Consider an observed binary regressor D and an unobserved binary variable D*, both of which affect some other variable Y. This paper considers nonparametric identification and estimation of the effect of D on Y , conditioning on D* = 0. For example, suppose Y is a person's wage, the unobserved D...

In this paper, a general Blinder-Oaxaca decomposition is derived that can also be applied to non-linear models, which allows the differences in a non-linear outcome variable between two groups to be decomposed into a part that is explained by differences in observed characteristics and a part...

A measurement error model is a regression model with (substantial) measurement errors in the variables. Disregarding these measurement errors in estimating the regression parameters results in asymptotically biased estimators. Several methods have been proposed to eliminate, or at least to...

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

In 1979, the Danish mathematician Georg Rasch recounted a 1959 visit with his former teacher, and later economics Nobel Prize winner, Ragnar Frisch. At this time, Frisch prompted Rasch to formalize his work in a separability theorem. Previously unnoted is that Frisch's close colleague, Irving...

This paper takes into account the recent role of social protection on economic growth as a socio-economic-political stabilizer. Social protection outcome in Sudan is influenced by limited targeting actions with very low interventions between results in economic growth and accesses to basic...

In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

We develop methods of non-parametric estimation for the Expected Shortfall of possibly heavy tailed asset returns that leads to asymptotically standard inference. We use a tail-trimming indicator to dampen extremes negligibly, ensuring standard Gaussian inference, and a higher rate of...