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Copulas, correlation, nonlinear comovements, goodness-of-fit tests, GARCH
Auctions, entry, risk aversion, boundary condition, identification, set inference, parameter-dependent support, MPEC, flexible parametric form, approximate profile likelihood-ratio, Bayes credible sets, frequentist confidence sets. JEL Classifications: D44
Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory
Auxiliary data, Measurement error, Missing data, Treatment effect, Semiparametric efficiency bound, GMM, Sieve estimation
non-expected utility, recursive utility
Nonlinear time series, Temporal dependence, Tail dependence, Penalized sieve M estimation, Penalized sieve minimum distance, Semiparametric two-step, Nonlinear ill-posed inverse, Mixtures, Conditional moment restrictions, Nonparametric endogeneity, Dynamic asset pricing, Varying coefficient VAR, GAR
Copula, Tail dependence, Nonlinear Markov models, Geometric ergodicity, Sieve MLE, Semiparametric efficiency, Sieve likelihood ratio statistics, Value-at-Risk
penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile Engel curves
Penalized sieve minimum distance, Nonsmooth generalized residuals, Nonlinear nonparametric endogeneity, Weighted bootstrap, Semiparametric efficiency, Confidence region, Partially linear quantile IV regression, Shape-invariant quantile IV Engel curves
Nonlinear Ill-Posed Inverse, Penalized Sieve Minimum Distance, Modulus Of Continuity, Convergence Rate, Nonparametric Additive Quantile IV, Quantile IV Engel Curves
Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Convergence rate, Nonparametric additive quantile IV, Quantile IV Engel curves
Treatment effects, Propensity score, Artificial neural networks, Semiparametric efficiency
Identification, Local identification, Nonparametric models, Asset pricing
Overidentification, Semiparametric efficiency, Specification testing, Nonparametric conditional moment restrictions, Semiparametric two step
Overidentification, Semiparametric efficiency, Specification testing, Nonparametric conditional moment restrictions
Semiparametric models, Partial identification, Irregular functionals, Sieve likelihood ratio, Weighted bootstrap
Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling
Quantile autoregression, Copula, Ergodic nonlinear Markov models
Ill-posed inverse problems, Series 2SLS, Optimal sup-norm convergence rates, Adaptive estimation, Random matrices, Bootstrap uniform confidence bands, Nonlinear welfare functionals, Nonparametric demand analysis with endogeneity
Characteristic function, Deconvolution, Flash Crash, Liquidity
Conditional moment restrictions containing unknown functions, (Quantile) Instrumental variables, Linear and nonlinear functionals, Sieve minimum distance, Sieve GMM, Sieve Wald, QLR, Bootstrap, Semiparametric two-step GMM, Numerical equivalence
Nonsmooth residuals, Nonlinear ill-posed inverse, Penalized sieve minimum distance, Modulus of continuity, Average derivative of a nonparametric nonlinear IV regression, Non-parametric additive quantile IV regression
Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator
Recursive Estimation, Non-Parametric Estimation, Hilbert Space, Generalized Method of Moments
Sieve two-step GMM, Weakly dependent data, Auto-correlation robust inference, Semiparametric over-identification test, Numerical equivalence, Random perturbation derivative estimator
Data combination, Nonlinear errors-in-variables model, Nonclassical measurement error, Nonparametric identification, Misspecified parametric latent model, Sieve likelihood estimation and inference
Subjective beliefs, bounded rationality, misspecification sets, nonlinear expectation, divergence, Lagrange multipliers, stochastic dual programming, confidence sets
Nonparametric instrumental variables; Statistical ill-posed inverse problems; Optimal uniform convergence rates; Weak dependence; Random matrices; Splines; Wavelets
Finite mixtures, Parametric bootstrap, Profiled likelihood ratio statistic, Partial identification, Parameter on the boundary
Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution
Overlapping Information Sets, Semiparametric Efficiency, Two-Step GMM
Two-step semiparametrics
Multivariate survival models, Misspecified copulas, Penalized pseudo-likelihood ratio, Fixed or random censoring, Kaplan-Meier estimator
Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve variance estimators, Sieve Wald, Sieve quasi likelihood ratio, Generalized residual bootstrap, Local power, Wilks phenomenon
Nonlinear nonparametric instrumental variables; Penalized sieve minimum distance; Irregular functional; Sieve variance estimators; Sieve Wald; Sieve quasi likelihood ratio; Generalized residual bootstrap; Local power; Wilks phenomenon
Nonparametric instrumental regression, Nonparametric indirect regression, Statistical ill-posed inverse problems, Minimax risk lower bound, Optimal rate
Semi-nonparametric dynamic models, Residual copulas, Semiparametric multistep, Residual sieve maximum likelihood, Semiparametric efficiency
Series 2SLS, Optimal Sup-Norm Convergence Rates, Uniform Gaussian Process Strong Approximation, Score Bootstrap Uniform Confidence Bands, Nonlinear Welfare Functionals, Nonparametric Demand with Endogeneity
sequential moment models, semiparametric efficiency bounds, optimally weighted orthogonalized sieve minimum distance, nonparametric IV regression, weighted average derivatives, partially linear quantile IV
Instrumental variables; Minimax rate of testing; Adaptive testing; Exponential scan; Confidence sets; Quadratic functionals; Shape restrictions.
Nonparametric series regression, Optimal uniform convergence rates, Weak dependence, Random matrices, Splines, Wavelets, (Nonlinear) Irregular Functionals, Sieve t statistics
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Nonlinear nonparametric instrumental variables, Penalized sieve minimum distance, Irregular functional, Sieve Riesz representer, Sieve quasi likelihood ratio, Asymptotic normality, Bootstrap, Sieve variance estimator
