For local and average kernel based estimators, smoothness conditions ensure that the kernel order determines the rate at which the bias of the estimator goes to zero and thus allows the econometrician to control the rate of convergence. In practice, even with smoothness the estimation errors may...

Many important models, such as index models widely used in limiteddependent variables, partial linear models and nonparametric demand studiesutilize estimation of average derivatives (sometimes weighted) of theconditional mean function. Asymptotic results in the literature focus onsituations...

We introduce an alternative version of the Fama-French three-factor model of stockreturns together with a new estimation methodology. We assume that the factorbetas in the model are smooth nonlinear functions of observed securitycharacteristics. We develop an estimation procedure that combines...