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 the problem of specification testing in partially identified models defined by a finite… Continue reading.
This paper develops methodology for semiparametric panel data models in a setting where both the time… Continue reading.
In this paper we introduce a new approach to estimating a differentiated product demand system that… Continue reading.
We study nonparametric identification of single-agent discrete choice models for bundles and binary games of complete… Continue reading.
In this paper we specify and use a new duration model to study joint retirement in… Continue reading.
This paper analyses the career progression of skilled and unskilled workers, with a focus on how… Continue reading.
We extend the search-matching model of the marriage market of Shimer and Smith (200) to allow… Continue reading.
It is often argued that informal labour markets in developing countries are the engine of growth… Continue reading.
Statistical models of unobserved heterogeneity are typically formalised as mixtures of simple parametric models and interest… Continue reading.
We study models with discrete endogenous variables and compare the use of two stage least squares… Continue reading.
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run… Continue reading.
Individual players in a simultaneous equation binary choice model act differently in different environments in ways… Continue reading.
Many time-series data are known to exhibit ‘long memory’, that is, they have an autocorrelation function… Continue reading.
This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty… Continue reading.
This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property… Continue reading.
We examine a kernel regression smoother for time series that takes account of the error correlation… Continue reading.
Counterfactual distributions are important ingredients for policy analysis and de-composition analysis in empirical economics. In this… Continue reading.
This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model… Continue reading.
Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are… Continue reading.
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds… Continue reading.