We propose a nonparametric likelihood ratio testing procedure for choosing between a parametric (likelihood) model and a moment condition model when both models could be misspecified. Our procedure is based on comparing the Kullback–Leibler Information Criterion (KLIC) between the parametric...

This paper proposes model selection criteria (MSC) for unconditional moment models using generalized empirical likelihood (GEL) statistics. The use of GEL-statistics in lieu of J-statistics (in the spirit of Andrews, 1999, Econometrica 67, 543-564; and Andrews and Lu, 2001, Journal of Econometrics...

We discuss the identification and estimation of discrete games of complete information. Following Bresnahan and Reiss (1990, 1991), a discrete game is a generalization of a standard discrete choice model where utility depends on the actions of other players. Using recent algorithms to compute...

This dissertation consists of three chapters relating to identification and inference in dynamic microeconometric models including dynamic discrete games with many players, dynamic games with discrete and continuous choices, and semiparametric binary choice and duration panel data...

We study semiparametric efficiency bounds and efficient estimation of parameters defined through general moment restrictions with missing data. Identification relies on auxiliary data containing information about the distribution of the missing variables conditional on proxy variables that are...

This paper establishes a general equivalence between discrete choice and rational inattention models. We show that the choice probabilities emerging from any random utility discrete choice model can be obtained from a class of suitably generalized rational inattention models, and vice versa....

This paper establishes a general equivalence between discrete choice and rational inattention models. Matejka and McKay (2015, AER) showed that when information costs are modelled using the Shannon entropy function, the resulting choice probabilities in the rational inattention model take the...

Exploiting a rich panel data set on anti-ulcer drug prescriptions, we measure the effects of uncertainty and learning in the demand for pharmaceutical drugs. We estimate a dynamic matching model of demand under uncertainty in which patients learn from prescription experience about the...

This thesis consists of three empirical essays on topics in industrial organization. Chapter 1 introduces the three essays and describes their main results. In chapter 2, I measure the effects of advertising on households' choices among competing brands of differentiated products when households...

A basic assumption of economics is that consumers choose what they want. However, many consumers find it difficult to stop overeating, overspending, smoking, procrastinating, etc, even though they want to. In reality, consumers have temptation and it is psychologically costly to exercise...