We consider identification in a "generalized regression model" (Han, 1987) for panel settings in which each observation can be associated with a "group" whose members are subject to a common unobserved shock. Common examples of groups include markets, schools or cities. The model is fully...

We consider the estimation of sample selection (type II Tobit) models that exhibit spatial error dependence or spatial autoregressive errors (SAE). The method considered is motivated by a two-step strategy analogous to the popular heckit model. The first step of estimation is based on a spatial...

A mathematical expression known as Benford's law provides an example of an unexpected relationship among randomly selected first significant digits (FSD). Newcomb (1881), and later Benford (1938), conjectured that FSDs would exhibit a weakly monotonic distribution and proposed a frequency...

The aim of this paper is to show a simple way to construct a symptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with...

Asymptotically, semi parametric estimators of the parameters in linear structural models have the same sampling properties. In finite samples the sampling properties of these estimators vary and large biases may result for sample sizes often found in practice. With a goal of improving asymptotic...

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...

In semiparametric models it is a common approach to under-smooth the nonparametric functions in order that estimators of the finite dimensional parameters can achieve root-n consistency. The requirement of under-smoothing may result as we show from inefficient estimation methods or technical...

Currently available asymptotic results in the literature suggest that matching estimators have higher variance than reweighting estimators. The extant literature comparing the finite sample properties of matching to specific reweighting estimators, however, has concluded that reweighting...

Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and financial econometrics. Estimating and testing the model...

This paper examines identification power of the instrument exogeneity assumption in the treatment effect model. We derive the identification region: The set of potential outcome distributions that are compatible with data and the model restriction. The model restrictions whose identifying power...