Research

Working Papers

• "Semiparametric Estimation of Dynamic Games of Incomplete Information" with Patrick Bajari and Victor Chernozhukov and Denis Nekipelov, preliminary version

• "Nonparametric Tests for Common Values in First-Price Sealed-Bid Auctions" joint with Phil Haile and Matthew Shum

• "Estimating a Dynamic Oligopolistic Game with Serially Correlated Unobserved Production Costs" with Ron Gallant and Ahmed Khwaja preliminary version

• "Extremum Estimation and Numerical Derivatives" with Denis Nekipelov and Aprajit Mahajan preliminary version

• "Asymptotic Distribution of the Transaction of a Multi-Unit, Ascending Auction" with Harry Paarsch and Steven Xu preliminary version

Publications 

• ``Three-Step Censored Quantile Regression'', with Victor Chernozhukov, Journal of American Statistical Association, 97(459), pp 872--882.

• "Structural Estimation of Auction Models,'' with Matthew Shum, appeared in the volume Game Practice, ed. Jurado, Tijs, Patrone. Kluwer Publishing Co., 2000

• "Increasing Competition and the Winner's Curse: Evidence from Procurement", with Matthew Shum, Review of Economic Studies, 69 (4), pp 871-898

• ''Econometric Models of Asymmetric Ascending Auctions,'' with Matthew Shum, Journal of Econometrics, 112(2), pp327--358.

• ``Inference in Censored Models with Endogenous Regressors,'' with Elie Tamer, Econometrica, 71(3), pp905--932.

• ``A MCMC approach to classical estimation,'' with Victor Chernozhukov, Journal of Econometrics, 115(2), pp293--346.

• ``A Simple Estimator for Nonlinear Error in Variable Models,'' with Elie Tamer, Journal of Econometrics, 117(1), pp1--19

• ``Endogenous binary choice model with median restrictions,'' with Elie Tamer, Economics Letters, 80(2), pp219--225

• ``Generalized Empirical Likelihood based Model Selection Criteria for Moment Based Models,'' with Bruce Preston and Matthew Shum, Econometric Theory, 19(6), pp923--943

• ``Rates of Information Aggregation in Common Value Auctions,'' with Matthew Shum, Journal of Economic Theory, 116(1), pp1-40

• ``A fast subsampling method for nonlinear dynamic models,'' with Olivier Scaillet, Journal of Econometrics, 2006, 133(2), pp557--578.

• ``Likelihood Estimation and Inference in a Class of Nonregular Econometric Models", with Victor Chernozhukov, Econometrica, 2004, 72(5), pp 1445--1480

• "Measurement Error Models with Auxiliary Data", with Xiaohong Chen and Elie Tamer, Review of Economic Studies, April 2005, 72, pp 343--366.

• "Using Price Distributions to Estimate Search Costs", with Matthew Shum, Rand Journal of Economics, Summer 2006, vol. 37, no. 2, pp258--276

• "Nonparametric Likelihood Selection Tests for Parametric versus Moment Models" joint with Xiaohong Chen and Matthew Shum, Journal of Econometrics, 2007, 141(1), pp109--140.

• "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors" joint with Xiaohong Chen and Alessandro Tarozzi, 2007, Annals of Statistics, 2008, 36(2), pp808--843.

• "Parameter Set Inference in a Class of Econometric Models" joint with Victor Chernozhukov and Elie Tamer, Econometrica, 2007, 75(5), pp1243--1284.

• "A Statistical Inquiry into the Plausibility of Recursive Utility" joint with Ron Gallant, Journal of Financial Econometrics, 2007, 5(4), pp523--559.

• " Estimating Static Models of Strategic Interactions" with Patrick Bajari, John Krainer and Denis Nekipelov, forthcoming, Journal of Business and Economic Statistics

• "A Semiparametric Estimator for Dynamic Optimization Models" joint with Matthew Shum, forthcoming, Review of Economic Studies

• "Identification and Estimation of Discrete Games of Complete Information" joint with Patrick Bajari and Stephen Ryan, forthcoming, Econometrica

• " Semiparametric Efficiency in Nonlinear LATE Models" with Denis Nekipelov, accepted, Quantitative Economics

• "Nonlinear Models of Measurement Errors" survey article written with Xiaohong Chen and Denis Nekipelov accepted, Journal of Economic Literature

• " Bayesian Averaging, Prediction and Nonnested Model Selection" with Bruce Preston, accepted, Journal of Econometrics

Acknowledgement 

• Generous research supports from the National Science Foundation (SES-0079495, SES-0335113, SES-04521423, SES-0721015, SES-1024504) and from the Sloan Foundation are acknowledged.