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...

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...

We propose a test for invertibility or fundamentalness of structural vector autoregressive moving average models generated by non-Gaussian independent and identically distributed structural shocks. We prove that in these models and un- der some regularity conditions the Wold innovations are a...

Let H₀(X) be a function that can be nonparametrically estimated. Suppose E [Y&7CX]=F₀[X⊤β₀, H₀(X)]. Many models fit this framework, including latent index models with an endogenous regressor and nonlinear models with sample selection. We show that the vector β₀ and unknown function F₀ are...

A new bandwidth selection method that uses different bandwidths for the local linear regression estimators on the left and the right of the cut-off point is proposed for the sharp regression discontinuity design estimator of the average treatment effect at the cut-off point. The asymptotic mean...

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higherorder variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is...

This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the...