In this article, we analyze Generalized Method of Moments (GMM) and Continuous Updating Estimator (CUE) with strong, nearly-weak, and weak identification. We show that with this mixed system, the limits of the estimators are nonstandard. In the subcase of GMM estimator with only nearly-weak...

We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of simultaneous equation models, sample selection models,...

This paper attempts to provide a synthetic view of varied techniques available for per- forming inference on income distributions. Two main approaches can be distinguished: one in which the object of interest is some index of income inequality or poverty, the other based on notions of stochastic...

We present some methods for the estimation and testing of usual ergodic interest rate models based on the observation of the short interest rate on the monetary market. First, we develop a test of type Kolmogorov-Smirnov for ergodic diffusion processes. We extend the results to the case where...

Suppose that one can observe bivariate random variables (L,X) only when L≤X holds. Such data are called left-truncated data and found in many fields, such as experimental education and epidemiology. Recently, a method of fitting a parametric model on (L,X) has been considered, which can easily...

Incorrect specification of the hazard rate in duration analysis can produce inconsistent estimators of the parameters of the model. We propose a new estimator for discrete duration models in which the hazard rate is comprised of an inner index function of the covariates and time variable and an...

The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the...

This paper studies tools for checking the validity of a parametric regression model, when both response and predictors are unobserved and distorted in a multiplicative fashion by an observed confounding variable. A residual based empirical process test statistic marked by proper functions of the...

This paper shows how the modern machinery for generating abstract empirical central limit theorems can be applied to arrays of dependent variables. It develops a bracketing approximation based on a moment inequality for sums of strong mixing arrays, in an effort to illustrate the sorts of...