In this paper we present a consistent specification test of a parametric regression function against a general nonparametric alternative. The proposed test is based on wavelet estimation and it is shown to have similar rates of convergence to the more commonly used kernel based tests. Monte...

We propose semiparametric procedures for estimation and testing of base-independent equivalence scales. The partial linear index specification permits simultaneous estimation across multiple household types and multiple goods and also the incorporation of continuous and discrete household...

This paper uses the 1998-99 Canadian National Population Health Survey (NPHS) data to examine the health-income relationship that underlies the absolute income hypothesis. To allow for nonlinearity and data heterogeneity, we use a partially linear semiparametric quantile regression model. Among...

Data from eight major stock markets world-wide and five industries in each market are analysed. The correlations of return indices between countries and industries are studied with the hope of finding answers or confirming previous empirical answers to the following questions and the...

This study examines the question of 'Does the internet phenomenon affect the volatility of stock returns of legacy companies?';1 GARCH models and the Wald test are applied to investigate the persistence of stock return volatility and breaks in the volatility. A special GARCH (1,1) model is also...

This paper considers a flexible panel data sample selection model in which (i) the outcome equation is permitted to take a semiparametric, varying coefficient form to capture potential parameter heterogeneity in the relationship of interest, (ii) both the outcome and (parametric) selection...

This article extends the asymptotic results of the traditional least squares cross-validatory (CV) bandwidth selection method to semiparametric regression models with nonstationary data. Two main findings are that (a) the CV-selected bandwidth is stochastic even asymptotically and (b) the...

We propose a consistent test for a linear functional form against a nonparametric alternative in a fixed effects panel data model. We show that the test has a limiting standard normal distribution under the null hypothesis, and show that the test is a consistent test. We also establish the...

Stock market volatility is highly persistent and exhibits large fluctuations so that it is likely to be an integrated or a near integrated process. Stock markets' volatilities from different countries are intercorrelated, but are generally not cointegrated as many other (domestic) factors also...