Research Staff

Martin Weidner

cemmap and UCL

Martin joined UCL and the Centre for Microdata Methods and Practice in 2011 after finishing his PhD at the University of Southern California. He is also a Research Fellow at the Institute for Fiscal Studies and a Turing Fellow at the Alan Turing Institute. He is working on Econometrics, with a special focus on panel data models, social networks, factor models, and high-dimensional inference

Selected Publications

Low-rank approximations of nonseparable panel models

We provide estimation methods for panel nonseparable models based on low-rank factor structure approximations. The factor […]

Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
23 October 2020 | CWP52/20
Posterior average effects

Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments […]

Stéphane Bonhomme, Martin Weidner
9 October 2020 | CWP49/20

Previous version

Posterior average effects
Stéphane Bonhomme, Martin Weidner
13 September 2019 | CWP43/19
Minimizing Sensitivity to Model Misspecification

We propose a framework for estimation and inference when the model may be misspecified. We rely […]

Stéphane Bonhomme, Martin Weidner
9 July 2020 | CWP37/20

Previous version

Minimizing sensitivity to model misspecification
Stéphane Bonhomme, Martin Weidner
9 October 2018 | CWP59/18
Moment Conditions for Dynamic Panel Logit Models with Fixed Effects

This paper builds on Bonhomme (2012) to develop a method to systematically construct moment conditions for […]

Bo E. Honoré, Martin Weidner
9 July 2020 | CWP38/20
Network and Panel Quantile Effects Via Distribution Regression

This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects […]

Victor Chernozhukov, Ivan Fernandez-Val, Martin Weidner
15 June 2020 | CWP27/20

Previous version

Network and panel quantile effects via distribution regression
Victor Chernozhukov, Ivan Fernandez-Val, Martin Weidner
12 December 2018 | CWP70/18
Bias and Consistency in Three-way Gravity Models

We study the incidental parameter problem in “three-way” Poisson Pseudo-Maximum Likelihood “PPML” gravity models recently recommended […]

Martin Weidner, Thomas Zylkin
7 January 2020 | CWP1/20
Posterior average effects

Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments […]

Stéphane Bonhomme, Martin Weidner
13 September 2019 | CWP43/19
Inference on a distribution from noisy draws

We consider a situation where the distribution of a random variable is being estimated by the […]

Koen Jochmans, Martin Weidner
13 September 2019 | CWP44/19

Previous version

Inference on a distribution from noisy draws
Koen Jochmans, Martin Weidner
27 February 2018 | CWP14/18
Nonlinear factor models for network and panel data

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. […]

Mingli Chen, Ivan Fernandez-Val, Martin Weidner
11 April 2019 | CWP18/19

Previous version

Nonlinear factor models for network and panel data
Mingli Chen, Ivan Fernandez-Val, Martin Weidner
3 July 2018 | CWP38/18
Fixed-effect regressions on network data

This paper considers inference on fixed effects in a linear regression model estimated from network data. […]

Koen Jochmans, Martin Weidner
3 April 2019 | CWP16/19

Previous version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
16 July 2018 | CWP44/18