This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...

Multivalued treatments are commonplace in applications. We explore the use of discrete-valued instruments to control for selection bias in this setting. Our discussion revolves around the concept of targeting: which instruments target which treatments. It allows us to establish conditions under...

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...