This paper uses the information contained in the joint dynamics of households' labor earnings and consumption-choice decisions to quantify the nature and amount of income risk that households face. We accomplish this task by estimating a structural consumption-savings model using data from the...

Models of ecological inference (EI) have to rely on crucial assumptions about the individual-level data-generating process, which cannot be tested because of the unavailability of these data. However, these assumptions may be violated by the unknown data and this may lead to serious bias of...

This paper proposes an econometric framework to estimate market risk prices associated with risk-neutral measures Q under incomplete markets. We show that, under incomplete markets, the market price of risk is not point-identified but is instead identified as a bounded subset of an affine...

Understanding uncertainty in estimating risk measures is important in modern financial risk management. In this paper we consider a nonparametric framework that incorporates auxiliary information available in covariates, and propose a family of inferential methods for the value at risk, expected...

This paper studies an identification problem that arises when clinicians seek to personalize patient care by predicting health outcomes conditional on observed patient covariates. Let y be an outcome of interest and let (x=k, w=j) be observed patient covariates. Suppose a clinician wants to...