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Nonparametric (statistical) methods in modern econometrics

Project goals

We want to conduct some meaningful and fruitful econometric research into multiple-output regression quantiles and related concepts of nonparametric statistics. In particular, we intend (a) to explore the use of directional and elliptical (regression) quantiles for statistical inference, (b) to generalize the elliptical (regression) quantiles in a few ways, and (c) to illustrate possible application of new methods in econometrics.

Keywords

multivariate quantileregression quantileconditional heteroscedasticityregression modeleconometric application

Public support

  • Provider

    Czech Science Foundation

  • Programme

    Standard projects

  • Call for proposals

    Standardní projekty 21 (SGA0201700001)

  • Main participants

    Ústav teorie informace a automatizace AV ČR, v. v. i.

  • Contest type

    VS - Public tender

  • Contract ID

    17-07384S

Alternative language

  • Project name in Czech

    Neparametrické (statistické) metody v moderní ekonometrii

  • Annotation in Czech

    Chceme provádět smysluplný a plodný ekonometrický výzkum mnohorozměrných regresních kvantilů a souvisejících konceptů neparametrické statistiky. Zejména hodláme (a) prozkoumat využití směrových a eliptických (regresních) kvantilů pro statistickou inferenci, (b) několika způsoby zobecnit dosavadní eliptické (regresní) kvantily a (c) ilustrovat možné využití nových metod v ekonometrii.

Scientific branches

  • R&D category

    ZV - Basic research

  • CEP classification - main branch

    BB - Applied statistics, operational research

  • CEP - secondary branch

    BA - General mathematics

  • CEP - another secondary branch

    —

  • 10101 - Pure mathematics
    10103 - Statistics and probability

Solution timeline

  • Realization period - beginning

    Jan 1, 2017

  • Realization period - end

    Dec 31, 2021

  • Project status

    —

  • Latest support payment

    Apr 4, 2019

Data delivery to CEP

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

  • Data delivery code

    CEP21-GA0-GA-R/13:1

  • Data delivery date

    Feb 22, 2021

Finance

  • Total approved costs

    3,793 thou. CZK

  • Public financial support

    3,226 thou. CZK

  • Other public sources

    567 thou. CZK

  • Non public and foreign sources

    0 thou. CZK

Basic information

Recognised costs

3 793 CZK thou.

Public support

3 226 CZK thou.

85%

Provider

Czech Science Foundation

CEP

BB - Applied statistics, operational research

Solution period

01. 01. 2017 - 31. 12. 2021

Similar projects(10)

Multivariate regression quantiles in econometrics (GA14-07234S) Quantile regression (ME 381) Statistical Inference in Linear Model Based on Regression Rank Scores and Regression Quantiles (GA201/93/2168)