This paper proposes a simple and improved nonparametric unit-root test. An asymptotic distribution of the proposed test is established. Finite sample comparisons with an existing nonparametric test are discussed. Some issues about possible extensions are outlined

This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...

In this paper, we consider a panel data model which allows for heterogeneous time trends at different locations. We propose a new estimation method for the panel data model before we establish an asymptotic theory for the proposed estimation method. For inferential purposes, we develop a...

In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases. We first prove the existence of a weakly dependent stationary approximation for our model which is the foundation to initiate the theoretical...

In this paper we study a statistical method of implementing quasi-Bayes estimators for nonlinear and nonseparable GMM models, that is motivated by the ideas proposed in the literature that combines simulation with nonparametric regression in the computation of GMM models. We provide formal...

This paper is motivated by our attempt to answer an empirical question: how is private health insurance take-up in Australia affected by the income threshold at which the Medicare Levy Surcharge (MLS) kicks in? We propose a new difference de-convolution kernel estimator for the location and size...

This paper proposes a nonparametric quantile regression (NP-QR) and a partially linear additive QR (PLA-QR) for modelling recovery rates (RR). Using Moody's Recovery Database, we uncover two novelties of the NP-QR model. First, the local constant estimation of NP-QR model captures the key...

In this paper, the important (but so far unrevealed) usefulness of the extended generalized partially linear single-index (EGPLSI) model introduced by Xia et al. (1999) in its ability to model a flexible shape-invariant specification is elaborated. More importantly, a control function approach...

In this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang, Choi and Park (2017), the CCP model, as a special case. To estimate the unknown parameters involved in the SERS model, we propose a maximum...