In this thesis, we study nonparametric identification of first-price auction models and propose a semi-nonparametric simulated integratedmoment estimation method to recover the underlying value distribution.In the first essay, we investigate the nonparametric identification of the first-price...

It is unrealistic to conceive that economic variables or relationships follow a statistical law in which moments or parameters are kept constant over time. The focus of this dissertation is on model specification and testing of time series that are subject to gradual or sudden structural changes...