A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Cross-validation is the most common data-driven procedure for choosing smoothing parameters in nonparametric regression. For the case of kernel estimators with iid or strong mixing data, it is well-known that the bandwidth chosen by cross-validation is optimal with respect to the average squared...

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...

Cross-validation is the most common data-driven procedure for choosing smoothing parameters in nonparametric regression. For the case of kernel estimators with iid or strong mixing data, it is well-known that the bandwidth chosen by crossvalidation is optimal with respect to the average squared...

We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly...

This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are able to impose monotonicity of the estimated function....

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility. In this paper, we first point out two important properties of the OLS estimator in such regressions: commonly used variance estimators do not consistently estimate the asymptotic variance of the OLS...

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...