This paper presnets a method for simultaneously estimating a system of nonparametric multiple regressions which may seem unrelated, but where the errors are potentially correlated between equations. We show that the prime advantage of estimating such a 'seemingly unrelated' system of...

We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...

This paper develops new Bayesian methods for semiparametric inference in the partial linear Normal regression model. These methodes draw solely on teh Normal linear regression model with natural conjugate prior. Hence, analytical finite sample results are available which do not suffer form...

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

The correlated gamma-frailty model is a generalization of Cox' proportional hazard model, which allows for correlation between individuals within the same group. The nonparametric maximum likelihood estimator in this model has previously been studied by Murphy (1994, 1995) and Parner (1998)....

In this paper, we develop a Bayesian analysis of a semi-parametric binary choice model. The prior specification of the functional parameter, namely the distribution function of a latent variable, is of the Dirichlet process type and the prior specification of the Euclidean parameter, namely the...

This paper proposes a semiparametric proportional hazard model for bivariate duration data in the analysis of two-component systems. Examples include the two infection times of the left and the right kidneys of patients and the two retirement times of married couples. As a generalization of the...

We consider a nonparametric random design regression model in which the response variable is possibly right censored. The aim of this paper is to estimate the conditional destribution function and the conditional x-quantile of the response variable. We restrict attention to the case where the...