Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...

This paper presents a model for an explicitly-solved optimal consumption in which there is a lower marginal propensity to consume out of "human wealth" than out of financial wealth. I deliver this widely-noted consumption property (Friedman (1957) and Zeldes (1989)) by specifying that the...

There exists an extensive literature estimating idiosyncratic labor income processes. While a wide variety of models are estimated, GMM estimators are almost always used. We examine the validity of using likelihood based estimation in this context by comparing the small sample properties of a...

We propose two simple bias reduction procedures that apply to estimators in a general static simultaneous equation model and which are valid under reatively weak distributional assumptions for the errors. Standard jackknife estimators, as applied to 2SLS, may not reduce the bias of the exogenous...

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions...

This paper estimates the importance of temptation (Gul and Pesendorfer, 2001) for consumption smoothing and asset accumulation in a structural life-cycle model. We use two complementary estimation strategies: first, we estimate the Euler equation of this model; and second we match liquid and...

We calculate the asymptotic sizes of the subvector Anderson and Rubin (1949, AR) and Lagrange Multiplier (LM) tests in a linear instrumental variables model with two right hand side endogenous variables when the reduced form coefficient matrix is unrestricted. Under the assumption of conditional...

We extend to score, Wald and difference test statistics the scaled and adjusted corrections to goodness-of-fit test statistics developed in Satorra and Bentler (1988a,b). The theory is framed in the general context of multisample analysis of moment structures, under general conditions on the...

We employ the original Card and Krueger (1994) and Neumark and Wascher (2000) data together with the changes-in-changes (CIC) estimator to re-examine the evidence of the effect of minimum wages on employment. Our study reconciles the controversial positive average employment effect reported by...

Multiple regression is frequently used across the various social sciences to analyze cross-sectional data. However, it can often times be challenging to justify the assumption of common regression coefficients across all respondents. This manuscript presents a heterogeneous Bayesian regression...