We consider the estimation of nonlinear models with mismeasured explanatory variables, when information on the marginal distribution of the true values of these variables is available. We derive a semi-parametric MLE that is shown to be consistent and asymptotically normally distributed. In a...

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are negative. A...

This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, we use nonparametric Bayesian methods to flexibly model the skewness and...

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...

Using recent results in the measurement error literature, we show that the official U.S. unemployment rate substantially underestimates the true level of unemployment, due to misclassification errors in the labor force status in the Current Population Survey. During the period from January 1996...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are "negative." A...

In many multiple testing problems, the individual null hypotheses (i) concern univariate parameters and (ii) are one-sided. In such problems, power gains can be obtained for bootstrap multiple testing procedures in scenarios where some of the parameters are "deep in the null" by making certain...