This paper presents new instrumental variables estimators for nonparametric models with discrete endogenous regressors. The model speci cation is su ciently general to include structural models, triangular simultaneous equations and certain models of measurement error. Restricting the analysis to discrete endogenous regressors is an integral component of the analysis since a similar model with ...

Given a local Cohen-Macaulay ring (R,m), we study the interplay between the integral closedness – or even the normality – of an m-primary R-ideal I and conditions on the Hilbert coefficients of I . We relate these properties to the depth of the associated graded ring of I .

Parametric copulae are shown to be an attractive device for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed estimators are established, leading to a general framework for inference and model specificat...

A new framework for analyzing time series data called Time Series Data Mining (TSDM) is introduced. This framework adapts and innovates data mining concepts to analyzing time series data. In particular, it creates a set of methods that reveal hidden temporal patterns that are characteristic and predictive of time series events. Traditional time series analysis methods are limited by the require...

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct some simulation to illustrate the performance of the proposed method.

In [Kat94b], Kato defined his notion of a log regular scheme and studied the local behavior of such schemes. A toric variety equipped with its canonical logarithmic structure is log regular. And, these schemes allow one to generalize toric geometry to a theory that does not require a base field. This paper will extend this theory by removing normality requirements.