Richard Spady (Official Fellow) Richard Spady (Official Fellow) managed to diversify his research portfolio this year into two new areas: politics and finance. With Byron Shafer (Nuffield) and William Claggett (Florida State) he worked on nonparametric discrete outcome models that relate political attitudes to individual voting behaviour in American elections. In finance, he is constructing state-price densities: these are the estimates of the market's expectation of the distribution of (future) security prices that are implicit in (today's) options prices. These two topics are motivating the development of semiparametric methods of density estimation that are related to his earlier work.
On continuing topics, he worked with Guido Imbens (UCLA) on extending their joint work on GMM estimation to time-series contexts. With Andrew Chesher (Bristol) he continues working on better ways of analyzing the behaviour of these statistical methods in small samples.
On the applied side, the first phase of his research with Howard Smith (Oxford) on UK supermarkets was brought to (near!) completion, with the estimation of regional models of industry competition covering England south and west of Oxford.
Richard Spady gave seminars at CEMFI (Madrid), the European University Institute (Florence, at a conference on Differential Geometry in Econometrics) and at Texas A&M and Rice Universities. He has been Investment Bursar since July 1995.