In many set identified models, it is difficult to obtain a tractable characterization of the identified set, therefore, empirical works often construct confidence region based on an outer set of the identified set. Because an outer set is always a superset of the identified set, this practice is...

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...

This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying...

In this paper we study post-penalized estimators which apply ordinary, unpenalized linear regression to the model selected by first-step penalized estimators, typically LASSO. It is well known that LASSO can estimate the regression function at nearly the oracle rate, and is thus hard to improve...

We provide new conditions for identification of accelerated failure time competing risks models. These include Roy models and some auction models. In our set up, unknown regression functions and the joint survivor function of latent disturbance terms are all nonparametric. We show that this...

In many economic applications, the variate of interest is non-negative and its distribution is characterized by a mass-point at zero and a long right-tail. Many regression strategies have been proposed to deal with data of this type. Although there has been a long debate in the literature on the...

Many studies in economics use instruments or treatments which combine a set of exogenous shocks with other predetermined variables by a known formula. Examples include shift-share instruments and measures of social or spatial spillovers. We review recent econometric tools for this setting, which...

This paper proposes an information-based inference method for partially identified parameters in incomplete models that is valid both when the model is correctly specified and when it is misspecified. Key features of the method are: (i) it is based on minimizing a suitably defined...

Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed effects" and, in dynamic models, initial conditions. This...

Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...