Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...

We reconsider Taupin's (2001) Integrated Nonlinear Regression (INLR) estimator for a nonlinear regression with a mismeasured covariate. We find that if we restrict the distribution of the measurement error to the class of range-restricted distributions, then weak smoothness assumptions suffice...

We propose a nonparametric estimator of bidders' value function based on a kernel estimator of the density quantile function of bids in first price auctions. This estimator provides certain advantage over the conventional approach that relies on the distribution/density ratio of the bids. We use...