The article considers an adaptive sequential nonparametric estimation of a multivariate regression with assigned mean integrated squared error (MISE) and minimax stopping time when the estimator matches performance oracle knowing all nuisance parameters functions. It is known that problem has no solution if belongs to Sobolev class differentiable What underlying smoother, say, analytic? shown i...

In traditional parametric regression models, the functional form of the model is specified before the model is fit to data, and the object is to estimate the parameters of the model. In nonparametric regression, in contrast, the object is to estimate the regression function directly without specifying its form explicitly. In this appendix to Fox and Weisberg (2011), we describe how to fit sever...

This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series regression case, we construct a nonparametric test for testing whether the regression is of a known...

The Finite Sample Performance of Semiand Nonparametric Estimators for Treatment Effects and Policy Evaluation This paper investigates the finite sample performance of a comprehensive set of semiand nonparametric estimators for treatment and policy evaluation. In contrast to previous simulation studies which mostly considered semiparametric approaches relying on parametric propensity score estim...

This paper considers a class of nonparametric autoregressive processes and then a class of nonparametric time series regression models with a nonstationary regressor. For the autoregression case, we propose a nonparametric unit–root test for the conditional mean. For the nonparametric time series regression case, we construct a nonparametric test for testing whether the regression is of a known...