semiparametric efficiency bound, thereby extending the existing literature on efficient estimation of causal effect to a wider class … of applications. Finally, we discuss estimation of some causal effect functionals such as the treatment effect curve and …-scale simulation study and find that the proposed estimation has practical value. To illustrate the applicability of the procedure, we …

attains the semiparametric efficiency bound, thereby extending the existing literature on efficient estimation of causal … effect to a wider class of applications. Finally, we discuss estimation of some causal effect functionals such as the … a small-scale simulation study and find that the proposed estimation has practical value. In an empirical application …

We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …-period returns to construct a nonparametric proxy for the latent conditional variance in the first step which is subsequently used as …

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility … functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric …). We also propose a novel nonparametric estimator based on our identification analysis, which combines standard kernel …