We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...

This paper proposes a class of locally stationary diffusion processes. The model has a time varying but locally linear drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown quantities based on long span data. Our estimation...

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

Local linear fitting is a popular nonparametric method in nonlinear statistical and econometric modelling. Lu and Linton (2007) established the point wise asymptotic distribution (central limit theorem) for the local linear estimator of nonparametric regression function under the condition of...

Bajari, Benkard and Levin (2007) propose an estimation methodology for a broad class of dynamic optimization problems. To carry out their procedure, one needs to select a set of alternative policy functions and compare the implied expected payoffs with that from the data. We show that this can...

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...

Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space or space-time. Consistency and asymptotic normality of nonlinear least squares estimates of the parameters are...

Many important models, such as index models widely used in limited dependent variables, partial linear models and nonparametric demand studies utilize estimation of average derivatives (sometimes weighted) of the conditional mean function. Asymptotic results in the literature focus on situations...

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...