This paper investigates identification and inference in a nonparametric structural model with instrumental variables and non-additive errors. We allow for non-additive errors because the unobserved heterogeneity in marginal returns that often motivates concerns about endogeneity of choices...

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilting estimators. We show that these estimators share a...

The purpose of this note is to show how semiparametric estimators with a small bias property can be constructed. The small bias property (SBP) of a semiparametric estimator is that its bias converges to zero faster than the pointwise and integrated bias of the nonparametric estimator on which it...

As in parametric models, one can define an efficiency bound for estimators in semi-parametric models, which is analogous to the Cramer-Rao bound. This paper surveys the available results: computation of the bound by mean of projection, possibility and construction of semi-parametric estimators,...

Asymptotic distribution theory is the primary method used to examine the properties of econometric estimators and tests. We present conditions for obtaining cosistency and asymptotic normality of a very general class of estimators (extremum estimators). Consistent asymptotic variance estimators...