In this paper we specify a semi-nonparametric competing risks (SNP-CR) model of recidivism, for misdemeanors and felonies. The model is a bivariate mixed proportional hazard model with Weibull baseline hazards and common unobserved heterogeneity. The distribution of the latter is modeled...

In this paper we consider the asymptotic properties of least squares estimators of the parameters of linear and nonlinear ARMAX models under data heterogeneity, where we allow the X-variables to be stochastic time series themselves, possibly depending on lagged dependent variables. These results...

In this paper we propose to estimate the value distribution of independently and identically repeated first-price auctions directly via a semi-nonparametric integrated simulated moments sieve approach. Given a candidate value distribution function in a sieve space, we simulate bids according to...