<p>We consider the identification of a Markov process {W_t, X_t*} for t=1,2,...,T when only {W_t} for t=1, 2,..,T is observed. In structural dynamic models, W_t denotes the sequence of choice variables and observed state variables of an optimizing agent, while X_t* denotes the sequence of serially...</p>

We propose a novel methodology for nonparametric identification of first-price auction models with independent private values, which accommodates auction-specific unobserved heterogeneity and bidder asymmetries, based on recent results from the econometric literature on nonclassical measurement...

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete-choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coefficients discrete choice demand model, which underlies much recent empirical work in IO. We add interactive fixed effects in the form of a factor structure on the unobserved product characteristics. The interactive fixed effects can...