Irregular identification of structural models with nonparametric unobserved heterogeneity

One of the most important empirical findings in microeconometrics is pervasiveness heterogeneity economic behavior (cf. Heckman, 2001 ). This paper shows that cumulative distribution functions and quantiles nonparametric unobserved have an infinite efficiency bound many structural models interest. The presents general precise conditions to prove such results. usefulness theory demonstrated with several relevant examples economics, including, among others, proportion individuals severe long term unemployment duration, Average Marginal Effects (AME) a correlated random coefficient model without monotonicity, coefficients linear, binary popular semiparametric Mixed Logit model.