Motivated by a nonparametric GARCH model we consider nonparametric additive autoregression models in the special case that the additive components are linked parametrically+We show that the parameter can be estimated with parametric rate and give the normal limit+ Our procedure is based on two steps+ In the first step nonparametric smoothers are used for the estimation of each additive componen...

The nonparametric and the nuisance parameter approaches to consistently testing statistical models are both attempts to estimate topological measures of distance between a parametric and a nonparametric t, and neither dominates in experiments. This topological uniication allows us to greatly extend the nuisance parameter approach. How and why the nuisance parameter approach works and how it can...

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test does not require nonparametric estimation of g and is not subject to the illposed inverse problem of no...

In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we investigate and quantify the co-dependence of cross-sectional and intertemporal extreme events. We find e...

Time-homogeneous diffusion models have been widely used for describing the stochastic dynamics of the underlying economic variables. Recently, Stanton proposed drift and diffusion estimators based on a higher-order approximation scheme and kernel regression method. He claimed that “higher order approximations must outperform lower order approximations” and concluded nonlinearity in the instanta...

The Finite Sample Performance of Semiand Nonparametric Estimators for Treatment Effects and Policy Evaluation This paper investigates the finite sample performance of a comprehensive set of semiand nonparametric estimators for treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches relying on parametric propensity score estim...

Naturally ventilated tropical greenhouse is classified as a complex system because it involves with nonlinear process and multivariable system. The purpose of this study is to determine the mathematical model of NVTG climates to in order to describe and predict the dynamic behavior of temperature and humidity inside NVTG for development of its control system. The modeling of the system is divid...

We develop a novel approach to consistent checks of parametric regression models when many regressors are present. The principle is to replace the nonparametric alternative by a class of semiparametric alternatives, namely single-index models, that is rich enough to allow detection of any nonparametric alternative. We propose an omnibus test based on the kernel method that performs against a se...