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.

Estimating distributions of potential outcomes using local instrumental variables with an application to changes in college enrollment and wage inequality

This paper extends the method of local instrumental variables developed by Heckman and Vytlacil (1999, 2001,… Continue reading.

Sokbae (Simon) Lee, Pedro Carneiro
January 2009

CWP01/09

Trends in quality-adjusted skill premia in the United States, 1960-2000

This paper presents new evidence that increases in college enrollment lead to a decline in the… Continue reading.

Sokbae (Simon) Lee, Pedro Carneiro
January 2009

CWP02/09

Latest version

Trends in quality-adjusted skill premia in the United States, 1960-2000
Pedro Carneiro, Sokbae (Simon) Lee
October 2011 | CWP
A retail price index including the shadow price of owner occupied housing

How do house price changes affect the cost of living? The retail price index in the… Continue reading.

Lars Nesheim, Laura Blow
January 2009

CWP03/09

Dynamic housing expenditures and household welfare

In this paper we develop a measure of current “expenditures” on housing services for owner-occupiers. Having… Continue reading.

Lars Nesheim, Laura Blow
January 2009

CWP04/09

Identification and estimation of marginal effects in nonlinear panel models

This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find… Continue reading.

Ivan Fernandez-Val, Whitney K. Newey, Jinyong Hahn, Victor Chernozhukov
March 2009

CWP05/09

Latest version

Average and quantile effects in nonseparable panel models
Ivan Fernandez-Val, Whitney K. Newey, Jinyong Hahn, Victor Chernozhukov
March 2013 | CWP

Previous version

Identification and estimation of marginal effects in nonlinear panel models
Ivan Fernandez-Val, Whitney K. Newey, Jinyong Hahn, Victor Chernozhukov
September 2008 | CWP25/08
Efficient estimation of copula-based semiparametric Markov models

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized… Continue reading.

Yanping Yi, Wei Biao Wu Wu, Xiaohong Chen
March 2009

CWP06/09

Latest version

Efficient estimation of copula-based semiparametric Markov models
Yanping Yi, Wei Biao Wu Wu, Xiaohong Chen
May 2010 | CWP
Principal components and the long run

We investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to… Continue reading.

Jose A. Scheinkman, Lars Peter Hansen, Xiaohong Chen
May 2009

CWP07/09

Identification of structural dynamic discrete choice models

This paper presents new identification results for the class of structural dynamic discrete choice models that… Continue reading.

Le-Yu Chen
May 2009

CWP08/09

Inference on counterfactual distributions

In this paper we develop procedures for performing inference in regression models about how potential policy… Continue reading.

Blaise Melly, Victor Chernozhukov, Ivan Fernandez-Val
May 2009

CWP09/09

Latest version

Inference on counterfactual distributions
Ivan Fernandez-Val, Blaise Melly, Victor Chernozhukov
May 2013 | CWP17/13
L1-Penalized quantile regression in high-dimensional sparse models

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models… Continue reading.

Victor Chernozhukov, Alexandre Belloni
May 2009

CWP10/09

Latest version

L1-Penalized quantile regression in high-dimensional sparse models
Victor Chernozhukov, Alexandre Belloni
February 2011 | CWP
Measuring the price responsiveness of gasoline demand

This paper develops a new method for estimating the demand function for gasoline and the deadweight… Continue reading.

Matthias Parey, Richard Blundell, Joel L. Horowitz
April 2009

CWP11/09

Set identification with Tobin regressors

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous,… Continue reading.

Thomas M. Stoker, Roberto Rigobon, Victor Chernozhukov
May 2009

CWP12/09

Hypothesis testing of multiple inequalities: the method of constraint chaining

Econometric inequality hypotheses arise in diverse ways. Examples include concavity restrictions on technological and behavioural functions,… Continue reading.

Jerzy Szroeter, Le-Yu Chen
June 2009

CWP13/09

Latest version

Testing multiple inequality hypotheses: a smoothed indicator approach
Jerzy Szroeter, Le-Yu Chen
July 2012 | CWP16/12
Nonparametric estimation of a polarization measure

This paper develops methodology for nonparametric estimation of a polarization measure due to Anderson (2004) and… Continue reading.

Yoon-Jae Whang, Oliver Linton, Gordon Anderson
June 2009

CWP14/09

Nonparametric identification of auction models with non-separable unobserved heterogeneity

We propose a novel methodology for nonparametric identification of first-price auction models with independent private values,… Continue reading.

Matthew Shum, David McAdams, Yingyao Hu
July 2009

CWP15/09

Nonparametric identification of a binary random factor in cross section data

Suppose V and U are two independent mean zero random variables, where V has an asymmetric… Continue reading.

Arthur Lewbel, Yingyong Dong
July 2009

CWP16/09

Latest version

Empirical analysis of buyer power

This paper provides a comprehensive econometric framework for the empirical analysis of buyer power. It encompasses… Continue reading.

Walter Beckert
July 2009

CWP17/09

Uniform confidence bands for functions estimated nonparametrically with instrumental variables

This paper is concerned with developing uniform confidence bands for functions estimated nonparametrically with instrumental variables…. Continue reading.

Sokbae (Simon) Lee, Joel L. Horowitz
July 2009

CWP18/09

Latest version

Intersection Bounds: estimation and inference

We develop a practical and novel method for inference on intersection bounds, namely bounds defined by… Continue reading.

Victor Chernozhukov, Adam Rosen, Sokbae (Simon) Lee
July 2009

CWP19/09

Latest version

Intersection bounds: estimation and inference
Victor Chernozhukov, Sokbae (Simon) Lee, Adam Rosen
October 2012 | CWP33/12
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals

This paper considers semiparametric efficient estimation of conditional moment models with possibly nonsmooth residuals in unknown… Continue reading.

Demian Pouzo, Xiaohong Chen
July 2009

CWP20/09

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