We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly… (More)

We consider a nonparametric additive model of a conditional mean function in which the number of variables and additive components may be larger than the sample size but the number of nonzero… (More)

In functional linear regression, the slope “parameter” is a function. Therefore, in a nonparametric context, it is determined by an infinite number of unknowns. Its estimation involves solving an… (More)

We suggest two nonparametric approaches, based on kernel methods and orthogonal series to estimating regression functions in the presence of instrumental variables. For the first time in this class… (More)

This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the… (More)

Instrumental variables are widely used in applied econometrics to achieve identification and carry out estimation and inference in models that contain endogenous explanatory variables. In most… (More)

Linear models with error components are widely used to analyze panel data. Some applications of these models require knowledge of the probability densities of the error components. Existing methods… (More)

This paper is concerned with estimating the additive components of a nonparametric additive quantile regression model. We develop an estimator that is asymptotically normally distributed with a rate… (More)

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences… (More)