The persuasion rate is a key parameter for measuring the causal effect of a directional message on influencing the recipient's behavior. Its identification has relied on exogenous treatment or the availability of credible instruments, but the requirements are not always satisfied in...

This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restriction...

A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...

Counterfactual distributions are important ingredients for policy analysis and decomposition analysis in empirical economics. In this article we develop modeling and inference tools for counterfactual distributions based on regression methods. The counterfactual scenarios that we consider...

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression functions. The weight parameters involved in the approximation are estimated by least squares on the first-stage nonparametric kernel estimates. We establish...

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment constraints. Moment constraints are often used to identify and estimate the mean and variance parameters and are however discarded when estimating error quantiles. In order to prevent...

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...

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...