Centre for microdata methods and practice
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.
This paper studies simultaneous equations models for two or more discrete outcomes. These models may be… Continue reading.
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function… Continue reading.
In this paper, we study a nonparametric regression model including a periodic component, a smooth trend… Continue reading.
The so-called leverage hypothesis is that negative shocks to prices/returns aff ect volatility more than equal… Continue reading.
This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment… Continue reading.
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations… Continue reading.
We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over… Continue reading.
We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression… Continue reading.
This article reviews the recent literature on the econometric analysis of games where multiple solutions are… Continue reading.
The primary concern of this article is the provision of definitions and tests for exogeneity appropriate… Continue reading.
In this note, we characterise the semiparametric efficiency bound for a class of semiparametric models in… Continue reading.
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and… Continue reading.
We develop a practical and novel method for inference on intersection bounds, namely bounds defined by… Continue reading.
In this paper we study a random coefficient model for a binary outcome. We allow for… Continue reading.
Monotonicity is a key qualitative prediction of a wide array of economic models derived via robust… Continue reading.
In this paper, the author constructs a new test of conditional moment inequalities based on studentised… Continue reading.
In parametric models a sufficient condition for local identification is that the vector of moment is… Continue reading.
This paper considers nonparametric identification of a two-stage entry and bidding model for auctions which we… Continue reading.
In this paper we study nonparametric estimation in a binary treatment model where the outcome equation… Continue reading.
Virtually all methods aimed at correcting for covariate measurement error in regressions rely on some form… Continue reading.