We propose a framework for estimation of the conditional mean function in a parametric model with function space covariates. The approach employs a functional mean squared error objective criterion. Under regularity conditions, consistency and asymptotic normality are established. The analysis...

This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general...

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...