misspecification. We find that, using a nonparametric HAR-RV (NPHAR-RV), we are unable to reject the null of linearity. …

either the drift or the diffusion term in a diffusion model, nonparametric kernel estimators of the remaining term can be …

theory for the tests, showing it coincides with standard testing procedures, implying that existing critical values for tied …

The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using … these estimates, which typically use local linear regression, are highly sensitive to curvature in the underlying …. In contrast, our permutation test reinforces the asymptotic inference results of a recent Regression Discontinuity study …

extension to testing for constancy of the regression discontinuity effect across covariates is also discussed …In fuzzy regression discontinuity (FRD) designs, the treatment effect is identified through a discontinuity in the …

The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using … these estimates, which typically use local linear regression, are highly sensitive to curvature in the underlying …. In contrast, our permutation test reinforces the asymptotic inference results of a recent Regression Discontinuity study …

combining together the quantile regression t-statistics from each considered quantile level and uses Monte Carlo resampling …

We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric …

We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation … driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization … combined with a generalized spectral approach. Such a testing procedure is feasible and convenient because the infinitesimal …