In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is … discontinuous and must be regularised (that is, modified) to make consistent estimation possible. The amount of modification is … in applications are not yet available. This paper presents such a method for use in series estimation, where the …

We provide general compactness results for many commonly used parameter spaces in nonparametric estimation. We consider … instrumental variables estimation. …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm …

nonparametric first step and a beta-adaptive portfolios construction. Our framework rationalizes the well-known estimation algorithm … ensure valid estimation and inference allowing for a range of hypotheses of interest in financial applications. We show that …

We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility … estimation with the computation of a matrix eigenvector problem. Our estimator avoids the ill-posed inverse issues associated …