This dissertation consists of three chapters relating to identification and inference in dynamic microeconometric models including dynamic discrete games with many players, dynamic games with discrete and continuous choices, and semiparametric binary choice and duration panel data...

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general moment restrictions with missing data. Identification relies on auxiliary data containing information about the distribution of the missing variables conditional on proxy variables that are...

We propose a nonparametric likelihood ratio testing procedure for choosing between a parametric (likelihood) model and a moment condition model when both models could be misspecified. Our procedure is based on comparing the Kullback–Leibler Information Criterion (KLIC) between the parametric...

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics...

We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute...