Counterfactual distributions are important ingredients for policy analysis and de-composition analysis in empirical economics. In this article we develop modelling and inference tools for counterfactual distributions based on regression methods. The counterfactual scenarios that we consider...

In this article, we review quantile models with endogeneity. We focus on models that achieve indentification through the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We discuss key conditions, which include monotonicity and...

Slepian and Sudakov-Fernique type inequalities, which compare expectations of maxima of Gaussian random vectors under certain restrictions on the covariance matrices, play an important role in the probability theory, especially in empirical process and extreme value theories. Here we give...

We derive a Gaussian approximation result for the maximum of a sum of high dimensional random vectors. Specifically, we establish conditions under which the distribution of the maximum is approximated by that of the maximum of a sum of the Gaussian random vectors with the same covariance...

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n. There are a variety of economic applications where the problem of testing many moment inequalities appears; a notable...

This paper considers identification and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity. The effects of interest are derivatives of the average and quantile structural functions of the model. We find that these derivatives are...

In parametric models a sufficient condition for local identification is that the vector of moment conditions is differentiable at the true parameter with full rank derivative matrix. We show that there are corresponding sufficient conditions for nonparametric models. A nonparametric rank...

<p>We develop inference procedures for policy analysis based on regression methods. We consider policy interventions that correspond to either changes in the distribution of covariates, or changes in the conditional distribution of the outcome given covariates, or both. Under either of these policy...</p>

In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on...

In parametric models a sufficient condition for local idenfication is that the vector of moment is differentiable at the true parameter with full rank derivative matrix. This paper shows that additional conditions are often needed in nonlinear, nonparametric models to avoid nonlinearities...