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Finite sample behavior of two step estimators in selection models
(1999-04)
The problem of specification errors in sample selection models has received considerable attention both theoretically and empirically. However, very few is known about the finite sample behavior of two step estimators. In ...
A Semiparametric Estimation of Liquidity Effects on Option Pricing
(1999-09)
This paper proposes a semiparametric option pricing model with liquidity, as proxied by the relative bid-ask spread. The nonparametric volatility function with liquidity as an explanatory variable is estimated using the ...
Two-Stage Nonparametric Regression for Longitudinal Data
(1999-01)
In the analysis of longitudinal data it is of main interest to investigate the existence of group and individual effects under correlated observations across time. In this paper, we develop a nonparametric two-step procedure ...