We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete … estimator is both efficient and conformant: its rates of convergence will be the fastest possible given the variation available … in the data. The researcher does not need to pre-test or adjust the estimator and the inference procedure is valid across …

the finite sample performance of the BLP estimator, particularly when using well-targeted summary statistics or "optimal …

parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they … can relax some of these assumptions to motivate a more robust, but variable, unrestricted estimator. When a bound on the … bias of the restricted estimator is available, it is optimal to shrink the unrestricted estimator towards the restricted …

improves statistical coverage with only minor reductions in power in both simple linear regression and panel fixed effects …

misguided decisions. We propose to measure the failure of the conventional normal approximation for a given estimator by the …

a two-stage copula endogeneity correction mean group (2sCOPE-MG) estimator for panel data models, simultaneously … parameters without distributional assumptions. Consequently, the 2sCOPE-MG estimator allows for arbitrary dependence structure … addressing slope endogeneity. The 2sCOPE-MG estimator is extended to dynamic panels, where intertemporal dependence in the …