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New Procedures for Multiple Testing of Econometric Models

Title
New Procedures for Multiple Testing of Econometric Models
Funding
ARC | Discovery Projects
Contract (GA) number
DP0664926
Start Date
2006/01/01
End Date
2008/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/DP0664926

 

  • A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation.

    Xibin Zhang; Robert D. Brooks; Maxwell L. King (2007)
    Projects: ARC | New Procedures for Multiple Testing of Econometric Models (DP0664926)
    Multivariate kernel regression is an important tool for investigating the relationship between a response and a set of explanatory variables. It is generally accepted that the performance of a kernel regression estimator largely depends on the choice of bandwidth rather than the kernel function. This nonparametric technique has been employed in a number of empirical studies including the state-price density estimation pioneered by Aït-Sahalia and Lo (1998). However, the widespread usefulness ...
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