This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are influenced by sampling errors. We establish...

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency...

Economic data are often contaminated by measurement errors and truncated by ranking. This paper shows that the classical measurement error model with independent and additive measurement errors is identified nonparametrically using only two order statistics of repeated measurements. The...

Tests for structural stability with unknown breakpoint are derived for and applied tothe efficient method of moments. Three types of tests are discerned: Wald type tests,Predictive tests and Hansen type tests. The Hansen type test for structural stabilitywith unknown breakpoint is a novelty for...

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

Because of non-normality of stock returns nonparametric rank tests are gaining incremental popularity over parametric tests in financial economics event studies. In rank tests financial assets' multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears...

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s...