We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and …

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and …

We study identification and estimation in a binary response model with random coefficients B allowed to be correlated … leads to an analogous localize-then-average approach to estimation. We estimate conditional means with localized smooth …

We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this model is … with the dimension of the matrix. We propose an estimation method of the parameters based on a log-linear property of the … structure, and also a quasi-maximum likelihood estimation (QMLE) method. We establish the rate of convergence of the estimated …

This paper characterizes and proposes a method to correct for errors-in-variables biases in the estimation of rank … correlation coeffcients (Spearman's ρ and Kendall's τ). We first investigate a set of suffcient conditions under which measurement …

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile …. At the same time, the efficiency gain in error quantile estimation hinges on the efficiency of estimators of the variance … parameters. We show that the same conclusion applies to the estimation of conditional Expected Shortfall. Our comparison also …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …