estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

nonparametric test is relatively close to the parametric power envelope, particularly in the case with a linear timetrend …This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing … power of the test for different values of d. The usual Phillips-Perron or Dickey-Fuller type tests are characterized by …

derived from the proposed measure. Finite-sample distributions, power and size are analyzed in a Monte-Carlo exercise. An …

We propose a nonparametric matching approach to estimation of implicit costs based on the compensating variation (CV …. We compare the nonparametric approach with the standard parametric method, finding that the latter tends to generate … large overestimates unless conditions are ideal. The nonparametric approach has much to recommend it. …

This paper studies the nonparametric identification and estimation of voters' preferences when voters are ideological …

. Our tests are nonparametric in nature, and use sieve estimators of the characteristic function. We provide formal power …