This paper develops methodology for nonparametric estimation of apolarization measure due to Anderson (2004) and Anderson, Ge, and Leo(2006) based on kernel estimation techniques. We give the asymptoticdistribution theory of our estimator, which in some cases is nonstandard dueto a boundary...

We consider a semiparametric distributed lag model in which the "news impact curve" m isnonparametric but the response is dynamic through some linear filters. A special case ofthis is a nonparametric regression with serially correlated errors. We propose an estimatorof the news impact curve...

In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...

We propose a semiparametric IGARCH model that allows for persistence invariance but also allows for more flexible functional form. We assume that thedifference of the squared process is weakly stationary. We propose an estimationstrategy based on the nonparametric instrumental variable method....

We propose a multivariate generalization of the multiplicative volatility model ofEngle and Rangel (2008), which has a nonparametric long run component and aunit multivariate GARCH short run dynamic component. We suggest variouskernel-based estimation procedures for the parametric and...

In semiparametric binary response models, support conditions on the regressors are required to guarantee point identification of the parameter of interest. For example,one regressor is usually assumed to have continuous support conditional on the other regressors. In some instances, such...