We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered...

We propose a semiparametric varying-coefficient estimator that admits both qualitative and quantitative covariates along with a test for correct specification of parametric varying-coefficient models. The proposed estimator is exceedingly flexible and has a wide range of potential applications...

We consider the problem of estimating a nonparametric regression model containing categorical regressors only. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for...