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,...

We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baselinepretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

This paper introduces a bivariate version of the generalized accelerated failure time model. It allows for simultaneity in the econometric sense that the two realized outcomes depend structurally on each other. Another feature of the proposed model is that it will generate equal durations with...

In this paper, I construct a new test of conditional moment inequalities based on studentized kernel estimates of moment functions. The test automatically adapts to the unknown smoothness of the moment functions, has uniformly correct asymptotic size, and is rate optimal against certain classes...

The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal positive shocks. Whether this is attributable to changing financial leverage is still subject to dispute but the terminology is in wide use. There are many tests of the leverage...

We derive a Gaussian approximation result for the maximum of a sum of high dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance...

We develop a new direct approach to approximating suprema of general empirical processes by a sequence of suprema of Gaussian processes, without taking the route of approximating whole empirical processes in the supremum norm. We prove an abstract approximation theorem that is applicable to a...