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...

Kotlarski's identity has been widely used in applied economic research based on repeated-measurement or panel models with latent variables. However, how to conduct inference for these models has been an open question for two decades. This paper addresses this open problem by constructing a novel...

This paper considers estimation and inference for heterogeneous counterfactual effects with high‐dimensional data. We propose a novel robust score for debiased estimation of the unconditional quantile regression (Firpo, Fortin, and Lemieux (2009)) as a measure of heterogeneous counterfactual...