This paper is concerned with inference about an unidentified linear function, L(g), where the function g satisfies the relation Y=g(X)+U; E(U |W)=0. In this relation, Y is the dependent variable, X is a possibly endogenous explanatory variable, W is an instrument for X and U is an unobserved...

This paper introduces a general method to convert a model defined by moment conditions involving both observed and unobserved variables into equivalent moment conditions involving only observable variables. This task can be accomplished without introducing infinite-dimensional nuisance...

In this paper we evaluate the premise from the recent literature on Monte Carlo studies that an empirically motivated simulation exercise is informative about the actual ranking of various estimators when applied to a particular problem. We consider two alternative designs and provide an...

We analyze linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged-dependent variables. The first order asymptotic theory of the least squares (LS) estimator of the regression coefficients is worked out in the limit where both the cross sectional...

Modern construction of uniform confidence bands for non-parametric densities (and other functions) often relies on the classical Smirnov-Bickel-Rosenblatt (SBR) condition; see, for example, Giné and Nickl (2010). This condition requires the existence of a limit distribution of an extreme value...

This work studies the large sample properties of the posteriorbased inference in the curved exponential family under increasing dimension. The curved structure arises from the imposition of various restrictions on the model, such as moment restrictions, and plays a fundamental role in...

This paper considers inference in logistic regression models with high dimensional data. We propose new methods for estimating and constructing confidence regions for a regression parameter of primary interest α0, a parameter in front of the regressor of interest, such as the treatment variable...

This paper considers identification and estimation of ceteris paribus effects of con- tinuous 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...

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 variety of economic applications where the problem of testing many moment in- equalities appears; a notable...

In the first part of the paper, we consider estimation and inference on policy relevant treatment effects, such as local average and local quantile treatment effects, in a data-rich environment where there may be many more control variables available than there are observations. In addition to...