This paper makes two contribution to the literature on density forecasts. First, we propose a novel bootstrap approach to estimate forecasting densities based on nonparametric techniques. The method is based on the Markov Bootstrap that is suitable to resample dependent data. The combination of...

In this paper we propose an improvement of the Kolmogorov-Smirnov test for normality. In the current implementation of the Kolmogorov-Smirnov test, a sample is compared with a normal distribution where the sample mean and the sample variance are used as parameters of the distribution. We propose...

The evaluation of the impact of an increase in gasoline tax on demand relies crucially on the estimate of the price elasticity. This paper presents an extended application of the Partially Linear Additive Model (PLAM) to the analysis of gasoline demand using a panel of US households, focusing...

Much of the US inflation forecasting literature deals with examining the ability of macroeconomic indicators to predict the mean of future inflation, and the overwhelming evidence suggests that the macroeconomic indicators provide little or no predictability. In this paper, we expand the scope...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). With...

Recent theoretical work has suggested a number of potentially important factors in causing incomplete pass-through of exchange rates to prices, including markup adjustment, local costs and barriers to price adjustment. We empirically analyze the determinants of incomplete passthrough in the coee...

With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). By...

A rich data set of coffee prices and costs was used to determine to what extent changes in commodity costs affect manufacturer and retail prices. On average, a 10-cent increase in the cost of a pound of green coffee beans in a given quarter results in a 2-cent increase in manufacturer and retail...