There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete choice, average exact consumer surplus, and treatment effects. Often estimators of these parameters are asymptotically equivalent to a sample average of an object referred to as...

This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher-order...

Triangular systems with nonadditively separable unobserved heterogeneity provide a theoretically appealing framework for the modeling of complex structural relationships. However, they are not commonly used in practice due to the need for exogenous variables with large support for...

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first-order...

I explore the estimation of transferable utility matching games, encompassing many-to-many matching, marriage, and matching with trading networks (trades). Computational issues are paramount. I introduce a matching maximum score estimator that does not suffer from a computational curse of...

We develop a new permutation test for inference on a subvector of coefficients in linear models. The test is exact when the regressors and the error terms are independent. Then we show that the test is asymptotically of correct level, consistent, and has power against local alternatives when the...

This paper shows the success of valuation risk-time-preference shocks in Epstein-Zin utility-in resolving asset pricing puzzles rests sensitively on the way it is introduced. The specification used in the literature is at odds with several desirable properties of recursive preferences because...

Mixed-strategy Nash equilibrium is the cornerstone of our understanding of strategic situations that require decision makers to be unpredictable. Using data from nearly half a million serves over 3000 tennis matches, and data on player rankings from the ATP and WTA, we examine whether the...

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment (in)equality model. These functions are restricted to be linear for two-sided testing problems, but may be nonlinear for one-sided testing problems. In the most common case, this function...

Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to...