Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The...

Value-at-Risk (VaR) and Conditional Tail Expectation (CTE) are the two most frequently applied risk measures in quantitative risk management. Recently, expectile has also attracted much attention as a risk measure due to its elicitability property. This paper establishes empirical likelihood...

The validity of the IV estimator relies on the orthogonality with respect to the random disturbance. However, in cases of endogenously truncated data as well as in other instances (e.g., censored data) which is very frequently the nature of data used in empirical research, there exists severe...

We reconsider the partial identification analysis of the regression model in Manski and Tamer (2002) where one covariate is only interval-measured and present two additional sets of results. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results....

Motivated by Manski and Tamer (2002) and especially their partial identification analysis of the regression model where one covariate is only interval-measured, we present two extensions. Manski and Tamer (2002) propose two estimation approaches in this context, focussing on general results. The...

We study a Tikhonov Regularized (TiR) estimator of a functional parameter identified by conditional moment restrictions in a linear model with both exogenous and endogenous regressors. The nonparametric instrumental variable estimator is based on a minimum distance principle with penalization by...

We characterize the robustness of subsampling procedures by deriving a formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust...

We develop a minimum distance estimator for dynamic games of incomplete information. We take a two-step approach, following Hotz and Miller (1993), based on the pseudo-model that does not solve the dynamic equilibrium so as to circumvent the potential indeterminacy issues associated with...

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....