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

Posterior average effects

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments […]

Stéphane Bonhomme, Martin Weidner
10 September 2021 | CWP36/21

Previous version

Posterior average effects
Stéphane Bonhomme, Martin Weidner
9 October 2020 | CWP49/20
Bias and consistency in three-way gravity models

We study the incidental parameter problem for the “three-way” Poisson Pseudo-Maximum Likelihood (PPML) estimator recently recommended […]

Martin Weidner, Thomas Zylkin
8 March 2021 | CWP11/21

Previous version

Bias and Consistency in Three-way Gravity Models
Martin Weidner, Thomas Zylkin
7 January 2020 | CWP1/20
Low-rank approximations of nonseparable panel models

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

Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
4 March 2021 | CWP10/21

Previous version

Low-rank approximations of nonseparable panel models
Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
23 October 2020 | CWP52/20
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