This paper proposes a method for comparing and combining conditional quantile forecasts based on the principle of 'encompassing'. Our test for conditional quantile forecast encompassing (CQFE) is a test of superior predictive ability, constructed as a Wald-type test on the coefficients of an...

Though one of the pillars of the theory of international trade, the extreme predictions of the Ricardian model have made it unsuitable for empirical purposes. A seminal contribution of Eaton and Kortum (2002) is to demonstrate that random productivity shocks are sufficient to make the Ricardian...

We study the properties of a quasi-maximum likelihood (QML) for the parameters of a "weak" GARCH process obtained by contemporaneous aggregation of two independent "strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator (QMLE) has already been reported by Nijman &...

In this paper we design an econometric test for monotone comparative statics (MCS) often found in models with multiple equilibria. Our test exploits the observable implications of the MCS prediction: that the extreme (high and low) conditional quantiles of the dependent variable increase...

This note derives primitive conditions for global identification in nonlinear simultaneous equations systems. Identification is semiparametric in the sense that the latent structural disturbance is only known to satisfy a number of orthogonality restricitions with respect to observed...

In this paper we consider the problem of efficient estimation in conditional quantile models with time series data. Our first result is to derive the semiparametric efficiency bound in time series models of conditional quantiles; this is a nontrivial extension of a large body of work on...

In this paper we propose primitive conditions under which a projec- tion of a conditional density onto a set dened by conditional moment restric- tions exists and is unique. Moreover, we provide an analytic expression of the obtained projection. Our rst result is to show the existence when the...

Though one of the pillars of the theory of international trade, the extreme predictions of the Ricardian model have made it unsuitable for empirical purposes. A seminal contribution of Eaton and Kortum (2002) is to demonstrate the stochastic productivity differences at the firm-level are...

This paper focuses on nonseparable structural models of the form Y = m(X, U, α0) with U X and in which the structural parameter α0 contains both finite dimensional (θ0) and infinite dimensional (h0) unknown components. Our proposal is to estimate α0 by a minimum distance from...

This paper derives primitive conditions for global identification in nonlinear simultaneous equations systems. Identification is semiparametric in the sense tht it is based on a set of unconditional moment restrictions. Our contribution to the literature is twofold. First, we derive a set of...