This paper considers transformations of nonlinear semiparametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for...

In this paper the interest is in testing whether a regression function is polynomial of a certain degree. One possible approach to this testing problem is to do a parametric polynomial fit and a nonparametric fit and to reject the null hypothesis of a polynomial function if the distance between...

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied...

This paper compares a nonparametric generalized least squares (NPGLS) estimator to parametric feasible GLS (FGLS) and variants of heteroscedasticity robust standard error estimators (HRSEs) in an applied setting. Given myriad alternative HRSEs, a clear consensus on which version to use does not...

Let (X,Y) be a pair of random variables with supp(X) \subseteq [0,1]?I and EY?2 \infinity. Let m* be the best approximation of the regression function of (X,Y) by sums of functions of at most d variables (formula). Estimation of m* from i.i.d. data is considered. For the estimation interaction...

The study of dependence between random variables is the core of theoretical and applied statistics. Static and dynamic copula models are useful for describing the dependence structure, which is fully encrypted in the copula probability density function. However, these models are not always able...

We characterize the types of interactions between foreign direct investment (FDI) and economic growth, and analyze the effect of institutional quality on such interactions. To do this analysis, we develop a class of instrument-based semiparametric system of simultaneous equations estimators for...

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

A semiparametric fixed effects model is introduced to describe the nonlinear trending phenomenon in panel data analysis and it allows for the cross-sectional dependence in both the regressors and the residuals. A semiparametric profile likelihood approach based on the first-stage local linear...

Focusing on the testable implications on the equilibrium manifold, we show that the rationalizability problem is NP-complete. Subsequently, we present an integer programming (IP) approach to characterizing general equilibrium models. This approach avoids the use of the Tarski-Seidenberg...