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.

Specification tests for partially identified models defined by moment inequalities

This paper studies the problem of specification testing in partially identified models defined by a finite… Continue reading.

Xiaoxia Shi, Ivan A. Canay, Federico A. Bugni
January 2013

CWP01/13

Latest version

Specification tests for partially identified models defined by moment inequalities
Ivan A. Canay, Xiaoxia Shi, Federico A. Bugni
March 2015 | CWP
A semiparametric model for heterogeneous panel data with fixed effects

This paper develops methodology for semiparametric panel data models in a setting where both the time… Continue reading.

Michael Vogt, Oliver Linton, Lena Boneva (Körber)
January 2013

CWP02/13

Latest version

A semiparametric model for heterogeneous panel data with fixed effects
Michael Vogt, Oliver Linton, Lena Boneva (Körber)
March 2015 | CWP
Estimating demand for differentiated products with error in market shares

In this paper we introduce a new approach to estimating a differentiated product demand system that… Continue reading.

Xiaoxia Shi, Zhentong Lu, Amit Gandhi Gandhi
February 2013

CWP03/13

Identification of discrete choice models for bundles and binary games

We study nonparametric identification of single-agent discrete choice models for bundles and binary games of complete… Continue reading.

Natalia Lazzati, Jeremy Fox
February 2013

CWP04/13

Interdependent durations in joint retirement

In this paper we specify and use a new duration model to study joint retirement in… Continue reading.

Áureo de Paula, Bo E. Honoré
March 2013

CWP05/13

Latest version

Interdependent durations in joint retirement
Áureo de Paula, Bo E. Honoré
March 2014 | CWP08/14
Career progression, economic downturns and skills

This paper analyses the career progression of skilled and unskilled workers, with a focus on how… Continue reading.

Costas Meghir, Christian Dustmann, Jerome Adda, Jean-Marc Robin
March 2013

CWP06/13

Assortative matching and search with labor supply and home production

We extend the search-matching model of the marriage market of Shimer and Smith (200) to allow… Continue reading.

Nicolas Jacquemet, Jean-Marc Robin
March 2013

CWP07/13

Wages and informality in developing countries

It is often argued that informal labour markets in developing countries are the engine of growth… Continue reading.

Renata Narita, Costas Meghir, Jean-Marc Robin
March 2013

CWP08/13

Latest version

Wages and informality in developing countries
Renata Narita, Costas Meghir, Jean-Marc Robin
April 2015 | CWP
Testing for homogeneity in mixture models

Statistical models of unobserved heterogeneity are typically formalised as mixtures of simple parametric models and interest… Continue reading.

Stanislav Volgushev, Jiaying Gu, Roger Koenker
March 2013

CWP09/13

What do instrumental variable models deliver with discrete dependent variables?

We study models with discrete endogenous variables and compare the use of two stage least squares… Continue reading.

Andrew Chesher, Adam Rosen
March 2013

CWP10/13

Latest version

Let’s get LADE: robust estimation of semiparametric multiplicative volatility models

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run… Continue reading.

Oliver Linton, Bonsoo Koo
March 2013

CWP11/13

Latest version

Random coefficients in static games of complete information

Individual players in a simultaneous equation binary choice model act differently in different environments in ways… Continue reading.

Hiroaki Kaido, Stefan Hoderlein, Fabian Dunker
March 2013

CWP12/13

Long memory via networking

Many time-series data are known to exhibit ‘long memory’, that is, they have an autocorrelation function… Continue reading.

Susanne M. Schennach
April 2013

CWP13/13

Latest version

Long memory via networking
Susanne M. Schennach
July 2018 | CWP49/18
Maximum score estimation of preference parameters for a binary choice model under uncertainty

This paper develops maximum score estimation of preference parameters in the binary choice model under uncertainty… Continue reading.

Myung Jae Sung, Le-Yu Chen, Sokbae (Simon) Lee
April 2013

CWP14/13

Latest version

Maximum score estimation with nonparametrically generated regressors
Sokbae (Simon) Lee, Myung Jae Sung, Le-Yu Chen
May 2014 | CWP27/14
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property… Continue reading.

Oliver Linton, Heather Battey
April 2013

CWP15/13

Latest version

Non-parametric transformation regression with non-stationary data

We examine a kernel regression smoother for time series that takes account of the error correlation… Continue reading.

Qiying Wang, Oliver Linton
April 2013

CWP16/13

Latest version

Nonparametric transformation regression with non-stationary data
Qiying Wang, Oliver Linton
February 2016 | CWP
Inference on counterfactual distributions

Counterfactual distributions are important ingredients for policy analysis and de-composition analysis in empirical economics. In this… Continue reading.

Ivan Fernandez-Val, Blaise Melly, Victor Chernozhukov
May 2013

CWP17/13

Latest version

Inference on counterfactual distributions
Ivan Fernandez-Val, Blaise Melly, Victor Chernozhukov
November 2010 | CWP

Previous version

Inference on counterfactual distributions
Ivan Fernandez-Val, Blaise Melly, Victor Chernozhukov
February 2012 | CWP05/12
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates

This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE’s) of the GARCH model… Continue reading.

Dennis Kristensen, Heejoon Han
May 2013

CWP18/13

Latest version

Likelihood inference in some finite mixture models

Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are… Continue reading.

Elie Tamer, Maria Ponomareva, Xiaohong Chen
May 2013

CWP19/13

Latest version

Likelihood inference in some finite mixture models
Elie Tamer, Maria Ponomareva, Xiaohong Chen
September 2014 | CWP
Bond returns and market expectations

A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds… Continue reading.

Raffaella Giacomini, Riccardo Costantini, Carlo Altavilla
May 2013

CWP20/13

Latest version

Bond Returns and Market Expectations
Riccardo Costantini, Raffaella Giacomini, Carlo Altavilla
October 2014 | CWP