We consider an extension of conventional univariate Kaplan-Meier type estimators for the hazard rate and the survivor function to multivariate censored data with a censored random regressor. It is an Akritas (1994) type estimator which adapts the nonparametric conditional hazard rate estimator...

Choice models with nonlinear budget sets are important in econometrics. In this paper we proposed a nonparametric approach to estimation of choice models with nonlinear budget sets. The basic idea is to think of the choice, in our case hours of labor supply, as being a function of the entire...

We partially identify population treatment effects in observational data under sample selection, without the benefit of random treatment assignment. We provide bounds both for the average and the quantile population treatment effects, combining assumptions for the selected and the non-selected...

This paper partially identifies population treatment effects in observational data under sample selection, without the benefit of random treatment assignment. Bounds are provided for both average and quantile population treatment effects, combining assumptions for the selected and the...

A mathematical expression known as Benford's law provides an example of an unexpected relationship among randomly selected first significant digits (FSD). Newcomb (1881), and later Benford (1938), conjectured that FSDs would exhibit a weakly monotonic distribution and proposed a frequency...

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...

Public programs often use statistical profiling to assess the risk that applicants will become long-term dependent on the program. The literature uses linear probability models and (Cox) proportional hazard models to predict duration outcomes. These either focus on one threshold duration or...

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the stochastic discount factor (SDF) in dynamic Markov environments. The approach is nonparametric in that it does not impose parametric restrictions on the law of motion of the...

The Dutch drinking water sector experienced two drastic changes over the last 10 years. Firstly, in 1997, the sector association started with a voluntary benchmarking aimed to increase the efficiency and effectiveness of the sector. Secondly, merger activity arose. This paper develops a tailored...