We develop a simulation based approach that can determine whether the semiparametric efficiency bound of a dynamic discrete choice model with fixed effects is zero or not. We illustrate the usefulness of our approach by considering a simplified version of Keane and Wolpin's (1997) model, where...

The bounds on ATE by Chesher (2007) and Kitagawa (2009b) are compared. The difference between them is attributed to the scalar error assumption imposed by Chesher (2007).

The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the...

The goal of this paper is to develop techniques to simplify semiparametric inference. We do this by deriving a number of numerical equivalence results. These illustrate that in many cases, one can obtain estimates of semiparametric variances using standard formulas derived in the...

The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity appropriate for model environments specified by a number of unconditional or conditional moment conditions. We initially consider the unconditional moment restrictions framework. Optimal...

We study the asymptotic distribution of three-step estimators of a finite dimensional parameter vector where the second step consists of one or more nonparametric regressions on a regressor that is estimated in the first step. The first step estimator is either parametric or non-parametric....

We investigate the finite sample properties of two-step empirical likelihood (EL) estimators. These estimators are shown to have the same third-order bias properties as EL itself. The Monte Carlo study provides evidence that (i) higher order asymptotics fails to provide a good approximation in...

Comparisons of within and between estimators using the conventional Hausman test may be subject to statistical problems if the within variation is not sufficiently large. Adopting an alternative asymptotic approximation, we propose a modification of Hausman test that is valid whether the within...