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A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This result is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidth, random trimming, and estimated weights. An extension allows for generated… (More)

LetH0(X) be a function that can be nonparametrically estimated. Suppose E [Y |X ] = F0[X⊤β0, H0(X)]. Many models fit this framework, including latent index models with an endogenous regressor, and nonlinear models with sample selection. We show that the vector β0 and unknown function F0 are generally point identified without exclusion restrictions or… (More)

A new way of constructing efficient semiparametric instrumental variable estimators is proposed. The method involves the combination of a large number of possibly inefficient estimators rather than combining the instruments into an optimal instrument function. The consistency and asymptotic normality is established for a class of estimators that are linear… (More)

- Juan-Carlos Escanciano, David T. Jacho-Chávez
- Computational Statistics & Data Analysis
- 2010

A numerical approximation of the critical values of Cramér-von Mises (CvM) tests is proposed for testing the correct specification of general conditional location parametric functionals. These specifications include conditional mean and quantile models. The method is based on the estimation of the eigenelements of the covariance operator associated with the… (More)

Let r (x, z) be a function that, along with its derivatives, can be consistently estimated nonparametrically. This paper discusses identification and consistent estimation of the unknown functions H , M , G and F , where r (x, z) = H [M (x, z)], M (x, z) = G (x) + F (z), and H is strictly monotonic. An estimation algorithm is proposed for each of the… (More)

The paper introduces a √ n–consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to compute. A Monte Carlo experiment confirms our theoretical results, and an empirical… (More)

This addendum provides the complete proof of Theorem (2.2) and its technical lemmas for the above paper. ∗Department of Economics, Indiana University, Wylie Hall 251, 100 South Woodlawn Avenue, Bloomington, IN 47405–7104, USA. Phone: +1 (812) 855 7928. Fax: +1 (812) 855 3736. E-mail: djachoch@indiana.edu. Web Page: http://mypage.iu.edu/∼djachoch/

- Kim P. Huynh, David T. Jacho-Chávez, James Self, Danielle Gunkel
- 2009

December 22, 2009 For most students, freshmen-level introductory economic courses represent their first exposure to the science of economics and its powerful tools of reasoning. These tools are the greatest benefits afforded to students who gain at least a principle level understanding of economics. However, here is the problem: for most universities and… (More)

- Heng Chen, Jushan Bai, +11 authors Gregor W. Smith
- 2014

Some view recessions as a cleansing or reallocation mechanism in which inefficient firms exit while only the most efficient firms enter. However, distortions may prevent this efficient adjustment. Ecuador, a developing small open economy, serves as an important case study for reallocation because of its large economic crisis in the late 1990s. We study… (More)