We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The empirical application to the transaction...

We provide nonparametric estimators of derivative ratio-based average marginal effects of an endogenous cause, X, on a response of interest, Y , for a system of recursive structural equations. The system need not exhibit linearity, separability, or monotonicity. Our estimators are local indirect...

We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main...

A one dimensional diffusion process X={X_t, 0 <= t <= T}, with drift b(x) and diffusion coefficient s(theta, x)=sqrt(theta) s(x) known up to theta>0, is supposed to switch volatility regime at some point t* in (0,T). On the basis of discrete time observations from X, the problem is the one of estimating the instant of change in the volatility structure t* as well as the two values of theta, say...</=>

Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or...

We study the scope of local indirect least squares (LILS) methods for nonparametrically estimating average marginal effects of an endogenous cause X on a response Y in triangular structural systems that need not exhibit linearity, separability, or monotonicity in scalar unobservables. One main...

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.