This chapter reviews the microeconometrics literature on partial identification, focusing on
the developments of the last thirty years. The topics presented illustrate that the available …

This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …

Over the years, many asset pricing studies have employed the sample cross‐sectional
regression (CSR) R2 as a measure of model performance. We derive the asymptotic …

New Keynesian macroeconomic models have generally emphasized that expectations of
future output are a key factor in determining current output. The theoretical motivation for …

We provide a complete asymptotic distribution theory for clustered data with a large number
of independent groups, generalizing the classic laws of large numbers, uniform laws, central …

Parameters defined via general estimating equations (GEE) can be estimated by maximizing
the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219–255] have …

We consider estimation of the structural vector autoregression (SVAR) by the generalized
method of moments (GMM). Given non-Gaussian errors and a suitable set of moment …

Although it is of interest to test whether or not a particular asset pricing model is literally true,
a more useful task for empirical researchers is to determine how wrong a model is and to …

This paper focuses on the use of community-based early warning systems for flood
resilience in Nepal. The first part of the work outlines the evolution and current status of …

We consider inference in models defined by approximate moment conditions. We show that
near‐optimal confidence intervals (CIs) can be formed by taking a generalized method of …