We propose a consistent kernel-based specification test for conditional density models when the dependent variable is categorical/discrete. The method is applicable to popular parametric binary choice models such as the logit and probit specification and their multinomial and ordered...

We consider the problem of estimating a nonparametric regression model containing categorical regressors only. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for...

We propose a semiparametric varying-coefficient estimator that admits both qualitative and quantitative covariates along with a test for correct specification of parametric varying-coefficient models. The proposed estimator is exceedingly flexible and has a wide range of potential applications...

The exact likelihood function for a prototypal job search model is analyzed. The optimality condition implied by the dynamic programming framework is fully imposed. Using the optimality condition allows identification of an offer arrival probability separately from an offer acceptance...