This paper builds on Bonhomme (2012) to develop a method to systematically construct moment conditions for dynamic panel data logit models with fixed effects. After introducing the moment conditions obtained in this way, we explore their implications for identification and estimation of the...

We propose a simple model selection test for choosing among two parametric likelihoods which can be applied in the most general setting without any assumptions on the relation between the candidate models and the true distribution. That is, both, one or neither is allowed to be correctly...

Many time-series exhibit "long memory": Their autocorrelation function decays slowly with lag. This behavior has traditionally been modeled via unit roots or fractional Brownian motion and explained via aggregation of heterogenous processes, nonlinearity, learning dynamics, regime switching or...

This paper develops the method of local instrumental variables for models with multiple, unordered treatments when treatment choice is determined by a nonparametric version of the multinomial choice model. Responses to interventions are permitted to be heterogeneous in a general way and agents...

We construct a theoretical model of the dynamic processes (firm entry, growth, decline, and exit) that underpin the determination of a limiting firm size distribution (FSD). In particular, we model such dynamic processes using key structural parameters; sunk cost, exogenous entry constraints,...

This paper introduces a general method to convert a model defined by moment conditions involving both observed and unobserved variables into equivalent moment conditions involving only observable variables. This task can be accomplished without introducing infinite-dimensional nuisance...

Widely used convolutions and deconvolutions techniques traditionally rely on the assumption of independence, an assumption often criticized as being very strong. We observe that independence is, in fact, not necessary for the convolution theorem to hold. Instead, a much weaker notion, known as...