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.

Generalized empirical likelihood tests in time series models with potential identification failure

We introduce test statistics based on generalized empirical likelihood methods that can be used to test… Continue reading.

Patrik Buggenberger, Richard Smith
April 2005

CWP01/05

Latest version

Reform of unemployment compensation in Germany: a nonparametric bounds analysis using register data

Economic theory suggests that an extension of the maximum length of entitlement for unemployment benefits increases… Continue reading.

Ralf A. Wilke Wilke, Sokbae (Simon) Lee
April 2005

CWP02/05

Latest version

Nonparametric estimation of nonadditive hedonic models

We analyze equilibria in hedonic economies and study conditions that lead to identification of structural preference… Continue reading.

Lars Nesheim, Rosa Matzkin, James Heckman
March 2005

CWP03/05

Latest version

Nonparametric estimation of nonadditive hedonic models
Rosa Matzkin, Lars Nesheim, James Heckman
September 2010 | CWP
Ill-conditioned problems, Fisher information and weak instruments

The existence of a uniformly consistent estimator for a particular parameter is well-known to depend on… Continue reading.

Grant Hillier, Giovanni Forchini
April 2005

CWP04/05

Estimation of dynamic linear models in short panels with ordinal observation

We develop a simulated ML method for short-panel estimation of one or more dynamic linear equations,… Continue reading.

Stephen Pudney
June 2005

CWP05/05

Maximal uniform convergence rates in parametric estimation problems

This paper considers parametric estimation problems with i.i.d. data. It focusseson rate-effciency, in the sense of… Continue reading.

Daniel McFadden, Walter Beckert
June 2005

CWP06/05

Latest version

Maximal uniform convergence rates in parametric estimation problems
Daniel McFadden, Walter Beckert
November 2007 | CWP28/07
Unit roots: identification and testing in micro panels

We consider a number of unit root tests for micro panels where the number of individuals… Continue reading.

Frank Windmeijer, Céline Nauges, Stephen Bond
July 2005

CWP07/05

Estimating a class of triangular simultaneous equations models without exclusion restrictions

This paper provides a control function estimator to adjust for endogeneity in the triangular simultaneous equations… Continue reading.

Francis Vella, Roger Klein
July 2005

CWP08/05

Latest version

Heterogeneity and the nonparametric analysis of consumer choice: conditions for invertibility

This paper considers structural nonparametric random utility models for continuouschoice variables. It provides suffcient conditions on… Continue reading.

Richard Blundell, Walter Beckert
July 2005

CWP09/05

Spatial correlation robust inferencewith Errors in Location or Distance

This paper presents results from a Monte Carlo study concerning inference with spatially dependent data. It… Continue reading.

Timothy Conley, Francesca Molinari
August 2005

CWP10/05

Latest version

Spatial correlation robust inference with Errors in Location or Distance
Timothy Conley, Francesca Molinari
September 2007 | CWP
Estimating a semi-parametric duration model without specifyingheterogeneity

This paper presents a new estimator for the mixed proportionalhazard model that allows for a nonparametric… Continue reading.

Tiemen M. Woutersen, Jerry Hausman
August 2005

CWP11/05

Latest version

Estimating a semi-parametric duration model without specifying heterogeneity
Tiemen M. Woutersen, Jerry Hausman
January 2005 | CWP
Best nonparametric bounds on demand responses

This paper uses revealed preference inequalities to provide tight nonparametric bounds on consumer responses to price… Continue reading.

Ian Crawford, Martin Browning, Richard Blundell
October 2005

CWP12/05

Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura

Initially this discussion briefly reviews the contributions of Andrews and Stock and Kitamura,henceforth A, S and… Continue reading.

Richard Smith
October 2005

CWP13/05

Latest version

Efficient information theoretic inference for conditional moment restrictions

The generalized method of moments estimator may be substantially biased in finite samples, especially so when… Continue reading.

Richard Smith
October 2005

CWP14/05

Latest version

Local GEL methods for conditional moment restrictions

The principal purpose of this paper is to adapt to the conditional moment context the GEL… Continue reading.

Richard Smith
November 2005

CWP15/05

Latest version

Ability, sorting and wage inequality

In this paper we examine the importance of heterogeneity and self-selection into schoolingfor the study of… Continue reading.

Pedro Carneiro, Sokbae (Simon) Lee
November 2005

CWP16/05

Identification of a competing risks model with unknown transformations of latent failure times

This paper is concerned with identification of a competing risks model with unknown transformations of latent… Continue reading.

Sokbae (Simon) Lee
November 2005

CWP17/05

Latest version

GMM with many weak moment conditions

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step… Continue reading.

Frank Windmeijer, Whitney K. Newey
December 2005

CWP18/05

Latest version

Generalized method of moments with many weak moment conditions
Frank Windmeijer, Whitney K. Newey
May 2010 | CWP
Identification with excess heterogeneity

An outcome is determined by a structural function in which the effect of variables of interest… Continue reading.

Andrew Chesher
December 2005

CWP19/05

Latest version

The effects of taxes and bans on passive smoking

This paper evaluates the effect of excise taxes and bans on smoking in public places on… Continue reading.

Francesca Cornaglia, Jerome Adda
December 2005

CWP20/05

Latest version

The effects of taxes and bans on passive smoking
Francesca Cornaglia, Jerome Adda
January 2010 | CWP