This paper is concerned with extending the familiar notion of fixed effects to nonlinear setups with infinite dimensional unobservables like preferences. The main result is that a generalized version of differencing identifies local average structural derivatives (LASDs) in very general...

We apply a new bootstrap statistical technique to examine the performance of the U.S. openend, domestic-equity mutual fund industry over the 1975 to 2002 period. Specifically, we bootstrap the joint distribution of performance measures (\alphas") across all funds to determine whether managers of...