This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

This paper considers fixed effects estimation and inference in linear and non-linear panel data models with random coefficients and endogenous regressors. The quantities of interest - means, variances, and other moments of the random coefficients - are estimated by cross sectional sample moments...

This paper introduces a new identification‐ and singularity‐robust conditional quasi‐likelihood ratio (SR‐CQLR) test and a new identification‐ and singularity‐robust Anderson and Rubin (1949) (SR‐AR) test for linear and nonlinear moment condition models. Both tests are very fast to...

We consider inference in models defined by approximate moment conditions. We show that near-optimal confidence intervals (CIs) can be formed by taking a generalized method of moments (GMM) estimator, and adding and subtracting the standard error times a critical value that takes into account the...

In this paper, I study identification of a nonseparable model with endogeneity arising due to unobserved heterogeneity. Identification relies on the availability of binary proxies that can be used to control for the unobserved heterogeneity. I show that the model is identified in the limit as...

This paper develops a dynamic model of consumer search that, despite placing very little structure on the dynamic problem faced by consumers, allows us to exploit intertemporal variation in price distributions to estimate the distribution from which consumer search costs are initially drawn. We...

This paper studies an identification problem that arises when clinicians seek to personalize patient care by predicting health outcomes conditional on observed patient covariates. Let y be an outcome of interest and let (x=k, w=j) be observed patient covariates. Suppose a clinician wants to...

This paper develops nonparametric methods for welfare‐analysis of economic changes in the common setting of multinomial choice. The results cover (a) simultaneous price‐change of multiple alternatives, (b) introduction/elimination of an option, (c) changes in choice‐characteristics, and...

In this paper, we investigate what can be learned about average counterfactual outcomes as well as average treatment effects when it is assumed that treatment response functions are smooth. We obtain a set of new partial identification results for both the average treatment response and the...