With the aim to mitigate the possibleproblem of negativity in the estimation of the conditionaldensity function, we introduce a so-called re-weightedNadaraya-Watson (RNW) estimator. The proposed RNWestimator is constructed by a slight modificationof the well-known Nadaraya-Watson...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). By...

Recent theoretical work has suggested a number of potentially important factors in causing incomplete pass-through of exchange rates to prices, including markup adjustment, local costs and barriers to price adjustment. We empirically analyze the determinants of incomplete pass-through in the...

The aim of this paper is to investigate the evidence and implications of time-variation and asymmetry in the persistence of U.S. inflation. We evaluate these features by comparing the out-of-sample forecast performance of two specifications, a Quantile Auto-Regressive (QAR) model and a...

Recent theoretical work has suggested a number of potentially important factors in causing incomplete pass-through of exchange rates to prices, including markup adjustment, local costs and barriers to price adjustment. We empirically analyze the determinants of incomplete pass-through in the...

In this paper two kernel-based nonparametric estimators are proposed for estimating the components of an additive quantile regression model. The first estimator is a computationally convenient approach which can be viewed as a viable alternative to the method of De Gooijer and Zerom (2003). By...