This paper investigates the problem of testing conditional independence of Y and Z given λθ(X) for some unknown θ ∈ Θ ⊂ Rd, for a parametric function λθ(•). For instance, such a problem is relevant in recent literatures of heterogeneous treatment effects and contract theory. First,...

This paper proposes an asymptotically optimal specification test of single-index models against alternatives that lead to inconsistent estimates of a covariate’s average partial effect. The proposed tests are relevant when a researcher is concerned about a potential violation of the...

Bidders’ risk attitudes have important implications for sellers seeking to maximize expected revenues. In ascending auctions, auction theory predicts bid distributions in Bayesian Nash equilibrium does not convey any information about bidders' risk preference. We propose a new approach for...

We show nonparametric point identification of static binary games with incomplete information, using excluded regressors. An excluded regressor for player ¡ is a state variable that does not affect other players’ utility and is additively separable from other components in ¡’s payoff. When...

We introduce an approach for semiparametric inference in dynamic binary choice models that does not impose distributional assumptions on the state variables unobserved by the econometrician. The proposed framework combines Bayesian inference with partial identification results. The method is...

Stochastic sequential bargaining models (Merlo and Wilson (1995, 1998)) have found wide applications in different fields including political economy and macroeconomics due to their flexibility in explaining delays in reaching an agreement. This paper presents new results in nonparametric...

Stochastic sequential bargaining games (Merlo and Wilson (1995, 1998)) have found wide applications in various fields including political economy and macroeconomics due to their flexibility in explaining delays in reaching an agreement. In this paper, we present new results in nonparametric...

Nonrandom sampling schemes are often used in program evaluation settings to improve the quality of inference. This paper considers what we call treatment-based sampling, a type of standard stratified sampling where part of the strata are based on treatment status. This paper establishes...

This paper develops optimal estimation of a potentially nondifferentiable functional Г(β) of a regular parameter β, when Г satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...

This paper considers models of conditional moment restrictions that involve non-parametric functions of single-index nuisance parameters. This paper proposes a bootstrap method of constructing confidence sets which has the following three merits. First, the bootstrap is valid even when the...