Gallant is interested in fitting models from the sciences to data for the purpose of statistical inference. Typically these models will involve a nonlinear parametric component that describes features of the model where the underlying scientific theory is explicit and a nonparametric component that accounts for features where the scientific theory is vague. Appropriate statistical methods for these problems are usually computationally intensive. Methodological interests are in developing statistical methods and numerical algorithms for fitting these models. Theoretical interests are in deriving the statistical properties of proposed methods, particularly the asymptotic properties of estimators of functionals of the nonparametric component.
Applied interests are primarily within economics and finance.
Gallant lives in Chapel Hill with his wife, Marcia Gallant, who is an elementary school librarian. He has two children, Megan and Drew, who live in San Francisco and are software engineers.