Selected Publications
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the […]
In complicated/nonlinear parametric models, it is generally hard to know whether the model parameters are point […]
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This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and […]
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In complicated/nonlinear parametric models, it is generally hard to determine whether the model parameters are (globally) […]
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We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]
We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal […]
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This paper makes several contributions to the literature on the important yet difficult problem of estimating […]
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This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, […]
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We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal […]