In this paper, we analyze properties of the Continuous Updating Estimator (CUE) proposed by Hansen et al. (1996), which has been suggested as a solution to the finite sample bias problems of the two-step GMM estimator. We show that the estimator should be expected to perform poorly in finite...

This paper develops linear estimators for structural and causal parameters in nonparametric,nonseparable models using panel data. These models incorporate unobserved, time-varying, individual heterogeneity, which may be correlated with the regressors. Estimation is based on an approximation of...

Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modeling of complex structural relationships. However, they are not commonly used in practice due to the need for exogenous variables with large support for...