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 studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive necessary and sufficient conditions for the...

This paper considers regression models for cross-section data that exhibit cross-section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) and instrumental variables (IV) estimators in this context. The results of the paper...