This paper shows that factor risk premia can be consistently estimated using a semi-parametric estimate of the stochastic discount factor without requiring a correctly specified linear factor model. We use a minimum discrepancy objective function to construct a stochastic discount factor from...

I adapt Schmertmann's Calibrated Spline method to the problem of estimating a complete mortality schedule from abridged data. I demonstrate its ability to fit the range of mortality profiles seen across the epidemiological transition. I find that it is as accurate as current popular methods...

We propose a new class of unit root tests that exploits invariance properties in the Locally Asymptotically Brownian Functional limit experiment associated to the unit root model. The invariance structures naturally suggest tests that are based on the ranks of the increments of the observations,...

Numerous empirical studies employ regression discontinuity designs with multiple cutoffs and heterogeneous treatments. A common practice is to normalize all the cutoffs to zero and estimate one effect. This procedure identifies the average treatment effect (ATE) on the observed distribution of...

In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first-step, we estimate the bid density and distribution using local polynomial method, and recover a sample of (pseudo) private values. In the second-step, we apply the method of moments...

In this article we overview nonparametric (spline and kernel) regression methods and illustrate how they may be used in labor economic applications. We focus our attention on issues commonly found in the labor literature such as how to account for endogeneity via instrumental variables in a...

Partial mean with generated regressors arises in several econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model. This paper proposes a nonparametric estimator for the partial mean...

This paper studies the estimation of integrated volatility functionals, which is essentially a semiparametric two-step estimation problem in the nonstationary continuous-time setting. Different from the classic i.i.d. or stationary setting, a faster-than-$n^{1/4}$ convergence rate for the...

This paper considers Oaxaca-Blinder type decompositions with continuous groups. In particular, we decompose the differences between outcomes at a series of values of the group variable and at a particular value of the group variable into (i) a composition effect and (ii) a structure effect. The...

In this paper, we propose a new non-parametric density estimator derived from the theory of frames and Riesz bases. In particular, we propose the so-called bi-orthogonal density estimator based on the class of B-splines, and derive its theoretical properties including the asymptotically optimal...