Let H 0 (X) be a function that can be nonparametrically estimated. Suppose E [ Y | X ]= F 0 [ X ß 0 H 0 (X) ] . Many models fit this framework, including latent in- dex models with an endogenous regressor and nonlinear models with sample se- lection. We show that the vector ß 0 and unknown...

We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...

Advances in Econometrics is a research annual whose editorial policy is to publish original research articles that contain enough details so that economists and econometricians who are not experts in the topics will find them accessible and useful in their research. Volume 37 exemplifies this...

The Basel Committee on Banking Supervision (BIS) has recently sanctioned Expected Shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known Value-at-Risk (VaR). This change is motivated by the appealing theoretical properties of ES as a...

This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator...