SUPPLEMENT TO GMM ESTIMATION AND UNIFORM SUBVECTOR INFERENCE WITH POSSIBLE IDENTIFICATION FAILURE By

Gmm Estimation and Uniform Subvector Inference with Possible Identification Failure By

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...

Gmm Estimation and Uniform Subvector Inference with Possible Identification Failure

This paper determines the properties of standard generalized method of moments (GMM) estimators, tests, and confidence sets (CSs) in moment condition models in which some parameters are unidentified or weakly identified in part of the parameter space. The asymptotic distributions of GMM estimators are established under a full range of drifting sequences of true parameters and distributions. The...

Supplemental Appendix to MAXIMUM LIKELIHOOD ESTIMATION AND UNIFORM INFERENCE WITH SPORADIC IDENTIFICATION FAILURE By

METHODS FOR NONPARAMETRIC AND SEMIPARAMETRIC REGRESSIONS WITH ENDOGENEITY: A GENTLE GUIDE By

This paper reviews recent advances in estimation and inference for nonparametric and semiparametric models with endogeneity. It first describes methods of sieves and penalization for estimating unknown functions identified via conditional moment restrictions. Examples include nonparametric instrumental variables regression (NPIV), nonparametric quantile IV regression and many more semi-nonparam...

Demand Estimation with High-dimensional Product Characteristics

Structural models of demand founded on the classic work of Berry, Levinsohn, and Pakes (1995) link variation in aggregate market shares for a product to the influence of product attributes on heterogeneous consumer tastes. We consider implementing these models in settings with complicated products where consumer preferences for product attributes are sparse, that is, where a small proportion of...