We derive mean-unbiased estimators for the structural parameter in instrumental variables models where the sign of one or more first stage coefficients is known. In the case with a single instrument, the unbiased estimator is unique. For cases with multiple instruments we propose a class of...

We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, the unbiased estimator is unique. For cases with multiple...

This paper conducts a general analysis of the conditions under which consistent estimation can be achieved in instrumental variables regression when the available instruments are weak in the local-to-zero sense. More precisely, the approach adopted in this paper combines key features of the...

This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is...

This paper studies robustness of bootstrap inference methods for instrumental variable regression models. In particular, we compare the uniform weight and implied probability bootstrap approximations for parameter hypothesis test statistics by applying the breakdown point theory, which focuses...

This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points...

This paper reviews dynamic structural econometric models with both continuous and discrete controls, and those with market interactions. Its goal is to highlight techniques which enable researchers to obtain estimates of the parameters of models with these characteristics, and then use the...

This paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model. The case under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is shown to give rise to a marginal posterior density...

We analyze the canonical nonlinear pricing model with limited information. A seller offers a menu with a finite number of choices to a continuum of buyers with a continuum of possible valuations. By revealing an underlying connection to quantization theory, we derive the optimal finite menu for...