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.

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


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Non-asymptotic inference in a class of optimization problems
Sokbae (Simon) Lee, Joel L. Horowitz
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


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Heterogeneous Choice Sets and Preferences
Joshua C. Teitelbaum, Francesca Molinari, Maura Coughlin, Levon Barseghyan
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


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Inference on winners
Adam McCloskey, Toru Kitagawa, Isaiah Andrews
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.

Toru Kitagawa, Emanuele Bacchiocchi
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.

Guillaume Pouliot, Elena Manresa, Tetsuya Kaji
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.

Martin Weidner, Bo E. Honoré
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.

Martin Weidner, Stéphane Bonhomme
July 2020


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Minimizing sensitivity to model misspecification
Martin Weidner, Stéphane Bonhomme
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.

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


The Welfare Effects of Promotional Fees

Manufacturers frequently pay fees to supermarkets when they temporarily reduce prices of their products. These funds… Continue reading.

Sorawoot Srisuma, Daniel Silva Junior, Fabio M. Sanches, Mateusz Mysliwski
July 2020


Inference after Estimation of Breaks

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean… Continue reading.

Adam McCloskey, Toru Kitagawa, Isaiah Andrews
July 2020


Previous version

Inference after estimation of breaks
Adam McCloskey, Toru Kitagawa, Isaiah Andrews
October 2019 | CWP51/19
Uncertain Identification

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored… Continue reading.

Alessio Volpicella, Toru Kitagawa, Raffaella Giacomini
July 2020


Previous version

Uncertain identification
Raffaella Giacomini, Alessio Volpicella, Toru Kitagawa
April 2017 | CWP18/17
Sparse HP filter: Finding kinks in the COVID-19 contact rate

In this paper, we estimate the time-varying COVID-19 contact rate of a Susceptible-Infected-Recovered (SIR) model. Our… Continue reading.

Youngki Shin, Myung Hwan Seo, Yuan Liao, Sokbae (Simon) Lee
June 2020


Institutions, competitiveness and cognitive ability

We investigate whether growing up in a socialist country affects the development of competitiveness by comparing… Continue reading.

Sokbae (Simon) Lee, Jungmin Lee, Byung-Yeon Kim, Syngjoo Choi
June 2020


Sparse Quantile Regression

We consider both l0-penalized and l0-constrained quantile regression estimators. For the l0-penalized estimator, we derive an… Continue reading.

Sokbae (Simon) Lee, Le-Yu Chen
June 2020


Desperate times call for desperate measures: government spending multipliers in hard times

We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether… Continue reading.

Youngki Shin, Myung Hwan Seo, Yuan Liao, Sokbae (Simon) Lee
June 2020