We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

Consider two heterogenous populations of agents who, when matched, jointly produce an output, Y. For example, teachers and classrooms of students together produce achievement, parents raise children, whose life outcomes vary in adulthood, assembly plant managers and workers produce a certain...

This paper models the use of statistical hypothesis testing in regulatory approval. A privately informed agent proposes an innovation. Its approval is beneficial to the proponent, but potentially detrimental to the regulator. The proponent can conduct a costly clinical trial to persuade the...

In complicated/nonlinear parametric models, it is generally hard to determine whether the model parameters are (globally) point identified. We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of parameters in econometric models defined through...