We propose a nonparametric estimator of bidders' value function based on a kernel estimator of the density quantile function of bids in first price auctions. This estimator provides certain advantage over the conventional approach that relies on the distribution/density ratio of the bids. We use...

We propose a new class of estimators for a jump discontinuity on nonparametric regression. While there is a vast literature in econometrics that addresses this issue (e.g., Hahn et al., 2001, Porter, 2003, Imbens and Lemieux, 2008, Cattaneo and Escanciano, 2017), the main approach in these...

When using daily mutual fund returns to study market timing ability, heavy tails and heteroscedasticity significantly challenge the existing methods. We propose a weighted nonparametric measure and test for market timing. The test finds that the traditional parametric inference misclassifies...

We contribute to the literature on recommendation systems by proposing the Dynamic Nonparametric (DNP) model that incorporates a fully Bayesian approach into the traditional dynamic collaborative filtering and hence captures the change of customer preferences in the mobile game industry with...

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD‐validity). We derive a new set of testable implications, characterized by a set of inequality restrictions on the joint distribution of observed outcomes and treatment status at the...

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...