NOTE: The following is a description of the paper and not the actual abstract. In local polynomial smoothing it is often necessary to compute several auxiliary quantities. Examples include degrees of freedom measures, cross-validation functions, variance estimates, and exact measures of error....

Let (X,Y) be a pair of random variables with supp(X) \subseteq [0,1]?I and EY?2 \infinity. Let m* be the best approximation of the regression function of (X,Y) by sums of functions of at most d variables (formula). Estimation of m* from i.i.d. data is considered. For the estimation interaction...

We consider several variants of a likelihood-ratio process for quantile regression designed to test composite hypotheses about the combined influence of several covariates over an entire range of conditional quantile functions. A closely related process is proposed as a goodness-of-fit criterion...

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995)