In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

We estimate the average treatment effect (ATE) parameter and treatment on the treated (TT) for those students effectively choosing a private voucher school. With detailed individual data for both the school and the family of the student we are able to con

This paper proposes a semiparametric approach to the estimation of ¡®generalized¡¯ binary choice models. A ¡®generalized¡¯ binary choice model is one with separate indices for each conditioning variable which constitutes a generalization of the standard single-index approach typically...

So-called "nonparametric" statistical methods are often in fact based on population parameters, which can be estimated (with confidence limits) using the corresponding sample statistics. This article reviews the uses of three such parameters, namely Kendall's tau, Somers' D and the...

In this paper we present a novel methodology for estimating the determinants of distribution dynamics and discuss an application to the distribution dynamics of (labour) productivity across a large sample of countries. We perform a Monte Carlo study of methodology taking as base Mankiw et al....

Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...

In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments. We suggest controlling the size of such...