This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild...

This paper studies the efficient estimation of a large class of multi-valued treatment effects as implicitly defined by a collection of possibly over-identified non-smooth moment conditions when the treatment assignment is assumed to be ignorable. Two estimators are introduced together with a...

This paper studies the asymptotic properties of partitioning estimators of the conditional expectation function and its derivatives. Mean-square and uniform convergence rates are established and shown to be optimal under simple and intuitive conditions. The uniform rate explicitly accounts for...

The paper introduces a n-consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to calculate. A Monte Carlo...

A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This expansion is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidths, random trimming,...

This article proposes a nonparametric test of monotonicity for conditional distributions and its moments. Unlike previous proposals, our method does not require smooth estimation of the derivatives of nonparametric curves. Distinguishing features of our approach are that critical values are...

This paper considers a situation where the violation of a single-index restriction is a concern only to the extent that it causes bias to the estimates of the average derivatives. We propose a method to construct tests that concentrate their asymptotic powers upon only such interesting...

This article proposes omnibus specification tests of parametric dynamic quantile models. In contrast to the existing procedures, we allow for a flexible specification, where a possible continuum of quantiles is simultaneously specified under fairly weak conditions on the serial dependence in the...