This paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to describe economic cycles through a...

The objective of this paper is to evaluate the effect of the 1985 “Employment Services for Ex-Offenders†(ESEO) program on recidivism. Initially, the sample has been split randomly in a control group and a treatment group. However, the actual treatment (mainly being job related...

In this paper we propose a consistent test of the linearity of quantile regression models, similar to the Integrated Conditional Moment (ICM) test of Bierens (1982) and Bierens and Ploberger (1997). This test requires re-estimation of the quantile regression model by minimizing the ICM test...

Given observations on a stationary economic vector time series process we show that the best <italic>h</italic>-step ahead forecast (best in the sense of having minimal mean square forecast error) of one of the variables can be consistently estimated by nonparametric regression on an ARMA memory index. Our...

In this paper we propose consistent integrated conditional moment tests for the validity of parametric conditional distribution models, based on the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the...

In this paper we specify a semi-nonparametric competing risks (SNP-CR) model of recidivism, for misdemeanors and felonies. The model is a bivariate mixed proportional hazard model with Weibull baseline hazards and common unobserved heterogeneity. The distribution of the latter is modeled...

In this paper I propose estimating distributions on the unit interval semi-nonparametrically using orthonormal Legendre polynomials. This approach will be applied to the interval-censored mixed proportional hazard (ICMPH) model, where the distribution of the unobserved heterogeneity is modeled...