choices are partially unavailable, and dynamic discrete games. We propose a sieve maximum likelihood estimator for primitives …

This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix …-to-implement semiparametric method to estimate each entry of the covariance matrix via model averaging marginal regression, and then apply a … shrinkage technique to obtain the large dynamic covariance matrix estimation. Under some regularity conditions, we derive the …

Allowing for misspecification in the linear conditional quantile function, this paper provides a new interpretation and …–Bassett estimator minimizes a weighted distribution approximation error, defined as F Y (X ′ β(τ)|X)−τ , i.e., the deviation of the … conditional distribution function, evaluated at the linear quantile approximation, from the quantile level. The second result …