In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation....

We consider the problem of obtaining appropriate weights for averaging M approximate (misspecified) models for improved estimation of an unknown conditional mean in the face of non-nested model uncertainty in heteroskedastic error settings. We propose a “jackknife model averaging” (JMA)...

Many practical problems require nonparametric estimates of regression functions, and local polynomial regression has emerged as a leading approach. In applied settings practitioners often adopt either the local constant or local linear variants, or choose the order of the local polynomial to be...