We develop methods for testing the hypothesis that an econometric model is undeerindentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the...

We develop methods for testing that an econometric model is underidentified and for estimating the nature of the failed identification. We adopt a generalized-method-of moments perspective in a possibly non-linear econometric specification. If, after attempting to replicate the structural...

<p>We develop methods for testing the hypothesis that an econometric model is underidentified and inferring the nature of the failed identification. By adopting a generalized-method-of moments perspective, we feature directly the structural relations and we allow for nonlinearity in the econometric...</p>

We study the identification of an econometric model that is linear in parameters from a generalized-method-of-moments perspective. We regard underidentification as a set of over- identifying restrictions imposed on an augmented structural model. Therefore, our proposal is to test for...

We compare the Sharpe rations of investment funds which combine one riskless and one risky asset following: i) timing strategies which forecast excess returns using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...

In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy...

<p>Many approaches to estimation of panel models are based on an average or integrated likelihood that assigns weights to different values of the individual effects. Fixed effects, random effects, and Bayesian approaches all fall in this category. We provide a characterization of the class of...</p>

This article surveys J. D. Sargan's work on instrumental variables (IV) estimation and its connections with the generalized method of moments (GMM). First the modeling context in which Sargan motivated IV estimation is presented. Then the theory of IV estimation as developed by Sargan is...

We investigate the determinants of the remarkable increase in intra-regional migrations since the 1980's in Spain, using a large administrative micro dataset on migrants. Conditional migration probabilities are identified by comparing the migrants' joint distribution of characteristics to the...