Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge of all parameter values. We propose a method of inference about unknown parameters for such models that is robust to heterogeneity and dependence of unknown form. The key is a Central Limit...

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 studies nonparametric identification in market level demand models for differentiated products. We generalize common models by allowing for the distribution of heterogeneity parameters (random coefficients) to have a nonparametric distribution across the population and give conditions...

This paper proposes a bootstrap-based procedure to build confidence intervals for single components of a partially identified parameter vector, and for smooth functions of such components, in moment (in)equality models. The extreme points of our confidence interval are obtained by...

This paper studies nonparametric identification in market level demand models for differentiated products. We generalize common models by allowing for the distribution of heterogeneity parameters (random coefficients) to have a nonparametric distribution across the population and give conditions...

The instrumental variable quantile regression (IVQR) model of Chernozhukov and Hansen (2005, 2006) is a flexible and powerful tool for evaluating the impact of endogenous covariates on the whole distribution of the outcome of interest. Estimation, however, is computationally burdensome because...

We propose a bootstrap-based calibrated projection procedure to build con fidence intervals for single components and for smooth functions of a partially identi fied parameter vector in moment (in)equality models. The method controls asymptotic coverage uniformly over a large class of data...

This paper studies nonparametric identification in market level demand models for differentiated products with heterogeneous consumers. We consider a general class of models that allows for the individual specific coefficients to vary continuously across the population and give conditions under...

This paper explores the effects of simulated moments on the performance of inference methods based on moment inequalities. Commonly used confidence sets for parameters are level sets of criterion functions whose boundary points may depend on sample moments in an irregular manner. Due to this...

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the non-smoothness and non-convexity of the IVQR GMM objective function. This...