Richard Spady's 1997-98 Annual Research Report

Richard Spady (Official Fellow) worked on three continuing projects this year. He and Guido Imbens (UCLA) made some encouraging progress on extending their work on GMM estimation to time-series contexts while also pursuing some investigations into the relative performance of confidence intervals constructed using their methods. The first area was the subject of seminars at Princeton University and the ESRC Econometrics Study Group at the Institute for Fiscal Studies while the second was presented at the USC/Stanford Seminar on Econometrics, Catalina Island (California).

With Byron Shafer (Professorial Fellow, Politics) he developed some new methodology for estimating political attitudes from categorical responses and devised a nonparametric estimator of the effect of attitudes on voting behaviour. The initial application is an analysis of the Reagan-Mondale election. This work was the subject of econometrics seminars at Northwestern and Rutgers.

Finally, he took the dangerous step in his finance work of moving from the estimation of state price densities (which are the market’s expectation of the distribution of (future) security prices that are implicit in (today’s) options prices) to the actual pricing of options. It is a fortunate coincidence that he is no longer Investment Bursar.