Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link function in the models and a profile approach...

Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path...

This study introduces, for the first time, the concept of item specific purchasing power parity (PPP) between countries that marks a significant departure from exercises such as the International Comparison Program (ICP). The paper proposes a methodology for the estimation of the item specific...

This paper proposes a preference based methodology, analogous to the estimation of equivalence scales in the demographic demand literature, for the estimation of the item specific intra country PPPs (i.e. spatial prices) and inter country PPPs in a unified framework using unit records of...

This paper examines whether a country’s economic reforms are affected by reforms adopted by other countries. A simple model of economic reforms is developed to motivate the econometric work. Unsurprisingly, the model predicts that reforms are more likely when factors of production are...

In this paper, we study semiparametric estimation for a single-index panel data model where the nonlinear link function varies among the individuals. We propose using the refined minimum average variance estimation method to estimate the parameter in the single-index. As the cross-section...

This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the...

In this paper, we consider semiparametric estimation in a partially linear single-index panel data model with fixed effects. Without taking the difference explicitly, we propose using a semiparametric minimum average variance estimation (SMAVE) based on a dummy-variable method to remove the...

Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this...

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A pooled semiparametric profile likelihood dummy variable approach based on the...