This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) models to a wide class of problems in which multiple values of unobservable variables can be...

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty in which the decision rule is affected by conditional expectations. The preference parameters are estimated in two stages: we estimate conditional expectations nonparametrically in...

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM...

<p><p><p>In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The...</p></p></p>

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias but the usual standard errors are too small. In this paper we use alternative asymptotics, based on many weak moment...

<p><p>This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...</p></p>

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

I study inverse probability weighted M-estimation under a general missing data scheme. The cases covered that do not previously appear in the literature include M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect for linear...

<p><p><p><p><p><p><p>It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with many instruments for heteroskedasticity.We give heteroskedasticity robust versions of the limited information maximum likelihood (LIML) and Fuller (1977, FULL)...</p></p></p></p></p></p></p>