We consider nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. Most of the existing works on asymptotic distributions of a nonparametric/semiparametric estimator or a test statistic are based on some deterministic smoothing...

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the US asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and...

In this paper we consider the problem of estimating nonparametric panel data models with fixed effects. We introduce an iterative nonparametric kernel estimator. We also extend the estimation method to the case of a semiparametric partially linear fixed effects model. To determine whether a...

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....