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Jungyoon Lee and Peter M Robinson
Nonparametric regression is developed for data with both a temporal and a cross-sectional dimension. The model includes additive, unknown, individual-specifi…c components and allows also for cross-sectional and temporal ...Read more...
25 November 2013
Peter M Robinson
Panel data, whose series length T is large but whose cross-section size N need not be, are assumed to have a common time trend. The time trend is of unknown form, the model includes additive, unknown, individual-specific...Read more...
Wolfgang Härdle, Oliver Linton and Yingcun Xia
In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothin...Read more...
Hidehiko Ichimura and Oliver Linton
We investigate the performance of a class of semiparametric estimators of the treatment effect via asymptotic expansions. We derive approximations to the first two moments of the estimator that are valid to 'second order...Read more...
Xiaohong Chen, Oliver Linton and Peter M Robinson
We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and margina...Read more...
We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald st...Read more...
Peter M Robinson and Carlos Velasco
We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a n...Read more...
Liudas Giraitis, Peter M Robinson and Donatas Surgailis
Liudas Giraitis, Peter M Robinson and Alexander Samarov
Marcia M Schafgans
Standard approaches to the estimation of sample selection models are known to be inconsistent under non-normality. In particular, this paper considers the two-step Heckman (1976, 1979) estimator of the interecept of the ...Read more...