Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general “delta-method” variance estimator for functionals of kernel estimators. Also, regularity conditions...

We consider the linear regression model with censored dependent variable, where the disturbance terms are restricted only to have zero conditional median (or other prespecified quantile) given the regressors and the censoring point. Thus, the functional form of the conditional distribution of...

This paper derives the limiting distributions of alternative jackknife instrumental variables (JIV) estimators and gives formulas for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence...

Two-step estimators, where the first step is the predicted value from a nonparametric regression, are useful in many contexts. Examples include a non-parametric residual variance, probit with nonparametric generated regressors, efficient GMM estimation with randomly missing data,...