In this paper we propose a revised version of (bagging) <bold>b</bold>ootstrap <bold>aggr</bold>egat<bold>ing</bold> as a forecast combination method for the out-of-sample forecasts in time series models. The revised version explicitly takes into account the dependence in time series data and can be used to justify the validity of...

Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are...

We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the...

Motivated by the first-differencing method for linear panel data models, we propose a class of iterative local polynomial estimators for nonparametric dynamic panel data models with or without exogenous regressors. The estimators utilize the additive structure of the first-differenced...

In this article we consider nonparametric estimation of a structural equation model under full additivity constraint. We propose estimators for both the conditional mean and gradient which are consistent, asymptotically normal, oracle efficient, and free from the curse of dimensionality. Monte...

In this paper we propose a new nonparametric test for conditional heteroskedasticity based on a measure of nonparametric goodness-of-fit (R²) that is obtained from the local polynomial regression of the residuals from a parametric regression on some covariates. We show that after being...

In this paper we consider the problem of estimating semiparametric panel data models with cross section dependence, where the individual-specific regressors enter the model nonparametrically whereas the common factors enter the model linearly. We consider both heterogeneous and homogeneous...

Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, <CitationRef CitationID="CR7">2009</CitationRef>) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator...</citationref>

The dramatic rise of house prices in many cities of China has brought huge attention from both the governmental and academic circles. There is a huge debate on whether the increasing house prices are driven by market fundamentals or just by speculation. Like Levin and Wright (1997a, 1997b), we...