Consider a setting where a treatment that starts at some point during a spell (e.g. in unemployment) may impact on the hazard rate of the spell duration, and where the impact may be heterogeneous across subjects. We provide Monte Carlo evidence on the feasibility of estimating the distribution...

We propose a way to compute the hedging Delta using the Malliavin weight method. Our approach, which we name the l-method, generally outperforms the standard Monte Carlo finite difference method, especially for discontinuous payoffs. Furthermore, our approach is nonparametric, as we only assume...

This paper considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations models are used to study social interactions, strategic interactions between firms, and market equilibrium. Random coefficient models allow for...

Economic theory often provides shape restrictions on functions of interest in applications, such as monotonicity, convexity, non-increasing (non-decreasing) returns to scale, or the Slutsky inequality of consumer theory; but economic theory does not provide finite-dimensional parametric models....

This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully nonparametric regression model with Berkson-type measurement error in the regressors. An estimator is proposed and proven to be consistent. Its practical performance and...

This paper considers the class of p-dimensional elliptic distributions (p = 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the online...

Economic theory often provides shape restrictions on functions of interest in applications, such as monotonicity, convexity, non-increasing (non-decreasing) returns to scale, or the Slutsky inequality of consumer theory; but economic theory does not provide finite-dimensional parametric models....

We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property (Kano, 1994) and within this general framework presents a two-stage semiparametric estimator for the Lebesgue density based on Gaussian mixture sieves. Under the on-line...