In order to obtain exact distributional results without imposing restrictive parametric assumptions, several rank counterparts of the Dickey-Fuller statistic are considered. In particular, a rank counterpart of the score ...

This paper solves the equilibrium bid functions of third- and higher-price auctions for a large class of distribution functions of bidders’ valuations, assuming the symmetric independent private values framework, and risk ...

We consider the problem of estimating quantile regression coefficients in errors-in-variables models. When the error variables for both the response and the manifest variables have a joint distribution that is spherically ...

Optimal bandwidths for local polynomial regression usually involve functionals of the derivatives of the unknown regression function. In the multivariate case, estimates of these functionals are not readily available, ...

This paper estimates the probability distribution of relative county unemployment in Britain for the years 1981-1995. We find that the distribution is unimodal in all years, with a falling variance between 1989 and 1994. ...

A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a ...

Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable ...

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed analysis of the methods in current use shows that they are not very reliable in some cases. In particular, ...