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...

This dissertation explores three issues regarding mutual funds. The first chapter examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit...

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...