A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived ...

This article studies nonparametric estimation of a regression model for d ≥ 2 potentially non- stationary regressors. It provides the first nonparametric procedure for a wide and important range of practical problems, for ...

We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric ...

A procedure for testing the signicance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under ...

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the ...

Using the American Time Use Survey (ATUS) 2003-12, we estimate time spent by workers in non-work while on the job. Non-work time is substantial and varies positively with the local unemployment rate. While the average time ...

This paper extends the class of AK models with an explicit solution to the case where there are two capital goods in the model. this extension holds, even if an external effect in the use of human capital in goods production ...