The cemmap working paper series publishes papers expanding the frontiers of knowledge in microdata methods and practice. Martin Weidner is the editor of the working paper series.

Simple misspecification adaptive inference for interval identified parameters

This paper revisits the simple, but empirically salient, problem of inference on a real-valued parameter that… Continue reading.

Jorg Stoye
November 2020


An instrumental variable approach to dynamic models

We present a new class of methods for identification and inference in dynamic models with serially… Continue reading.

Steven Berry, Giovanni Compiani
November 2020


Gaussian transforms modeling and the estimation of distributional regression functions

Conditional distribution functions are important statistical objects for the analysis of a wide class of problems… Continue reading.

Richard Spady, Sami Stouli
November 2020


Low-rank approximations of nonseparable panel models

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

Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
October 2020


Sparse network asymptotics for logistic regression

Consider a bipartite network where N consumers choose to buy or not to buy M different… Continue reading.

Bryan S. Graham
October 2020


Optional dynamic treatment regimes and partial welfare ordering

Dynamic treatment regimes are treatment allocations tailored to heterogeneous individuals. The optimal dynamic treatment regime is… Continue reading.

Sukjin (Vincent) Han
October 2020


Posterior average effects

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

Stéphane Bonhomme, Martin Weidner
October 2020


Previous version

Posterior average effects
Stéphane Bonhomme, Martin Weidner
September 2019 | CWP43/19
Inference in a class of optimization problems: confidence regions and finite sample bounds on errors in coverage probabilities

This paper describes a method for carrying out inference on partially identified parameters that are solutions… Continue reading.

Joel L. Horowitz, Sokbae Lee
September 2020


Previous version

Non-asymptotic inference in a class of optimization problems
Joel L. Horowitz, Sokbae (Simon) Lee
May 2019 | CWP23/19
Heterogeneous choice sets and preferences

We propose a robust method of discrete choice analysis when agents’ choice sets are unobserved. Our… Continue reading.

Levon Barseghyan, Maura Coughlin, Francesca Molinari, Joshua C. Teitelbaum
September 2020


Previous version

Heterogeneous Choice Sets and Preferences
Levon Barseghyan, Maura Coughlin, Francesca Molinari, Joshua C. Teitelbaum
July 2019 | CWP37/19
Non-random exposure to exogenous shocks: theory and applications

We develop new tools for causal inference in settings where exogenous shocks affect the treatment status… Continue reading.

Kirill Borusyak, Peter Hull
September 2020


Heterogeneous coefficients, control variables, and identification of treatment effects

Multidimensional heterogeneity and endogeneity are important features of models with multiple treatments. We consider a heterogeneous… Continue reading.

Whitney K. Newey, Sami Stouli
September 2020


Identification and estimation of dynamic structural models with unobserved choices

This paper develops identification and estimation methods for dynamic structural models when agents’ actions are unobserved… Continue reading.

Yingyao Hu, Yi Xin
September 2020


Inference on winners

Many empirical questions concern target parameters selected through optimization. For example, researchers may be interested in… Continue reading.

Isaiah Andrews, Toru Kitagawa, Adam McCloskey
September 2020


Previous version

Inference on winners
Isaiah Andrews, Toru Kitagawa, Adam McCloskey
December 2018 | CWP73/18
An optimal test for strategic interaction in social and economic network formation between heterogeneous agents

We introduce a test for whether agents’ preferences over network structure are interdependent. Interdependent preferences induce… Continue reading.

Andrin Pelican, Bryan S. Graham
September 2020


Identification of a triangular two equation system without instruments

We show that a standard linear triangular two equation system can be point identified, without the… Continue reading.

Arthur Lewbel, Susanne M. Schennach, Linqi Zhang
August 2020


Locally- but not globally-identified SVARs

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not… Continue reading.

Emanuele Bacchiocchi, Toru Kitagawa
July 2020


An adversarial approach to structural estimation

We propose a new simulation-based estimation method, adversarial estimation, for structural models. The estimator is formulated… Continue reading.

Tetsuya Kaji, Elena Manresa, Guillaume Pouliot
July 2020


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… Continue reading.

Bo E. Honoré, Martin Weidner
July 2020


Minimizing Sensitivity to Model Misspecification

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

Stéphane Bonhomme, Martin Weidner
July 2020


Previous version

Minimizing sensitivity to model misspecification
Stéphane Bonhomme, Martin Weidner
October 2018 | CWP59/18
Teacher-to-classroom assignment and student achievement

We study the effects of counterfactual teacher-to-classroom assignments on average student achievement in elementary and middle… Continue reading.

Bryan S. Graham, Geert Ridder, Petra Thiemann, Gema Zamarro
July 2020