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Xiaohong Chen

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Journal article | Journal of Econometrics
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (εt) from the observed transaction prices alone.
Cemmap Working Paper CWP43/17
In complicated/nonlinear parametric models, it is generally hard to know whether the model parameters are point identified. We provide computationally attractive procedures to construct confidence sets (CSs) for identified sets of full parameters and of subvectors in models defined through a ...

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