We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt where {Xt} and {Zt} are observed nonstationary processes and {Wt} is a stationary process. IN econometrics this can be interpreted as a nonlinear cointegration type...

This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on...

This paper proposes a nonparametric test of the non-convexity of a smooth regression function based on least squares or hybrid splines. By a simple formulation of the convexity hypothesis in the class of all polynomial cubic splines, we build a test which has an asymptotic size equal to the...

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...

We consider the partially linear model relating a response Y to predictors (X,T) with mean function XT β + g(T) when the T's are measured with additive error. We derive an estimator of β by modification local-likelihood method. The resulting estimator of β is shown to be asymptotically...