Given data on a scalar random variable 𝑌, a prediction set for 𝑌 with miscoverage level 𝛼 is a set of values for 𝑌 that contains a randomly drawn 𝑌 with probability 1 - 𝛼, where 𝛼 ∈ (0, 1). Among all prediction sets that satisfy this coverage property, the oracle...

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear, pointwise for each quantile. Linear functional forms, coupled with pointwise fitting, are used for a number of reasons including parsimony of the resulting approximations and good...

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time varying heterogeneity. These include limited dependent variable models with both unobserved individual effects and endogenous explanatory variables, and sample selection models with...

A new methodology that estimates attitudes semiparametrically and estimates actions nonparametrically, as a function of the resulting attitudinal measures, is used to examine the behavioral effects of ѣultural' and ѥconomic' preferences in the Presidential elections of 1984 and 1992. The...

This paper extends the method of local instrumental variables developed by Heckman and Vytlacil (1999, 2001, 2005) to the estimation of not only means, but also distributions of potential outcomes. The newly developed method is illustrated by applying it to changes in college enrollment and wage...

This paper considers a class of fixed-T nonlinear panel models with timevarying link function, fixed effects, and endogenous regressors. We establish sufficient conditions for the identification of the regression coefficients, the time-varying link function, the distribution of counterfactual...