We study the identification and estimation of covariate-conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional...

The stochastic error distance (SED) introduced by Diebold & Shin (2017) ranks forecast models by divergence between distributions of the errors of the actual and prefect forecast models. The basic SED is defined by the variation distance and provides a representation of the mean absolute error,...

We study a nonlinear relationship between corporate investment and Tobin’s q in the cross-section. After correcting for nonseparable measurement error in q with the aid of repeated measurement, we find evidence of heterogeneity in the investment-q relation. The investment-q sensitivity is...