Many econometric models used in applied work integrate over unobserved heterogeneity. We show that a class of these models that includes many random coefficients demand systems can be approximated by a "small-o" expansion that yields a straightforward 2SLS estimator. We study in detail the...

We propose a measure of the degree of ambiguity associated with a belief function and a nonparametric method to estimate it. The degree of ambiguity associated with a belief function is measured by the Kullback-Leibler diameter of the set of probability measures compatible with it. It is shown...