We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute...

This dissertation consists of three chapters relating to identification and inference in dynamic microeconometric models including dynamic discrete games with many players, dynamic games with discrete and continuous choices, and semiparametric binary choice and duration panel data...

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general moment restrictions with missing data. Identification relies on auxiliary data containing information about the distribution of the missing variables conditional on proxy variables that are...

We propose a nonparametric likelihood ratio testing procedure for choosing between a parametric (likelihood) model and a moment condition model when both models could be misspecified. Our procedure is based on comparing the Kullback–Leibler Information Criterion (KLIC) between the parametric...

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics...

The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...

This dissertation consists of three related chapters that study financial market volatility,jumps and the economic factors behind them. Each of the chapters analyzes adifferent aspect of this problem.The first chapter examines tests for jumps based on recent asymptotic results.Monte Carlo...

estimates and examines the empirical plausibility of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long-run risks (LRR) model of Bansal and Yaron, low-frequency...

describes the use of the Gallant-Tauchen efficient method of moments (EMM) technique for diagnostic checking of stochastic differential equations (SDEs) estimated from financial market data. The EMM technique is a simulation-based method that uses the score function of an auxiliary model as the...

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the...