1. Jiti Gao is Professor of Economics, School of Economics, The University of Adelaide, Adelaide SA 5005, Australia . Irene Gijbels is Professor of Statistics, Department of Mathematics, University of Leuven, Celestijnenlaan 200B, B-3001, Leuven, Belgium . The authors thank the editor, an associate editor, and three reviewers for their very valuable comments, which led to a considerably improved version of the original manuscript. The first author thanks Jiying Yin for his excellent computing assistance...