For semi/nonparametric conditional moment models containing unknown parametric components θ and unknown functions of endogenous variables (h), Newey and Powell (2003) and Ai and Chen (2003) propose sieve minimum distance (SMD) estimation of (θ, h) and derive the large sample properties. This...

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models specified in terms of weakly dependent data. These procedures offer alternative one-step estimators and tests that are asymptotically equivalent to their efficient two-step GMM...

For the problem of testing the hypothesis that all <i>m</i> coefficients of the RHS endogenous variables in an IV regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires...

This paper considers the identification and estimation of hedonic models. We establish that technology and preferences in a separable version of the hedonic model are generically identified up to a±ne transformations from data on demand and supply in a single hedonic market. For a very general...

<p><p><p>In this paper,we construct a nonparametric estimator of the distributions of latent factors in linear independent multi-factor models under the assumption that factor loadings are known. Our approach allows to estimate the distributions of up to L(L+1)/2 factors given L measurements. The...</p></p></p>

Conditions are derived under which there is local nonparametric identification of values of structural functions and of their derivatives in potentially nonlinear nonseparable models. The attack on this problem is via conditional quantile functions and exploits local quantile independence...

The paper provides significant simplifications and extensions of results obtained by Gorsich, Genton, and Strang (J. Multivariate Anal. 80 (2002) 138) on the structure of spatial design matrices. These are the matrices implicitly defined by quadratic forms that arise naturally in modelling...

This paper is concerned with identification of a competing risks model with unknown transformations of latent failure times. The model in this paper includes, as special cases, competing risks versions of proportional hazards, mixed proportional hazards, and accelerated failure time models. It...

This paper reviews econometric methods for dynamic panel data models, and presents examples that illustrate the use of these procedures. The focus is on panels where a large number of individuals or firms are observed for a small number of time periods, typical of applications with microeconomic...

This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice.