Rationality places strong restrictions on individual consumer behavior. This paper is concerned with assessing the validity of the integrability constraints imposed by standard utility maximization, arising in classical consumer demand analysis. More specifically, we characterize the testable...

In this paper we consider endogenous regressors in the binary choice model under a weak median exclusion restriction, but without further specification of the distribution of the unobserved random components. Our reduced form specification with heteroscedastic residuals covers various...

This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general...

This paper contributes to the understanding of the source of identification in panel data models. Recent research has established that few time periods suffice to identify interesting structural effects in nonseparable panel data models even in the presence of complex correlated unobservables,...

This paper is concerned with testing rationality restrictions using quantile regression methods. Specifically, we consider negative semidefiniteness of the Slutsky matrix, arguably the core restriction implied by utility maximization. We consider a heterogeneous population characterized by a...

In structural economic models, individuals are usually characterized as solving a decision problem that is governed by a finite set of parameters. This paper discusses the nonparametric estimation of the probability density function of these parameters if they are allowed to vary continuously...

The triangular model is a very popular way to capture endogeneity. In this model, an outcome is determined by an endogenous regressor, which in turn is caused by an instrument in a first stage. In this paper, we study the triangular model with random coefficients and exogenous regressors in both...

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions...

This paper studies nonparametric identification in market level demand models for differentiated products. We generalize common models by allowing for the distribution of heterogeneity parameters (random coefficients) to have a nonparametric distribution across the population and give conditions...

Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...