Linearity in a causal relationship between a dependent variable and a set of regressors is a common assumption throughout economics. In this paper we consider the case when the coefficients in this relationship are random and distributed independently from the regressors. Our aim is to identify...

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...

In this paper we are concerned with analyzing the behavior of a semiparametric estimator that corrects for endogeneity in a nonparametric regression by assuming mean independence of residuals from instruments only. Because it is common in many applications, we focus on the case where endogenous...

This paper discusses nonparametric models for panels of time series. There is already a substantial literature on nonlinear models and nonparametric methods in a regression and time series setting. But almost without exception these developments have been limited to univariate and multivariate...

This paper describes an estimator of the additive components of a nonparametric additive model with an unknown link function. When the additive components and link function are twice differentiable with sufficiently smooth second derivatives, the estimator is asymptotically normally distributed...