In this paper we construct a nonparametric kernel estimator to estimate the joint multivariate cumulative distribution function (CDF) of mixed discrete and continuous variables. We use a data-driven cross-validation method to choose optimal smoothing parameters which asymptotically minimize the...

There is a growing literature in nonparametric econometrics in the recent two decades. Given the space limitation, it is impossible to survey all the important recent developments in nonparametric econometrics. Therefore, we choose to limit our focus on the following areas. In Section 2, we...