We consider nonparametric estimation of a regression function that is identified by requiring a specified quantile of the regression "error" conditional on an instrumental variable to be zero. The resulting estimating equation is a nonlinear integral equation of the first kind, which generates...

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

The proportional hazard model with unobserved heterogeneity gives the hazard function of a random variable conditional on covariates and a second random variable representing unobserved heterogeneity. This paper shows how to estimate the baseline hazard function and the distribution of the...

The least-absolute-deviations (LAD) estimator for a median-regression or censored median-regression model does not satisfy the standard conditions for obtaining asymptotic refinements through use of the bootstrap because the LAD objective function is not smooth. This paper overcomes this problem...

The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made...

This paper applies revealed preference theory to the nonparametric statistical analysis of consumer demand. Knowledge of expansion paths is shown to improve the power of nonparametric tests of revealed preference. The tightest bounds on indifference surfaces and welfare measures are derived...

This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant specification involves a common shift parameter for each demographic group in a pooled system of nonparametric Engel curves. We focus on the identification and estimation of...

The 1980s tax reforms and the changing dispersion of wages offer one of the best opportunities yet to estimate labor supply effects. Nevertheless, changing sample composition, aggregate shocks, the changing composition of the tax paying population, and discontinuities in the tax system create...