This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, they show that any continuous function of multiple...

We examine market volatility across an automated periodic auction mechanism and a continuous automated auction, using data on five futures contracts traded on the GLOBEX trading system. The analysis is supplemented by a comparison of the periodic market with floor trading. Our data permit...

In this paper, we consider expectations of the form E[log(y)|x] = a'log(x) as a good starting point for a more general analysis. We show why this naturally leads to the following flexible functional form E[y|x] = f(h(x)), where all functions are estimated by cubic splines. One of the main goals...

We ask whether foreign equity ownership affects the stability of information signals that are absorbed into prices in an emerging economy. We address both the effect of ownership restrictions exogenously imposed on stock ownership and the impact of introducing or widening foreign ownership...

Almost all economic data sets are discretized or rounded to some extent. This paper proposes a regression and a density estimator that work especially well when the data is very discrete. The estimators are a weighted average of the data, and the weights are composed of cubic B-splines. Unlike...

SNP is a method of nonparametric time series analysis. The method employs a polynomial series expansion to approximate the conditional density of a multivariate process. An appealing feature of the expansion is that it directly nests familiar models such as a pure VAR, a pure ARCH, a nonlinear...

A common model for security price dynamics is the continuous time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...

We introduce reprojection as a general purpose technique for characterizing the observable dynamics of a partially observed nonlinear system. System parameters are estimated by method of moments wherein moments implied by the system are matched to moments implied by the transition density for...

This Guide shows how to use the computer package EMM, whicih implements the estimator described in "Which Moments to Match" (Gallant and Tauchen, 1994). The term EMM refers to Efficient Method of Moments. The Guide provides an overview of the estimator, instructions on how to acquire the...