We develop a general class of nonparametric tests for treatment effects conditional on covariates. We consider a wide spectrum of null and alternative hypotheses regarding conditional treatment effects, including (i) the null hypothesis of the conditional stochastic dominance between treatment...

In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...

We propose a test of the hypothesis of stochastic monotonicity. This hypothesis is of interest in many applications in economics. Our test is based on the supremum of a rescaled U-statistic. We show that its asymptotic distribution is Gumbel. The proof is difficult because the approximating...

Characteristics models have been found to be useful in many areas of economics. However, their empirical implementation tends to rely heavily on functional form assumptions. In this paper we develop a revealed preference-based nonparametric approach to characteristics models. We derive the...

This paper studies models for discrete outcomes which permit explanatory variables to be endogenous. In these models there is a single nonadditive latent variate which is restricted to be locally independent of instruments. The models are silent about the nature of dependence between the latent...

We propose a theory of skill mobility across cities. It predicts the well documented city size-wage premium: the wage distribution in large cities first-order stochastically dominates that in small cities. Yet, because this premium is reflected in higher house prices, this does not necessarily...

This chapter reviews the microeconometrics literature on partial identification, focusing on the developments of the last thirty years. The topics presented illustrate that the available data combined with credible maintained assumptions may yield much information about a parameter of interest,...

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...

We develop a distribution regression model under endogenous sample selection. This model is a semi-parametric generalization of the Heckman selection model. It accommodates much richer effects of the covariates on outcome distribution and patterns of heterogeneity in the selection process, and...

Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation...