In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation criterion, an adaptive and simultaneous estimation procedure for the nonparametric components is...

The efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and...

This paper examines stochastic pairwise dependence structures in binary time series obtained from discretised versions of standard chaotic logistic maps. It is motivated by applications in communications modelling which make use of so-called chaotic binary sequences. The strength of non-linear...

Simple kernel-type estimators of integrals of general powers of general derivatives of probability densities are proposed. They are based on two simple properties, and in many circumstances enjoy optimal convergence rate.

Starting a firm with expansive potential is an option for educated and high-skilled workers. If there are labor market frictions, this additional option can be seen as reducing the chances of ending up in a low-wage job and hence as increasing the incentives for education. In a matching model,...

Statistical scientists have recently focused sharp attention on properties of iterated chaotic maps, with a view to employing such processes to model naturally occurring phenomena. In the present paper we treat the logistic map, which has earlier been studied in the context of modelling...

Given the intrinsically sequential nature of child birth, timing of a child’s birth has consequences not only for itself, but also for the older and younger siblings. The paper thus argues that prior and posterior spacing between consecutive siblings are important measures of the intensity of...

We argue that an increase in aggregate demand can lead to a reduction in the interest rate.This apparently perverse optimal response of interest rates can occur when the Phillips curve is non-linear. In that case, an increase in aggregate demand tends to increase inflation and output but also to...

We propose a simply yet flexible framework for the analysis of optimal monetary policy rules that produces the type of non-linear responses derived in the literature as special cases. Perhaps more importantly, our framework suggests a richer set of nonlinear responses than have been considered...

A monetary economy subject to expectational sunspots is prone to instability, in the sense of multiple rational expectations equilibria. We show how to modify the policy rule to guarantee stability in the presence of expectational sunspots. The policy-maker must co-ordinate inflation dynamics by...