 2010 - indiana.edu
Abstract This paper considers sampling schemes and bandwidth choices for kernel $ based
nonparametric estimators of continuous $ time diffusion processes. Given the process is
observed discretely over [0, T] with T & (, we analyze mean $ squared error (MSE) ...
D Kristensen… - Manuscript, Department of Economics, …, 2006 - eea-esem.com
Abstract We propose a nonparametric simulated maximum likelihood estimation (NPSMLE)
with built-in nonlinear filtering. By recursively approximating the unknown conditional
densities, our method enables a maximum likelihood estimation of general dynamic ...
R Blundell,
D Kristensen… - CeMMAP working papers, 2011 - cemmap.ac.uk
Abstract This paper develops a new technique for the estimation of consumer demand
models with unob& served heterogeneity subject to revealed preference inequality
restrictions. Particular attention is given to nonseparable heterogeneity. The inequality ...
Given a sample from a fully specified parametric model, let Zn be a given finite-dimensional
statistic-for example, an initial estimator or a set of sample moments. We propose to (re-)
estimate the parameters of the model by maximizing the likelihood of Zn. We call this the ...
We propose a nonparametric approach to the estimation and testing of structural change in
time series regression models. Under the null of a given set of the coefficients being
constant, we develop estimators of both the nonparametric and parametric components. ...
[CITATION] ECON 715# ECONOMETRIC METHODS LECTURE NOTES
D Kristensen - 2007
Abstract: A two-step estimation method of stochastic volatility models is proposed: In the first
step, we estimate the (unobserved) instantaneous volatility process using the estimator of
Kristensen (2010, Econometric Theory 26). In the second step, standard estimation ...
A Jeffrey,
D Kristensen, O Linton… - Journal of financial …, 2004 - eprints.lse.ac.uk
Abstract In this paper we propose a method for maximum-likelihood estimation of an ergodic
diffusion when only the drift or diffusion term is specified. The method is based on the
functional relationship between the drift, diffusion and the invariant density. The properties ...
[CITATION] Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Asset Prices Models¤
Abstract In this paper, we consider an estimator that explores the second order properties of
the error term in unit root test, which is not treated explicitly in the original ADF test or only
treated in parametric Maximum Likelihood framework. The difference of this paper from ...
Abstract: We propose a semiparametric single-factor diffusion model for the term structure of
interest rate. The model is highly flexible and encompasses most parametric single-factor
models proposed in the literature. We fit the semiparametric model to a proxy of the ...
Semiparametric models are characterized by a finite-and infinite-dimensional (functional)
component. As such they allow for added flexibility over fully parametric models, and at the
same time estimators of parametric components can be developed that exhibit standard ...
D Kristensen… - Econometric Theory, 2003 - Cambridge Univ Press
In a recent paper Engle and Sheppard (2001) have used a “target variance” approach to
estimate a class of multivariate generalized autoregressive conditional heteroskedasticity
(GARCH) models. The question we pose here is how to derive the asymptotic distribution ...
Abstract In this paper we propose a method for estimation of an ergodic diffusion when only
the drift or diffusion term is specified. The method is based on the functional relationship
between the drift, diffusion and the invariant density. The properties of the estimator are ...
Create email alert
About Google Scholar - All About Google - My Citations
©2012 Google