In this paper we survey some recent developments of nonparametric econometrics in the following areas: (i) Nonparametric estimation of regression models with mixed discrete and continuous data; (ii) Nonparametric models with nonstationary data; (iii) Nonparametric models with instrumental...

This paper provides a new methodology to test the superior predictive ability (SPA) of technical trading rules relative to the benchmark without potential data snooping bias. Unlike other previous methods, we explicitly approximate the covariance matrix through certain decomposition, which...