One of the most difficult problems in applications of semiparametric generalized partially linear single-index model (GPLSIM) is the choice of pilot estimators and complexity parameters which may result in radically different estimators. Pilot estimators are often assumed to be root-n...

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...

We propose a procedure for estimating the critical values of the extended Kolmogorov- Smirnov tests of First and Second Order Stochastic Dominance in the general K-prospect case. We allow for the observations to be serially dependent and, for the first time, we can accommodate general dependence...