This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...

This paper deals with the changes of aged dependency and aged-child ratios across the administrative districts of South Korea between 1992 and 2010. South Korea faces the most rapidly aging population at present. However, the generational imbalance is highly differentbetween the districts. The...

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

A parameter of an econometric model is identified if there is a one-to-one or many-to-one mapping from the population distribution of the available data to the parameter. Often, this mapping is obtained by inverting a mapping from the parameter to the population distribution. If the inverse...

This paper considers nonparametric estimation of first-price auction models under the monotonicity restriction on the bidding strategy. Based on an integrated-quantile representation of the first-order condition, we propose a tuning-parameter-free estimator for the valuation quantile function....

Many studies have estimated the effect of taxes on taxable income. To account for nonlinear taxes these studies either use instrumental variables approaches that are not fully consistent, or impose strong functional form assumptions. None allow for general heterogeneity in preferences. In this...

We propose inverse probability weighted estimators for the local average treatment effect (LATE) and the local average treatment effect for the treated (LATT) under instrumental variable assumptions with covariates. We show that these estimators are asymptotically normal and efficient. When the...

Within the independent private-values paradigm, we demonstrate nonparametric identification of Dutch and first-price, sealed-bid auction models when bidders are asymmetric. We also demonstrate that, in the presence of a binding reserve price, methods for estimating the distribution of valuations...

Existing indices of residential segregation are based on an arbitrary partition of the city in neighborhoods: given a spatial distribution of racial groups, the index provides different levels of segregation for different partitions. This paper proposes a method in which individual locations are...

Gibrat’s Law of proportional effect (i.e. growth is independent of initial size) has been tested for firms for several decades. In this paper I test Gibrat’s Law for charities in England and Wales through time. Using a data set based on the population of registered charities from 1998 to...