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We provide a limit theory for a general class of kernel smoothed U statistics that may be used for specification … cointegration and regressors that have autoregressive unit roots or near unit roots. The limit theory for the specification test …
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We consider nonparametric identification and estimation in a nonseparable model where a continuous regressor of interest is a known, deterministic, but kinked function of an observed assignment variable. This design arises in many institutional settings where a policy variable (such as weekly...
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