This article reviews recent advances in estimation and inference for nonparametric and semiparametric models with endogeneity. It first describes methods of sieves and penalization for estimating unknown functions identified via conditional moment restrictions. Examples include nonparametric...

This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...

This paper proposes simple, data-driven, optimal rate-adaptive inferences on a structural function in semi-nonparametric conditional moment restrictions. We consider two types of hypothesis tests based on leave-one-out sieve estimators. A structure-space test (ST) uses a quadratic distance...