O
Oliver Linton
Researcher at University of Cambridge
Publications - 447
Citations - 13008
Oliver Linton is an academic researcher from University of Cambridge. The author has contributed to research in topics: Estimator & Nonparametric statistics. The author has an hindex of 55, co-authored 425 publications receiving 12055 citations. Previous affiliations of Oliver Linton include University of Illinois at Urbana–Champaign & Yale University.
Papers
More filters
Journal ArticleDOI
Consistent estimation of a general nonparametric regression function in time series
Oliver Linton,Alessio Sancetta +1 more
TL;DR: In this article, an estimator of the conditional distribution of X t | X t − 1, X t−2, X − 2, …, and the corresponding regression function was proposed.
Posted Content
Efficient estimation of a semiparametric characteristic-based factor model of security returns
TL;DR: In this article, a weighted additive nonparametric regression model is proposed to estimate the factor returns and the characteristic-beta functions of a factor model, with factor returns serving as time-varying weights, and a set of univariate non-parametric functions relating security characteristic to the associated factor betas.
Journal ArticleDOI
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
TL;DR: In this article, the authors established the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable estimator considered in Newey (Econometrica 58 (1990) 809) as well as to a Wald statistic derived from it.
Posted Content
Nonparametric Estimation of a Polarization Measure
TL;DR: In this article, a nonparametric estimation of a polarization measure based on kernel estimation techniques is proposed, which yields consistent inference in all cases we consider, and we investigate the finite sample properties of our methods by simulation methods.
Posted Content
A Smoothed Least Squares Estimator for Threshold Regression Models
Oliver Linton,Myung Hwan Seo +1 more
TL;DR: A smoothed least squares estimator of the parameters of a threshold regression model that generalizes that considered in Hansen (2000) to allow the thresholding to depend on a linear index of observed regressors, thus allowing discrete variables to enter.