In this paper, we will discuss a procedure to improve the usual estimator of a linear functional of the unknown regression function in inverse non-parametric regression models. In Klaassen et [Klaassen, C.A.J., Lee, E.-J. and Ruymgaart, F.H., 2001, On efficiency of indirect estimation of...

This paper addresses a multi-period portfolio selection problem when the number of assets in the financial market is large. Using an exponential utility function, the optimal solution is shown to be a function of the inverse of the covariance matrix of asset returns. Nonetheless, when the number...

The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of...

Summary The paper analyzes effects of randomized response with respect to some binary dependent variable on the estimation of the probit model. This approach is used in interviews when asking sensitive questions or if a respondent erroneously chooses the wrong category in an interview leading to...

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

It has been know since Phillips and Hansen (1990) that cointegrated systems can be consistently estimated using stochastic trend instruments that are independent of the system variables. A similar phenomenon occurs with deterministically trending instruments. The present work shows that such...

Abstract. This paper studies a new class of robust regression estimators based on the two-step least weighted squares (2S-LWS) estimator which employs data-adaptive weights determined from the empirical distribution or quantile functions of regression residuals obtained from an initial robust...