This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

This paper is the attempt to summarize the state of art in additive and generalized additive models (GAM). The emphasis is on approaches and numerical procedures which have emerged since the monograph of Hastie and Tibshirani (1990) although reconsidering certain aspects of their work. Apart...

A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

Additive modelling has been widely used in nonparametric regression to circumvent the "curse of dimensionality", by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...

Additive modelling is known to be useful for multivariate nonparametric regression as it reduces the complexity of problem to the level of univariate regression. This usefulness could be compromised if the data set was contaminated by outliers whose detection and removal are particularly...

Chaudhuri, Doksum and Samarov (1997) have recently stressed the usefulness of the quantile regression formulation for survival analysis and for transformation models, more generally. In this paper, we explore the use of quantile regression in survival analysis by reanalysing a large experimental...