This paper proposes a robust method for semiparametric identification and estimation in panel multinomial choice models, where we allow for infinite-dimensional fixed effects that enter into consumer utilities in an additively nonseparable way, thus incorporating rich forms of unobserved...

We show that robustness against model misspecification can account for the forward premium puzzle through a combination of an exchange rate model and a robustness model under structured uncertainty. In equilibrium, optimizing agents, who hold no misperception about the model, distort their...