The purpose of this paper is to propose a procedure for testing the equality of several regression curves fi in nonparametric regression models when the noise is inhomogeneous. This extends work of Dette and Neumeyer (2001) and it is shown that the new test is asymptotically uniformly more...

We provide a set of probabilistic laws for range-based estimation of integrated variance of a continuous semi-martingale. To accomplish this, we exploit the properties of the price range as a volatility proxy and suggest a new method for non-parametric measurement of return variation. Assuming...

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Central limit theorems are developed for instrumental variables estimates of linear and semi-parametric partly linear regression models for spatial data. General forms of spatial dependenceand heterogeneity in explanatory variables and unobservable disturbances are permitted. We discuss...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d=1. It is shown that (i) each member of the family with d0 is consistent, (ii) the asymptotic distribution depends on d, and thus reflects...

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...