This paper provides a practical and novel method for inference on intersection bounds, namely bounds defined by either the infimum or supremum of a parametric or nonparametric function, or equivalently, the value of a linear programming problem with a potentially infinite constraint set.

This paper characterises the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identifi…ed via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the …finite dimensional parameters are potentially over-identi…fied via unconditional moment restrictions involving the nuisance functions.

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model’s ability to …to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return.

The primary concern of this article is the provision of definitions and tests for exogeneity appropriate for models defined through sets of conditional moment restrictions.

This article reviews the recent literature on the econometric analysis of games where multiple solutions are possible.

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions.

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n− consistent estimators whose cardinality increases with sample size.

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints.

This paper proposes a new statistical test of the stochastic dominance efficiency of a given portfolio over a class of portfolios.

This paper proposes an alternative way to test the leverage hypothesis, using realised volatility as an alternative direct nonparametric measure.