We study the problem of parameter inference in (possibly non-linear and non-smooth) econometric models when the data are measured with error. We allow for "arbitrary" correlation between the true variables and the measurement errors. To solve the identification problem, we require the existence...

We use purely statistical methods to determine if the pricing kernel is the intertemporal marginal rate of substitution under recursive utility. We introduce a nonparametric Bayesian method that treats the pricing kernel as a latent variable and extracts it and its transition density from...

This text, intended for both graduate students and professional researchers, is an effective, concise introduction to the structural econometrics of auctions. Tools from recent developments in theoretical econometrics are combined with established numerical methods to provide a practical guide...

We develop tests for common values at first-price sealed-bid auctions. Our tests are nonparametric, require observation only of the bids submitted at each auction, and are based on the fact that the "winner’s curse" arises only in common values auctions. The tests build on recently developed...