This paper studies identification in multiple discrete choice models in which there may be endogenous explanatory variables, that is, explanatory variables that are not restricted to be distributed independently of the unobserved determinants of latent utilities. The model does not employ large...

Model misspecification is a serious issue since misspecification generally renders statistical inference invalid. However, specification testing of discrete choice models is rarely applied. This paper describes a nonparametric test procedure which uses a combination of smoothed residual plots...

A new semiparametric proportional hazard rate model is proposed which extends standard models to include a dynamic specification. Two main problems are resolved in the course of this paper. First, the partial likelihood approach to estimate the components of a standard proportional hazard model...

We are occupied with a simple example concerning the limit theory of the OLSE when the innovation process of the regression has the form of a martingale transform the i.i.d. part of which lies in the domain of attraction of an \alpha-stable distribution, the scalling sequence has a potentially...

We propose a root-N-consistent estimator for binary response panel data where the individual specific effect may be correlated with the regressors. The estimator is asymptotically normal with a simple variance matrix

We extend the standard evaluation framework to allow for interactions between individuals within segmented markets. An individual's outcome depends not only on the assigned treatment status but also on (features of) the distribution of the assigned treatments in his market. To evaluate how the...