In structural dynamic discrete choice models, unobserved and mis-measured state variables may lead to biased parameter estimates and misleading inference. In this paper, we show that instrumental variables can address such measurement problems when they relate to state variables that evolve...

This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the...