This paper proposes several statistical tests for finite state Markov games to examine whether data from distinct markets can be pooled. We formulate homogeneity tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the conditional...

This paper is concerned with estimation of functionals of a latent weight function that satisfies possibly high-dimensional multiplicative moment conditions. Main examples are functionals of stochastic discount factors in asset pricing, missing data problems, and treatment effects. We propose to...