Ling-Yan Kong

From dense grids to valid inference: Accounting for regularization bias in nonparametric random coefficient models

This paper develops an inference procedure for average functionals of random-coefficient distributions, such as mean willingness-to-pay and average elasticities, when the distribution is estimated nonparametrically using the penalized fixed-grid estimator of Heiss, Hetzenecker, and Osterhaus (2022). We establish asympt...