We consider testing the significance of a subset of covariates in a nonparamet- ric regression. These covariates can be continuous and/or discrete. We propose a new kernel-based test that smoothes only over the covariates appearing under the null hypothesis, so that the curse of dimensionality...

In this article, a novel adaptive estimation is proposed for varying coefficient models. Unlike the traditional least squares based methods, the proposed approach can adapt to different error distributions. An efficient EM algorithm is provided to implement the proposed estimation. The...

This paper is concerned with the ridge estimation of the parameter vector β in partial linear regression model yi=xiβ+f(ti)+ϵi,1≤i≤n, with correlated errors, that is, when Cov(ϵ)=σ2V, with a positive definite matrix V and ϵ=(ϵ1,…,ϵn), under the linear constraint Rβ=r, for a given...

In this paper, ridge and non-ridge type shrinkage estimators and their positive parts are defined in the semiparametric regression model when the errors are dependent and some non-stochastic linear restrictions are imposed under a multicollinearity setting. The exact risk expressions in addition...

<Para ID="Par1">In this paper, we present a method for estimating the conditional distribution function of the model error. Given the covariates, the conditional mean function is modeled as a partial linear model, and the conditional distribution function of model error is modeled as a single-index model. To...</para>

In this paper, we will consider the semiparametric regression model introduced by Duan and Li (1991). The response variable y will be linked to an index x′β (i.e. a linear combination of the explanatory variables x) through an unknown function. In order to estimate the direction of the...

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

The conventional Wilcoxon/Mann-Whitney test can be invalid for comparing treatment effects in the presence of missing values or in observational studies. This is because the missingness of the outcomes or the participation in the treatments may depend on certain pre-treatment variables. We...

Using and extending fractional order statistic theory, we characterize the O(n−1) coverage probability error of the previously proposed confidence intervals for population quantiles using L-statistics as endpoints in Hutson (1999). We derive an analytic expression for the n−1 term,...

Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset management. In this paper, we study the dynamic portfolio choice with multiple conditioning variables, where the number of the conditioning variables can be either fixed or diverging...