In this paper we investigate several tests for the hypothesis of a parametric form of the error distribution in the common linear and nonparametric regression model, which are based on empirical processes of residuals. It is well known that tests in this context are not asymptotically...

In the classical linear regression model the problem of testing for symmetry of the error distribution is considered. The test statistic is a functional of the difference between the two empirical distribution functions of the estimated residuals and their counterparts with opposite signs. The...

Abstract Let Y = m ( X )+ ϵ be a regression model with a dichotomous output Y and a step function m with exact one jump at a point θ and two different levels a and b . In the applied sciences the parameter θ is interpreted as a split-point whereas b and 1- a are known as positive and negative...

This article considers a wide class of censoring problems and presents a construction rule for an objective function. This objective function generalises the ordinary likelihood as well as particular "likelihoods" used for estimation in several censoring models. Under regularity conditions the...

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions. We show that the recently proposed methods by Xia et al. (2002) can be made robust in such a way that preserves all advantages of the original...

This paper compares the finite sample performance of three non-parametric threshold estimators via the Monte Carlo method. Our results indicate that the finite sample performance of the three estimators is not robust to the position of the threshold level along the distribution of the threshold...

The estimation problem in this paper is motivated by maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional...

This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias-corrected estimator and the alternative estimator and...

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...