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.

Correlation testing in time series, spatial and cross-sectional data

We provide a general class of tests for correlation in time series, spatial, spatio-temporal and cross-sectional… Continue reading.

Peter Robinson
January 2007

CWP01/07

Latest version

Testing a parametric quantile-regression model with an endogenous explanatory variable against a nonparametric alternative

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

Sokbae (Simon) Lee, Joel L. Horowitz
February 2007

CWP02/07

Latest version

Identification and estimation of firms’ marginal cost functions with incomplete knowledge of strategic behavior

In this paper I develop a new approach for identification and estimation of the parameters of… Continue reading.

Adam Rosen
February 2007

CWP03/07

Bias corrections for two-step fixed effects panel data estimators

This paper introduces bias-corrected estimators for nonlinear panel data models with both time invariant and time… Continue reading.

Ivan Fernandez-Val, Francis Vella
February 2007

CWP04/07

Latest version

Bias corrections for two-step fixed effects panel data estimators
Francis Vella, Ivan Fernandez-Val
August 2011 | CWP
Endogeneity and discrete outcomes

This paper studies models for discrete outcomes which permit explanatory variables to be endogenous.

Andrew Chesher
March 2007

CWP05/07

Latest version

Instrumental variable models for discrete outcomes
Andrew Chesher
November 2008 | CWP30/08
Semiparametric identification of structural dynamic optimal stopping time models

This paper presents new identification results for the class of structural dynamic optimal stopping time models… Continue reading.

Le-Yu Chen
March 2007

CWP06/07

Robust priors in nonlinear panel data models

Many approaches to estimation of panel models are based on an average or integrated likelihood that… Continue reading.

Stéphane Bonhomme, Manuel Arellano
March 2007

CWP07/07

Latest version

Robust priors in nonlinear panel data models
Stéphane Bonhomme, Manuel Arellano
March 2009 | CWP
The weak instrument problem of the system GMM estimator in dynamic panel data models

The system GMM estimator for dynamic panel data models combines moment conditions for the model in… Continue reading.

Frank Windmeijer, Maurice Bun
March 2007

CWP08/07

Latest version

Improving estimates of monotone functions by rearrangement

Suppose that a target function is monotonic, namely, weakly increasing, and an original estimate of the… Continue reading.

Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
April 2007

CWP09/07

Latest version

Improving estimates of monotone functions by rearrangement
Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
September 2009 | CWP
Quantile and probability curves without crossing

The most common approach to estimating conditional quantile curves is to fit a curve, typically linear,… Continue reading.

Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
April 2007

CWP10/07

Latest version

Quantile and probability curves without crossing
Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
May 2010 | CWP
Rarely pure and never simple: extracting the truth from self-reported data on substance use

We consider the misreporting of illicit drug use and juvenile smoking in self-report surveys and its… Continue reading.

Stephen Pudney
May 2007

CWP11/07

On the computational complexity of MCMC-based estimators in large samples

In this paper we examine the implications of the statistical large sample theory for the computational… Continue reading.

Victor Chernozhukov, Alexandre Belloni
May 2007

CWP12/07

Latest version

On the computational complexity of MCMC-based estimators in large samples
Alexandre Belloni, Victor Chernozhukov
August 2009 | CWP
Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors

The main objective of this paper is to derive the efficiency bounds for estimating certain linear… Continue reading.

Gautam Tripathi, Thomas A. Severini
May 2007

CWP13/07

Latest version

Nonparametric identification of the classical errors-in-variables model without side information

This note establishes that the fully nonparametric classical errors-in-variables model is identifiable from data on the… Continue reading.

Arthur Lewbel, Yingyao Hu, Susanne M. Schennach
July 2007

CWP14/07

Mixed hitting-time models

We study a mixed hitting-time (MHT) model that specifies durations as the first time a Levy… Continue reading.

Jaap Abbring
July 2007

CWP15/07

Latest version

Mixed hitting-time models
Jaap Abbring
August 2009 | CWP
Moment inequalities and their application

This paper provides conditions under which the inequality constraints generated by either single agent optimizing behavior,… Continue reading.

Joy Ishii, Kate Ho, J. Porter, Ariel Pakes
July 2007

CWP16/07

Latest version

Moment inequalities and their application
Joy Ishii, Kate Ho, Jack Porter, Ariel Pakes
January 2015 | CWP
Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments

This note considers nonparametric identification of a general nonlinear regression model with a dichotomous regressor subject… Continue reading.

Arthur Lewbel, Yingyao Hu, Xiaohong Chen
August 2007

CWP17/07

Latest version

Nonparametric identification and estimation of nonclassical errors-in-variables models without additional information

This paper considers identification and estimation of a nonparametric regression model with an unobserved discrete covariate…. Continue reading.

Arthur Lewbel, Yingyao Hu, Xiaohong Chen
August 2007

CWP18/07

Latest version

Rearranging Edgeworth-Cornish-Fisher expansions

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and… Continue reading.

Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
August 2007

CWP19/07

Latest version

Rearranging Edgeworth-Cornish-Fisher expansions
Ivan Fernandez-Val, Alfred Galichon, Victor Chernozhukov
February 2010 | CWP
On rate optimality for ill-posed inverse problems in econometrics

In this paper, we clarify the relations between the existing sets of regularity conditions for convergence… Continue reading.

Markus Reiss, Xiaohong Chen
September 2007

CWP20/07

Latest version