The problem of estimation of the finite dimensional parameter in a partial linear model is considered. We derive upper and lower bounds for the second minimax order risk and show that the second order minimax estimator is a penalized maximum likelihood estimator. It is well known that the...

Optimal bandwidths for local polynomial regression usually involve functionals of the derivatives of the unknown regression function. In the multivariate case, estimates of these functionals are not readily available, primarily because estimating multivariate derivatives is complicated. In this...

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the...

The economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various...

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Couples from Western countries tend to delay their pregnancies, which may affect their ability to obtain a live birth. We assessed the association between male age and the risk of spontaneous abortion taking into account woman's age. We performed telephone interviews on a ross-sectional random...

In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

One of the most difficult problems in applications of semiparametric generalized partially linear single-index model (GPLSIM) is the choice of pilot estimators and complexity parameters which may result in radically different estimators. Pilot estimators are often assumed to be root-n...