Since conventional cross-validation bandwidth selection methods do not work for the case where the data considered are serially dependent, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth selection methods have been proposed. Our experience...

In this paper we seek a robust methodology to measure the relative public spending efficiency of 19 OECD countries over the period 1980-2000. Based on the functional classification of government expenditure, we decompose total public spending into its separate accounts and we employ a...

This paper investigates whether or not there are significant changes in the dependence between the Thai equity market and six Asian markets - namely, Singaporean, Malaysian, Hong Kong, Korean, Indonesian and Taiwanese markets - due to 1997-July financial crisis. If so, this may be an indication...

We provide Markov chain Monte Carlo (MCMC) algorithms for computing the bandwidth matrix for multivariate kernel density estimation. Our approach is based on treating the elements of the bandwidth matrix as parameters to be estimated, which we do by optimizing the likelihood cross-validation...

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 paper investigates nonparametric estimation of density on [0,1]. The kernel estimator of density on [0,1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation study,...

This paper empirically examines the relationship between fiscal decentralization and public sector efficiency. A country-level dataset is used to measure public sector efficiency in delivering education and health services and the new indices are regressed on well-established decentralization...

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This...

We approximate the error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. We investigate the construction of a likelihood and posterior for bandwidth parameters under this...

This paper examines the relationship between the regulatory and supervision framework and the productivity of banks in 22 countries over the period 1999-2006. We follow a semi-parametric two-step approach that combines Malmquist index estimates with bootstrap regressions. The results indicate...