We study identification and estimation of the average treatment effect in a correlated random coefficients model that …

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

A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

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 …

robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility … propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long … run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory …

propensity score weighting estimation of the average treatment effects for treated (ATT). The proposed averaging procedures aim …

. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables … this applicability with an empirical example to the estimation of a gravity equation of international trade between …