The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and...

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 considers M-estimators of regression parameters that make use of a generalized functional form for the disturbance distribution. The family of distributions considered is the generalized <italic>t</italic> (GT), which includes the power exponential or Box-Tiao, normal, Laplace, and <italic>t</italic> distributions as...