Abstract Grouped data in the form of income shares have conventionally been used to estimate inequality due lack individual records. We present a systematic evaluation performance parametric distributions and non-parametric techniques economic using more than 3300 sets. also provide guidance on choice between these two approaches their estimation, for which we develop GB2group R package. Our re...

This paper proposes a new test for class of conditional moment restrictions (CMRs) whose parameterization involves unknown, unrestricted expectation functions. Motivating examples such CMRs arise from models discrete choice under uncertainty including certain static games incomplete information. The proposed may be viewed as semi-/nonparametric extension the Bierens (1982, Journal Econometrics ...

In this study, we develop a novel estimation method for quantile treatment effects (QTE) under rank invariance and stationarity assumptions. Ishihara (2020 Ishihara, T. (2020), “Identification Estimation of Time-Varying Nonseparable Panel Data Models Without Stayers,” Journal Econometrics, 215, 184–208. DOI: https://doi.org/10.1016/j.jeconom.2019.08.008.[Crossref] , [Google Scholar]) explores i...

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...