In this paper, we consider estimation of nonlinear panel data models that include individual specific fixed effects. Estimation of these models is complicated by the incidental parameters problem; that is, noise in the estimation of the fixed effects when the time dimension is short generally...

This paper studies inference on treatment effects in aggregate panel data settings with a single treated unit and many control units. We propose new methods for making inference on average treatment effects in settings where both the number of pre-treatment and the number of post-treatment...

This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by conditional moment restrictions. We construct tests for the hypothesis that at least one element of the identified set satisfies a conjectured (Banach space) "equality" and/or (a...

This work proposes new inference methods for the estimation of a regression coefficient of interest in quantile regression models. We consider high-dimensional models where the number of regressors potentially exceeds the sample size but a subset of them suffice to construct a reasonable...

This work proposes new inference methods for the estimation of a regression coefficient of interest in quantile regression models. We consider high-dimensional models where the number of regressors potentially exceeds the sample size but a subset of them suffice to construct a reasonable...