This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher-order...

This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order...

Using results from Convex Analysis, we investigate a novel approach to identification and estimation of discrete-choice models that we call the mass transport approach. We show that the conditional choice probabilities and the choice-specific payoffs in these models are related in the sense of...