This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown parametric components ([theta]) and unknown functions (h) of endogenous variables. We show that: (1) the penalized sieve minimum distance (PSMD) estimator can...

We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root-n asymptotic normality of a two-step...

We provide an equilibrium framework for modeling the behavior of an agent who holds a simplified view of a dynamic optimization problem. The agent faces a Markov decision process, where a transition probability function determines the evolution of a state variable as a function of the previous...