The paper considers estimation and inference in cointegrating polynomial regressions, i. e., regressions that include deterministic variables, integrated processes and their powers as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors are...

This paper studies estimation of conditional and unconditional quantile treatment effects based on the instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2004, 2005, 2006). I introduce a class of semiparametric plug-in estimators based on closed form solutions...

We study variance estimation in a negative binomial regression model for analyzing time series of counts, where serial dependence among the observed counts is introduced by an autocorrelated latent process. The regression coefficient vector is estimated by maximizing the pseudo-likelihood with...