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Many structural econometric models include latent variables on whose probability distributions one may wish to place minimal restrictions. Leading examples in panel data models are individual-specific variables sometimes treated as "fixed…
We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting. The setting allows the number of time varying regressors to be larger than the sample size.…
In a variety of online settings involving interaction with end-users it is critical for the systems to adapt to changes in user preferences. User preferences on items tend to change over time due to a variety of factors such as change in…
This paper studies a class of linear panel models with random coefficients. We do not restrict the joint distribution of the time-invariant unobserved heterogeneity and the covariates. We investigate identification of the average partial…
Inference for fixed effects estimators is often unreliable due to Nickell- and incidental parameter biases. While these issues are well understood for classical two-dimensional panels, little is known about three-dimensional panel…
We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to $T$ sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The…
We develop new robust discrete choice tools to learn about the average willingness to pay for a price subsidy and its effects on demand given exogenous, discrete variation in prices. Our starting point is a nonparametric, nonseparable model…
This paper studies ranking policies in a stylized trial-offer marketplace model, in which a single firm offers products and has consumers with heterogeneous preferences. Consumer trials are influenced by past purchases and the ranking of…
We consider ordered logit models for directed network data that allow for flexible sender and receiver fixed effects that can vary arbitrarily across outcome categories. This structure poses a significant incidental parameter problem,…
Reliable demand forecasts are critical for the effective supply chain management. Several endogenous and exogenous variables can influence the dynamics of demand, and hence a single statistical model that only consists of historical sales…
Multidimensional heterogeneity and endogeneity are important features of a wide class of econometric models. With control variables to correct for endogeneity, nonparametric identification of treatment effects requires strong support…
In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…
Longitudinal data tracking repeated measurements on individuals are highly valued for research because they offer controls for unmeasured individual heterogeneity that might otherwise bias results. Random effects or mixed models approaches,…
We propose a nonparametric method for estimating the distribution of consumer welfare from cross-sectional data with no restrictions on individual preferences. First demonstrating that moments of demand identify the curvature of the…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
We consider identification, inference and validation of linear panel data models when both factors and factor loadings are accounted for by a nonparametric function. This general specification encompasses rather popular models such as the…
We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…
We develop a structural framework for modeling and inferring unobserved heterogeneity in dynamic panel-data models. Unlike methods treating clustering as a descriptive device, we model heterogeneity as arising from a latent clustering…
We develop a general model of discrete choice that incorporates peer effects in preferences and consideration sets. We characterize the equilibrium behavior and establish conditions under which all parts of the model can be recovered from a…
This paper studies semiparametric identification of substitution and complementarity patterns between two goods using a panel multinomial choice model with bundles. The model allows the two goods to be either substitutes or complements and…