In this paper we propose primitive conditions under which a projec- tion of a conditional density onto a set dened by conditional moment restric- tions exists and is unique. Moreover, we provide an analytic expression of the obtained projection. Our rst result is to show the existence when the...

Though one of the pillars of the theory of international trade, the extreme predictions of the Ricardian model have made it unsuitable for empirical purposes. A seminal contribution of Eaton and Kortum (2002) is to demonstrate the stochastic productivity differences at the firm-level are...

This paper focuses on nonseparable structural models of the form Y = m(X, U, α0) with U X and in which the structural parameter α0 contains both finite dimensional (θ0) and infinite dimensional (h0) unknown components. Our proposal is to estimate α0 by a minimum distance from...

This paper derives necessary and sufficient conditions for nonparametric transformation models to be (i) correctly specified, and (ii) identified. Our correct specification conditions come in a form of partial differential equations; when satisfied by the true distribution, they ensure that the...

In this paper we consider the problem of semiparametric efficient estimation in conditional quantile models with time series data. We construct an M-estimator which achieves the semiparametric efficiency bound recently derived by Komunjer and Vuong (forthcoming). Our efficient M-estimator is...

This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of the identified components. Our nonparametric identification result is global, and is derived under conditions that are substantially weaker than full independence. In...

consistent and asymptotically normally distributed. Copyright (C) 2010 The Author(s). The Econometrics Journal (C) 2010 Royal Economic Society

In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...

Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...