A class of kernel regression estimators is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effect model familiar from panel data, etc. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The...

Kernel smoothing techniques have attracted much attention and some notoriety in recent years. The attention is well deserved as kernel methods free researchers from having to impose rigid parametric structure on their data. The notoriety arises from the fact that the amount of smoothing (i.e.,...

This paper considers estimation of a pure equilibrium search model in which all heterogeneity is endogenous and due to information asymmetries, and of variations that allow better fits to the data. Measurement error and heterogeneity in the productivity levels of firms. The model is fit to a...

Orthogeodesic models admit marginal local cuts and therefore separate inference on subparameters is asymptotically justified. Doubly-flat orthogeodesic models admit local cuts marginally and conditionally. Two important empirical models for panel data are used to illustrate this property and...

Until recently, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. <i>Nonparametric Econometrics</i> fills a major gap by gathering together the most...

Until recently, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. <i>Nonparametric Econometrics</i> fills a major gap by gathering together the most...

In this paper we analyze the relevance of characteristics of the income distribution in an aggregate consumption relation. In particular, we use a statistical distributional approach toward aggregation in order to model the aggregate consumption relation of a heterogeneous population, and apply...