We consider the nonparametric regression model with an additive error that is correlated with the explanatory variables. We suppose the existence of instrumental variables that are considered in this model for the identification and the estimation of the regression function. The nonparametric...

The paper introduces a new nonparametric estimator of the spectral density that is given in smoothing the periodogram by the probability density of Beta random variable (Beta kernel). The estimator is proved to be bounded for short memory data, and diverges at the origin for long memory data....