This paper is concerned with the estimation and inference of nonparametric and semiparametric additive models in the presence of discrete variables and dependent observations. Among the different estimation procedures, the method introduced by Linton and Nielsen, based in marginal integration,...

In this paper we analyze empirically different specifications of a sample selection model. We are interested in how the estimates vary across alternative assumptions concerning the joint conditional distribution of the sample selection equation errors, such us the specification of error...

The discussion about the use of semiparametric analysis in empirical research in economics is as old as the methods are. This article can certainly not be more than a small contribution to the polemic question how useful is non- or semiparametric statistics for applied econometrics. The goal is...

Economists use partial and general equilibrium trade simulation models to estimate the impact of changes in domestic policies and international trade rules. During the WTO Doha Development Agenda (DDA) negotiations economists have produced many different estimates of the gains that would result...

Imagine we have two different samples and are interested in doing semi- or nonparametric regression analysis in each of them, possibly on the same econometric model. In this article we consider the problem of testing whether a specific covariate has different impacts on the regression curve in...

Over the last four decades, several methods for selecting the smoothing parameter, generally called the bandwidth, have been introduced in kernel regression. They differ quite a bit, and although there already exist more selection methods than for any other regression smoother we can still see...

This article proposes a simple and fast approach to build simultaneous confi dence bands and perform specification tests for smooth curves in additive models. The method allows for handling of spatially heterogeneous functions and its derivatives as well as heteroscedasticity in the data. It is...

The Africa-Dummy has been identfi ed and different explanations for its appearance have been published. In this paper, the issue of the empirical identifcation of the Africa-Dummy is addressed. We introduce a fixed effects regression model to identify the Africa-Dummy in one regression step so...

We present an integration based procedure for predicting the distribution f of an indicator of interest in situations where, in addition to the sample data, one has access to covariates that are available for the entire population. The proposed method, based on similar ideas that have been used...

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...