We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

Time series analysis is a tremendous research area in statistics and econometrics. As remarked in a review by Howell Tong in 2001, for about 100 years up to 2001 Biometrika (alone) published over 400 papers on the subject. [Tong (2001)] Furthermore, in the review, Howell Tong is able break down...

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

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...