The papers collected in the two volumes Nonlinear Models focus on the asymptotic theory of parameter estimators of nonlinear single equation models and systems of nonlinear models, in particular weak and strong consistency, asymptotic normality, and parameter inference, for cross-sections as...

In this paper, it will be shown that if we condition a <italic>k</italic>-variate rational-valued time series process on its entire past, it is possible to capture all relevant information on the past of the process by a single random variable. This scalar random variable can be formed as an autoregressive...

In this paper we propose to estimate the value distribution of independently and identically repeated first-price auctions directly via a semi-nonparametric integrated simulated moments sieve approach. Given a candidate value distribution function in a sieve space, we simulate bids according to...