It is well known that the Durbin-Watson and several other tests for first-order autocorrelation have limiting power of either zero or one in a linear regression model without an intercept, and tend to a constant lying strictly between these values when an intercept term is present. This paper...

We introduce a new nonparametric approach for estimating a simple varying coeffcient model with a unit root nonstationarity. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its asymptotic properties and evaluate its...

In an effort to stimulate a more exciting and entertaining style of play, the National Hockey Association (NHL) changed the rewards associated with the results of overtime games. Under the new rules, teams tied at the end of regulation both receive a single point regardless of the outcome in...

The paper uses local linear regression to estimate the ``direct'' Average Derivative \delta = E(D[m(x)]), where m(x) is the regression function. The estimate of \delta is the weighted average of local slope estimates. We prove the asymptotic normality of the estimate under conditions which are...

When monetary policy announcements are expected to occur at scheduled dates, the event of an unscheduled announcement often "surprises" financial markets. However, if the information provider knows the future policy beforehand, he might be induced to anticipate the release of information without...