This paper develops methodology for nonparametric estimation of a measure of the overlap of two distributions based on kernel estimation techniques. This quantity has been proposed as a measure of economic polarization between two groups, Anderson (2004) and Anderson et al. (2010). In ecology...

Let r(x,z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses the identification and consistent estimation of the unknown functions H, M, G and F, where r(x,z)=H[M(x,z)], M(x,z)=G(x)+F(z), and H is strictly monotonic. An...

We propose a new method of testing stochastic dominance that improves on existing tests based on the standard bootstrap or subsampling. The method admits prospects involving infinite as well as finite dimensional unknown parameters, so that the variables are allowed to be residuals from...

We propose an econometric model that captures the effects of market microstructure on a latent price process. In particular, we allow for correlation between the measurement error and the return process and we allow the measurement error process to have a diurnal heteroskedasticity. We propose a...