Publications

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.

Quantile regression methods for recursive structural equation models

Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003)… Continue reading.

Lingjie Ma, Roger Koenker
February 2004

CWP01/04

Latest version

Necessary and sufficient conditions for latent separability

This paper extends the nonparametric methods developed by Samuelson (1948), Houthakker (1950), Afriat (1973), Diewert (1973)… Continue reading.

Ian Crawford
February 2004

CWP02/04

Estimating average partial effects under conditional moment independence assumptions

I show how to identify and estimate the average partial effect of explanatory variables in a… Continue reading.

Jeffrey M. Wooldridge
March 2004

CWP03/04

On the robustness of fixed effects and related estimators in correlated random coefficient panel data models.

I show that a class of fixed effects estimators is reasonably robust for estimating the population-averaged… Continue reading.

Jeffrey M. Wooldridge
June 2004

CWP04/04

Latest version

Inverse probability weighted estimation for general missing data problems

I study inverse probability weighted M-estimation under a general missing data scheme. The cases covered that… Continue reading.

Jeffrey M. Wooldridge
April 2004

CWP05/04

Latest version

Nonparametric inference for unbalance time series data

Estimation of heteroskedasticity and autocorrelation consistent covariance matrices (HACs) is a well established problem in time… Continue reading.

Oliver Linton
April 2004

CWP06/04

Latest version

Nonparametric estimation of an additive quantile regression model

This paper is concerned with estimating the additive components of a nonparametric additive quantile regression model…. Continue reading.

Sokbae (Simon) Lee, Joel L. Horowitz
April 2004

CWP07/04

Latest version

Nonparametric estimation of an additive quantile regression model
Sokbae (Simon) Lee, Joel L. Horowitz
December 2005 | CWP
Endogeneity in quantile regression models: a control function approach

This paper considers a linear triangular simultaneous equations model with conditional quantile restrictions. The paper adjusts… Continue reading.

Sokbae (Simon) Lee
October 2004

CWP08/04

Latest version

Pessimistic portfolio allocation and Choquet expected utility

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory… Continue reading.

Roger Koenker, Gregory Kordas, Gilbert W. Bassett Jr Bassett
June 2004

CWP09/04

Latest version

Pessimistic portfolio allocation and Choquet expected utility
Gilbert W. Bassett Jr Bassett, Roger Koenker
September 2004 | CWP
Identification of sensitivity to variation in endogenous variables

This lecture explores conditions under which there is identification of the impact on an outcome of… Continue reading.

Andrew Chesher
July 2004

CWP10/04

Identification in additive error models with discrete endogenous variables

In additive error models with a discrete endogenous variable identification cannot be achieved under a marginal… Continue reading.

Andrew Chesher
September 2004

CWP11/04

The bootstrap and the Edgeworth correction for semiparametric averaged derivatives

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the… Continue reading.

Peter Robinson, Yoshihiko Nishiyama
October 2004

CWP12/04

Latest version

On the identification of the effect of smoking on mortality

This paper considers the identification of the effect of tobacco on mortality. If individuals select into… Continue reading.

Valérie Lechene, Jerome Adda
February 2004

CWP13/04

Testing a parametric model against a nonparametric alternative with identification through instrumental variables

This paper is concerned with inference about a function g that is identified by a conditional… Continue reading.

Joel L. Horowitz
September 2004

CWP14/04

Latest version

A nonparametric test of exogeneity

This paper is concerned with inference about a function g that is identified by a conditional… Continue reading.

Richard Blundell, Joel L. Horowitz
December 2004

CWP15/04

Spatial design matrices and associated quadratic forms: structure and properties

The paper provides significant simplifications and extensions of results obtained by Gorsich, Genton, and Strang (J…. Continue reading.

Federico Martellosio, Grant Hillier
December 2004

CWP16/04

Latest version

Spatial design matrices and associated quadratic forms: structure and properties
Federico Martellosio, Grant Hillier
January 2006 | CWP
Automatic positive semi-definite HAC covariance matrix and GMM estimation

This paper proposes a new class of HAC covariance matrix estimators. The standard HAC estimation method… Continue reading.

Richard Smith
December 2004

CWP17/04

Latest version

Nonparametric methods for the characteristic model

Characteristics models have been found to be useful in many areas ofeconomics. However, their empirical implementation… Continue reading.

Ian Crawford, Martin Browning, Laura Blow
December 2004

CWP18/04

GEL Criteria for Moment Condition Models

GEL methods which generalize and extend previous contributions are defined and analysed for moment condition models… Continue reading.

Richard Smith
December 2004

CWP19/04

Latest version

GEL Criteria for Moment Condition Models
Richard Smith
December 2011 | CWP