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...

Research in empirical health economics has found that the relationship between medical expenditures and age, income and other variables can be highly nonlinear. Moreover, men and women can have quite different medical expenditure patterns due to their differences in life expectancy. Thus it may...

In this paper we consider the problem of estimating a non-parametric regression function using the k nearest-neighbour method. We provide asymptotic theories for the least-squares cross validation (CV) selected smoothing parameter k for both local constant and local linear estimation methods. We...