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econ.EM2023
Estimation and Inference for a Class of Generalized Hierarchical Models
Chaohua Dong, Jiti Gao, Bin Peng +1
In this paper, we consider estimation and inference for the unknown parameters and function involved in a class of generalized hierarchical models. Such models are of great interes…
econ.EM2023
Smoothing the Nonsmoothness
Chaohua Dong, Jiti Gao, Bin Peng +1
To tackle difficulties for theoretical studies in situations involving nonsmooth functions, we propose a sequence of infinitely differentiable functions to approximate the nonsmoot…
econ.EM2023
Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
Chaohua Dong, Jiti Gao, Yundong Tu +1
Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew…