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

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 …

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

demand estimation techniques. Although we find that error in market shares generally undermine the standard point …

moment was dropped from the estimation. The measures are all easy to compute. We illustrate the usefulness of the measures …

estimator. -- Semi-parametric estimation ; generated regressors ; asymptotic variance …