This paper studies how foreign investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is...

This paper studies the design of optimal time-consistent monetary policy in an economy where the planner trusts its own model, while a representative household uses a set of alternative probability distributions governing the evolution of the exogenous state of the economy. In such environments,...

For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. There models are often illposed and hence it is...

We present a general framework for studying regularized estimators; such estimators are pervasive in estimation problems wherein "plug-in" type estimators are either ill-defined or ill-behaved. Within this framework, we derive, under primitive conditions, consistency and a generalization of the...

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...

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

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...