11/06/09

Working Papers & Papers under review

• Nonparametric Regression with Filtered Data (with E. Mammen. J. Nielsen, and I Van Keilegom) 5/11/09
• Efficient Estimation of a Multivariate Multiplicative Volatility Model (with C. Hafner) 15/10/09
• An Alternative way of Computing Efficient Instrumental Variable Estimators (with X. Chen and D. Jacho-Chavez) July, 2009
• Semiparametric Estimation of Markov Decision Processes (with S.T. Srisuma), July 2009.
• Semiparametric Estimation of Locally Stationary Diffusion Models (with B. Koo) July, 2009.
• Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator (with Y. Xia and W. Haerdle) June 2009
• Nonparametric Estimation of a Polarization Measure (with G. Anderson and Y.J. Whang) 10/6/09
• A Semiparametric Panel Model for Climate Change in the United Kingdom (with A. Atak and Z. Xiao) 2/2/09
• Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error  (with A. Ghosh) revised 23/11/07
• Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns (with G. Connor and M. Hagmann)
• Multivariate Density Estimation using Dimension Reducing Information and Tail Flattening Transformations (with T. Buch-Kromann, M. Guillen, and J.P. Nielsen)
• Estimation of Bivariate Poisson Mixture Models by Kernel Methods (with T. Guinnane and D. Jacho-Chavez)
• Non-Parametric Estimation of Single Factor Heath Jarrow Morton Term Structure Models and a Test for Path Independence (with D. Kristensen and C. Tanggaarrdd)
• An Optimal Estimator of True Mark under Double Blind Marking
• Testing for Stochastic Dominance Efficiency (with T. Post and Y. Whang)
• Estimation of Tail Thickness Parameters from GARCH Models (with E. Iglesias)

Revise and resubmits

• Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and its application to the Additive Model (with E. Kong and Y. Xia) revised 9/5/08 Forthcoming in Econometric Theory
• Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary (with Kyungchul Song and Yoon-Jae Whang) 19/2/08 Forthcoming in Journal of Econometrics
• Estimation of a Semiparametric IGARCH Model (with W. Kim) revised, July 2009, for Econometric Theory
• Evaluating Value-at Risk models via Quantile Autoregression (with W. Gaglianone,  L. Lima, and D. Smith) September, 2009. Forthcoming in Journal of Business and Economic Statistics
• Identification and Nonparametric Estimation of a transformed Additively Separable Model (with D. Jacho-Chavez and A. Lewbel) Forthcoming in Journal of Econometrics
• Estimating Features of a Distribution from Binomial Data (with A. Lewbel and D. McFadden) June 2009 Journal of Econometrics
• On Internally Corrected and Symmetrized Kernel Estimators for Nonparametric Regression (with D. Jacho-Chavez) Forthcoming in TEST
• Estimation for a non-stationary semi-strong GARCH(1,1) model with heavy-tailed errors (with J. Pan and H. Wang) Forthcoming in Econometric Theory
• Evaluating hedge fund performance: a stochastic dominance approach (with Sheng Li) Forthcoming