Microeconomic theory often yields models with multiple nonlinear equations, nonseparable unobservables, nonlinear cross equation restrictions, and many potentially multicolinear covariates. We show how statistical dimension reduction techniques can be applied in models with these features. In...

Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric...

We study estimation and inference of the expected shortfall for time series with infinite variance. Both the smoothed and nonsmoothed estimators are investigated. The rate of convergence is determined by the tail thickness parameter, and the limiting distribution is in the stable class with...