In this paper, we propose a combined regression estimator by using a parametric estimator and a nonparametric estimator of the regression function. The asymptotic distribution of this estimator is obtained for cases where the parametric regression model is correct, incorrect, and approximately...

This paper develops a wavelet (spectral) approach to test the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...

Research in empirical health economics has found that the relationship between medical expenditures and age, income and other variables can be highly nonlinear. Moreover, men and women can have quite different medical expenditure patterns due to their differences in life expectancy. Thus it may...

Let <italic>F</italic> denote a distribution function defined on the probability space (Ω,null,<italic>P</italic>), which is absolutely continuous with respect to the Lebesgue measure in <italic>R</italic> with probability density function <italic>f</italic>. Let <italic>f</italic>₀(·,β) be a parametric density function that depends on an unknown <italic>p</italic> × 1 vector β. In this...

We consider the identification of counterfactual distributions and treatment effects when the outcome variables and conditioning covariates are observed in separate data sets. Under the standard selection on observables assumption, the counterfactual distributions and treatment effect parameters...

The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the...

In this paper, we supplement the identification results for the mean treatment effect for the treated in the difference-in-differences framework studied by Abadie (2005) by establishing partial identification results for the distribution and quantile of the counterfactual outcome and of the...