This paper surveys J. D. Sargan's work on instrumental variable estimation and its connections with the generalized method of moments. I first present the modelling context in which Sargan motivated instrumental variable estimation. Then I review the theory of instrumental variable estimation as...

We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model's predictions and their matched...

We propose an optimal-transport-based matching method to nonparametrically estimate linear models with independent latent variables. The method consists in generating pseudo-observations from the latent variables, so that the Euclidean distance between the model’s predictions and their matched...

This chapter focuses on two of the developments in panel data econometrics since the Handbook chapter by Chamberlain (1984). The first objective of this chapter is to provide a review of linear panel data models with predetermined variables. We discuss the implications of assuming that...

Nonlinear panel data models arise naturally in economic applications, yet their analysis is challenging. Here we provide a progress report on some recent advances in the area. We start by reviewing the properties of random-effects likelihood approaches. We emphasize a link with Bayesian...

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...

We develop a new quantile-based panel data framework to study the nature of income persistence and the transmission of income shocks to consumption. Log-earnings are the sum of a general Markovian persistent component and a transitory innovation. The persistence of past shocks to earnings is...