Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...

This paper makes several contributions to the literature on the important yet difficult problem of estimating functions nonparametrically using instrumental variables. First, we derive the minimax optimal sup-norm convergence rates for nonparametric instrumental variables (NPIV) estimation of...

We study the problem of nonparametric regression when the regressor is endogenous, which is an important nonparametric instrumental variables (NPIV) regression in econometrics and a difficult ill-posed inverse problem with unknown operator in statistics. We first establish a general upper bound...

Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...

In this paper we study nonparametric estimation in a binary treatment model where the outcome equation is of unrestricted form, and the selection equation contains multiple unobservables that enter through a nonparametric random coefficients specification. This specification is flexible because...

In structural economic models, individuals are usually characterized as solving a decision problem that is governed by a finite set of parameters. This paper discusses the nonparametric estimation of the probability density function of these parameters if they are allowed to vary continuously...

This paper considers an empirical semiparametric model for two-sided markets. Contrary to existing empirical literature on two-sided markets, we do not rely on linear network effects. Instead, network effects and probability distribution functions of net benefits of two sides are specified...

In this paper we develop a nonparametric estimation technique for semiparametric transformation models of the form: H(Y)=P(Z)+X'B+U where H,P and B and are unknown and the variables (Y,Z) are endogenous. Identification of the model and asymptotic properties of the estimator are analyzed under...

Despite the productive efforts of economists, the disequilibrium nature of the economic system and imprecise predictions persist. One reason for this outcome is that traditional econometric models and estimation and inference methods cannot provide the necessary quantitative information for the...

Despite the productive efforts of economists, the disequilibrium nature of the economic system and imprecise predictions persist. One reason for this outcome is that traditional econometric models and estimation and inference methods cannot provide the necessary quantitative information for the...