To test heteroscedasticity in single index models, in this paper two test statistics are proposed via quadratic conditional moments. Without the use of dimension reduction structure, the first test has the usual convergence rate in nonparametric sense. Under the dimension reduction structure of...

This paper examines the effects of a person’s past financial characteristics on his likelihood to default in ex-post loan performance using both Probit and a semiparametric single-index estimator proposed by Klein and Spady (1993). The data used in the paper are a sample of individual loans...

We use the Vietnam Living Standard Survey conducted in 1993 and in 1998 to analyze the determinants of private transfers among rural farmers. Private transfers are widespread and important relative to pre-transfer income levels of recipients in both years. Conducting parametric and...

A number of studies have explored the semi- and nonparametric estimation of stochastic frontier models by using kernel regression or other nonparametric smoothing techniques. In contrast to popular deterministic nonparametric estimators, these approaches do not allow one to impose any shape...

We consider the estimation problem of conditional quantile when multi-dimensional covariates are involved. To overcome the “curse of dimensionality” yet retain model flexibility, we propose two partially linear models for conditional quantiles: partially linear single-index models (QPLSIM)...

Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an...