Hansen, Kooperberg and Sardy introduced a family of continuous, piecewise linear functions defined over adaptively selected triangulations of the plane as a general approach to statistical modelling of bivariate densities and regression and hazard functions. These "triograms" enjoy a natural...

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The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a fixed design for finite n. We now consider a random design matrix Xn and the case n--[infinity] and study the probability with [gamma]n=F-1(1-1/n), a...

Tests based on the quantile regression process can be formulated like the classical Kolmogorov-Smirnov and Cramer-von-Mises tests of goodness-of-fit employing the theory of Bessel processes as in Kiefer (1959). However, it is frequently desirable to formulate hypotheses involving unknown...

Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open-source community, have greatly eased the burden of documenting and archiving both empirical and simulation work in...

The familiar logit and probit models provide convenient settings for many binary response applications, but a larger class of link functions may be occasionally desirable. Two parametric families of link functions are investigated: the Gosset link based on the Student t latent variable model...

The penalized least squares interpretation of the classical random effects estimator suggests a possible way forward for quantile regression models with a large number of "fixed effects". The introduction of a large number of individual fixed effects can significantly inflate the variability of...