We estimate income elasticities for a variety of macro- and micro-nutrients using a sample of poor rural households in Mexico. The nutrient-income elasticity is estimated using a linear regression model controlling both for the clustered nature of our data and for the bias due to measurement...

We consider the problem of estimating a varying coefficient regression model when regressors include a time trend. We show that the commonly used local constant kernel estimation method leads to an inconsistent estimation result, while a local polynomial estimator yields a consistent estimation...

This paper studies the drivers of the daily dynamics of the nominal dinar-euro exchange rate from September 2006 to June 2010. Using a novel semiparametric approach we are able to incorporate the evidence of nonlinearities under very weak assumptions on the underlying data generating process. We...

This study conducts Monte Carlo simulation exercises to determine the finite sample properties of the Fan-Li test [1996] when the interest focuses on uncovering the impact of omitted variables on the semiparametric partially linear model (PLM). It essentially subjects the said test to various...

It is well established that local linear method dominates the conventional local constant method in estimating nonparametric regression models by kernel method. In this paper we consider the problem of estimating semiparametric econometric models by local linear method. We provide a simple proof...

Model selection in nonparametric and semiparametric regression is of both theoretical and practical interest. Gao and Tong (2004) proposed a semiparametric leave–more–out cross–validation selection procedure for the choice of both the parametric and nonparametric regressors in a nonlinear...

In dynamic discrete choice analysis, controlling for unobserved heterogeneity is an important issue, and finite mixture models provide flexible ways to account for unobserved heterogeneity. This paper studies nonparametric identifiability of type probabilities and type-specific component...

This paper analyzes the stability of monetary regimes in an economy where fiat money is endogenously created by the government, information about its value is imperfect, and learning is decentralized. We show that monetary stability depends crucially on the speed of information transmission in...

Accurate credit-granting decisions are crucial to the efficiency of the decentralized capital allocation mechanisms in modern market economies. Credit bureaus and many financial institutions have developed and used credit-scoring models to standardize and automate, to the extent possible, credit...

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables. We show that a sieve nonparametric instrumental variables estimator is pointwise asymptotically normally mental variables estimator is pointwise asymptotically...