We ask whether foreign equity ownership increases or decreases the stability of information signals that are absorbed into prices, hence affecting price volatility and the quality of the domestic stock market in an emerging economy. We address both the effect of ownership restrictions...

We consider cross-validation strategies for the SNP nonparametric density estimator, which is a truncation (or sieve) estimator based upon a Hermite series expansion. Our main focus is on the use of SNP density estimators as an adjunct to EMM structural estimation. It is known that for this...

Almost all economic data sets are discretized or rounded to some extent. This paper proposes a regression and a density estimator that work especially well when the data is very discrete. The estimators are a weighted average of the data, and the weights are composed of cubic B-splines. Unlike...

This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, they show that any continuous function of multiple...

In this paper, we consider expectations of the form E[log(y)|x] = a'log(x) as a good starting point for a more general analysis. We show why this naturally leads to the following flexible functional form E[y|x]= f(h(x)), where all functions are estimated by cubic splines. One of the main goals...