This paper extends Imbens and Manski’s (2004) analysis of confidence intervals for interval identified parameters. For their final result, Imbens and Manski implicitly assume superefficient estimation of a nuisance parameter. This appears to have gone unnoticed before, and it limits the...

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...

This paper reviews a range of the most popular policy evaluation methods in empirical microeconomics: social experiments, natural experiments, matching methods, instrumental variables, discontinuity design and control functions. It discusses the identification of both the traditionally used...

Single equation instrumental variable models for discrete outcomes are shown to be set not point identifying for the structural functions that deliver the values of the discrete outcome. Identified sets are derived for a general nonparametric model and sharp set identification is demonstrated....

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the sample size n, but only s of these regressors have non-zero impact on the conditional quantile of...

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected, called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...