Email: danbm (at) huji (dot) ac (dot) il
PhD, Economics, UCLA, 2012
MS, Financial Mathematics, Stanford University, 2005
BA, Economics, Mathematics, Stanford University, 2004
Identification of Joint Distributions in Dependent Factor Models (2018), Econometric Theory
We identify and estimate joint distributions in a factor model with subsets of arbitrarily dependent unobservables. Identification extends a result by Kotlarski (1967) from a single factor model to a multiple factor model.
Identification of Additive and Polynomial Models of Mismeasured Regressors Without Instruments (2017), with Xavier D’Haultfœuille and Arthur Lewbel, Journal of Econometrics
We identify the nonparametric function g in the model Y = g(X*) + h(Z) + U, E[U|X*,Z]=0 where X* is measured with error and without any side information. Similarly, we identify the polynomial P in the model Y=P(X*,Z) + U, E[U|X*,Z]=0 .
We provide necessary and sufficient conditions for identification of the linear errors-in-variables model, extending Reiersol (1950) from the single regressor model to the multiple regressor model. We introduce a new estimator for the coefficients using second derivatives of the empirical log characteristic function.