In regression analysis, when no previous information about the statistical model is available, nonparametric estimation methods are very useful since their requirements about the specification of the model are very small (some conditions on continuity and derivability) . However if this previous...

In this paper, two tests for weak exogeneity in the econometric modelling of financial point processes are proposed. They are motivated by the common practice in many econometric studies of tick-by-tick data of making inference on the joint density of durations and marks through the conditional...

A new method of estimating a component model for the analysis of financial durations is proposed. The components are long-run dynamics and seasonality. The latter is left unspecified and the former is assumed to fall within the class ofa certain family of parametric functions. The proposed...

In this paper, we analyze household load curves through the use of Constrained Smoothing Splines. These estimators are natural smoothing splines that allow to incorporate periodic shape constraints. Since the time pattern of electricity demand combines strong periodical regularities with abrupt...

In this paper we present a new technique to estimate varying coefficient models of unknown form in a panel data framework where individual effects are arbitrarily correlated with the explanatory variables in a unknown way. The resulting estimator is robust to misspecification in the functional...