In this paper, we study nonparametric estimation of instrumental variable (IV) regressions.
Recently, many flexible machine learning methods have been developed for instrumental …

In parametric, nonlinear structural models, a classical sufficient condition for local
identification, like Fisher (1966) and Rothenberg (1971), is that the vector of moment …

Structural equation models (SEMs) are widely used in sciences, ranging from economics to
psychology, to uncover causal relationships underlying a complex system under …

This paper studies intergenerational mobility—the transmission of family influence. We
develop and estimate measures of lifetime resources (income and wealth) motivated by …

A long-standing question about consumer behaviour is whether individuals' observed
purchase decisions satisfy the revealed preference (RP) axioms of the utility maximization …

In structural dynamic discrete choice models, unobserved or mis-measured state variables
may lead to biased parameter estimates and misleading inference. In this paper, we show …

Stochastic discount factor (SDF) processes in dynamic economies admit a permanent‐
transitory decomposition in which the permanent component characterizes pricing over long …

Through certainty equivalent consumption (CE) measures, we show that dispersion of
current earnings, expenditures, and net worth overstate welfare inequality. This is largely …

This paper discusses nonparametric estimation of the distribution of random coefficients in a
structural model that is nonlinear in the random coefficients. We establish that the problem of …

We consider nonparametric identification and estimation of pricing kernels, or equivalently of
marginal utility functions up to scale, in consumption based asset pricing Euler equations …