The koyck (geometric) lag or AR(1) specification is a commonly proposed behavioral model, sometimes after differencing. The distribution of koyck lag or AR(1) coefficients across agents in an economy is shown to be completely identified just from the dynamic behavior of aggregate (macroeconomic)...

The share of household resources devoted to children is hard to identify because consumption is measured at the household level and goods can be shared. Using semiparametric restrictions on individual preferences within a collective model, we identify how total household resources are divided up...

Microeconomic theory often yields models with multiple nonlinear equations, nonseparable unobservables, nonlinear cross equation restrictions, and many potentially multicolinear covariates. We show how statistical dimension reduction techniques can be applied in models with these features. In...

Revealed preference theory assumes that each consumer has demands that are rational, meaning that they arise from the maximization of his or her own utility function. In contrast, econometric or statistical demand models assume that each consumer's demands equal a rational systematic component...

This paper provides general conditions for aggregating commodities without separable utility. These conditions impose weaker and more empirically plausible restrictions on price movements than the currently existing alternative to separability, the Hicks-Leontief composite commodity theorem. The...

We invent Implicit Marshallian demands, which combine desirable features of Hicksian and Marshallian demands. We propose and estimate the Exact Affine Stone Index (EASI) implicit Marshallian demand system. Like the Almost Ideal Demand (AID) system, EASI budget shares are linear in parameters...

Latent variable discrete choice model estimation and interpretation depend on the density function of the latent variable's unobserved random component. This paper provides a simple semiparametric estimator of the moments of this density. The results can be used as starting values for parametric...