This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

While variable selection and oracle inequalities for the estimation and prediction error have received considerable attention in the literature on high-dimensional models, very little work has been done in the area of testing and construction of confidence bands in high-dimensional models....

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...

Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative...

The purpose of this paper is to characterize three commonly used double unit root tests in terms of their asymptotic local power. To this end, we study a class of nearly doubly integrated processes which in the limit will behave as a weighted integral of a double indexed Ornstein-Uhlenbeck...

We examine some of the consequences on commonly used unit root tests when the underlying series is integrated of order two. It turns out that standard augmented Dickey-Fuller type of tests for a single unit root have excessive density in the explosive region of the distribution. The lower...

This paper examines the limiting properties of the estimated parameters in the random field regression model recently proposed by Hamilton (Econometrica, 2001). Though the model is parametric, it enjoys the flexibility of the nonparametric approach since it can approximate a large collection of...

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local...

This paper develops a specification test for functional form for models identified by moment restrictions, including IV and GMM settings. The general framework is one where the moment restrictions are specified as functions of data, a finite-dimensional parameter vector, and a nonparametric real...