This paper proposes a simple, fairly general, test for global identification of unconditional moment restrictions implied from point-identified conditional moment restrictions. The test is based on the Hausdorff distance between an estimator that is consistent even under global identification...

This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free, therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal...

We present a simple way to estimate the effects of changes in a vector of observable variables X on a limited dependent variable Y when Y is a general nonseparable function of X and unobservables. We treat models in which Y is censored from above or below or potentially from both. The basic idea...

Information-theoretic methods have recently been proposed for the simultaneous recovery of investors’ beliefs about future macroeconomic and financial outcomes and their risk preferences from observed asset prices. These methods estimate beliefs and preferences to minimize the statistical...

Baggerly (1998) showed that empirical likelihood is the only member in the Cressie-Read power divergence family to be Bartlett correctable. This paper strengthens Baggerly's result by showing that in a generalized class of the power divergence family, which includes the Cressie-Read family and...

This paper proposes empirical likelihood based inference methods for causal effects identified from regression discontinuity designs. We consider both the sharp and fuzzy regression discontinuity designs and treat the regression functions as nonparametric. The proposed inference procedures do...