Final Report Summary - NAMSEF (Nonparametric and Semiparametric Methods in Economics and Finance)
The project has been very successful from the point of view of producing top quality research published in top academic journals. The core part of the research has been completed. Specifically, the main papers have been published on developing nonparametric methodology for applications in economics and finance. The first part was related to my work on separable nonparametric models, which is at the frontier of econometric methodology. The second part of the project was related to my work on testing stochastic dominance, which is a topic of considerable current interest and considerable scope of application. This work involved several extensions of existing methodology and its application to new problems. Both sets of projects involve theoretical work in terms of defining estimators and test statistics and analyzing their properties. They also involve application of the methodology to simulated and real data. This involved developing efficient computer programmes and running them on state of the art machines. Because the procedures we developed are complicated functions of the data they are very time consuming to implement, especially time consuming to implement well. There are some aspects mentioned in the proposal that remain incomplete, but a solid foundation is there for this research to be concluded. On the other hand, the project has generated a number of other closely related projects that have led to and are leading towards publications.