In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...

In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...

In this article, we introduce three commands to conduct robust datadriven statistical inference in regression-discontinuity (RD) designs. First, we present rdrobust, a command that implements the robust bias-corrected confidence intervals proposed in Calonico, Cattaneo, and Titiunik (2014d,...

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the...

While forecasting is a common practice in academia, government and business alike, practitioners are often left wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we use the last 30 years of data or the last 10 years of...

Based on a random sample of size <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>n</mi> </math> </EquationSource> </InlineEquation> from an unknown <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$d$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>d</mi> </math> </EquationSource> </InlineEquation>-dimensional density <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$$f$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>f</mi> </math> </EquationSource> </InlineEquation>, the nonparametric estimations of a single integrated density partial derivative functional as well as a vector of such functionals are considered. These single and vector functionals...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

We consider parameter estimation for time-dependent locally stationary long-memory processes. The asymptotic distribution of an estimator based on the local infinite autoregressive representation is derived, and asymptotic formulas for the mean squared error of the estimator, and the...