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Editors? preface; Part I. Methods and Applications Based on Kernels: 1. Semiparametric last squares estimation of multiple index models: single equation estimation Hidehiko Ichimura and Lung-Fei Lee; 2. Nonparametric estimation and the risk premium A. R. Pagan and Y. S. Hong; 3. Nonparametric policy analysis: an application to estimating hazardous waste cleanup benefits James H. Stock; 4. Equivalence of direct, indirect, and slope estimators of average derivatives Thomas M. Stoker; 5. Equivalence of direct, indirect, and slope estimators of average derivatives: a comment T. Scott Thompson; Part II. Methods and Applications Based on Series Expansions: 6. Seminonparametric Bayesian estimation of the asymptotically ideal model: the AIM consumer demand system William A. Barrett, John Geweke, and Piyu Yue; 7. Semiparametric estimation of a regression model with sampling selectivity Stephen R. Cosslett; 8. On fitting a recalcitrant series: the pound/dollar exchange rate, 1974?84 A. Ronald Gallant, David A. Hsieh and George E. Taucher; Part III. Methods for Independent Observations: 9. A nonparametric method-of-moments estimator for the mixture-of-exponentials model and the mixture-of-geometrics model James J. Heckman; 10. Nonparametric estimation of expectations in the analysis of discrete under uncertainty Charles F. Manski; 11. A nonparametric maximum rank correlation estimator Rosa L. Matzkin; 12. Efficient estimation of Tobit models under conditional symmetry Whitney K. Newey; 13. Bracketing methods in statistics and econometrics David Pollard; 14. Estimation of monotonic regression models under quantile restrictions James L. Powell; Part IV. Models for Dependent Observations: 15. Computing semiparametric efficiency bounds for linear time series models Lars Peter Hansen and Kenneth J. Singleton; 16. Spectral regression for cointegrated time series P. C. B. Phillips; 17. Nonparametric function estimation for long memory time series Peter M. Robinson; 18. Some results on sieve estimation with dependent observations Halbert White and Jeffrey M. Wooldridge.

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