We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to CRSP daily data.

Suppose V and U are two independent mean zero random variables, where V has an asymmetric distribution with two mass points and U has a symmetric distribution. We show that the distributions of V and U are nonparametrically identified just from observing the sum V + U, and provide a rate root n...

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the stochastic discount factor (SDF) in dynamic Markov environments. The approach is nonparametric in that it does not impose parametric restrictions on the law of motion of the...

Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...

This paper proposes a new discount rate that pension funds can use to discount their future obligations. If the payouts of a pension fund depend on the return of the fund's assets, then neither the risk-free rate nor the expected return is an equitable way to discount future liabilities. Using...

This paper extends Imbens and Manski’s (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the...

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...