Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

We consider estimation of a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of interest are functionals of these coefficients including linear projections on unit level covariates. We also consider predicted actual and stationary...

It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...