A new test is proposed for the weak white noise null hypothesis. The test is based on a new automatic selection of the order for a Box–Pierce (1970) test statistic or the test statistic of Hong (1996). The heteroskedasticity and autocorrelation-consistent (HAC) critical values from Lee (2007)...

This paper deals with nonparametric regression estimation under arbitrary sampling with an unknown distribution. The effect of the distribution of the design, which is a nuisance parameter, can be eliminated by conditioning. An upper bound for the conditional mean squared error of k-NN estimates...

This paper studies the nonparametric identification of the first-price auction model with risk averse bidders within the private value paradigm. First, we show that the benchmark model is nonindentified from observed bids. We also derive the restrictions imposed by the model on observables and...