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 chapter reviews the literature on the econometric relationship between DSGE and VAR models from the… Continue reading.
This paper establishes that so-called instrumental variables enable the identification and the estimation of a fully… Continue reading.
Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects… Continue reading.
We develop uniformly valid confidence regions for a regression coefficient in a high-dimensional sparse LAD (least… Continue reading.
In this article, we review quantile models with endogeneity. We focus on models that achieve identification… Continue reading.
We propose robust methods for inference on the effect of a treatment variable on a scalar… Continue reading.
We consider the problem of choosing two bandwidths simultaneously for estimating the difference of two functions… Continue reading.
The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal… Continue reading.
Standard approaches to constructing nonparametric confidence bands for functions are frustrated by the impact of bias,… Continue reading.
In nonparametric instrumental variables estimation, the mapping that identifies the function of interest, g say, is… Continue reading.
This paper is concerned with inference about an unidentified linear function, L(g), where the function g… Continue reading.
This paper introduces a general method to convert a model defined by moment conditions involving both… Continue reading.
We study econometric models of complete information games with ordered action spaces, such as the number… Continue reading.
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed… Continue reading.
The Cold War division of Korea, regarded as a natural experiment in institutional change, provides a… Continue reading.
This paper develops and implements a nonparametric test of Random Utility Models (RUM) using only nonsatiation… Continue reading.
A parameter of an econometric model is identified if there is a one-to-one or many-to-one mapping… Continue reading.
We present the clrbound, clr2bound, clr3bound and clrtest commands for estimation and inference developed by Chernozhukov… Continue reading.
This paper introduces average treatment effects conditional on the outcomes variable in an endogenous setup where… Continue reading.
This paper studies the identification of nonseparable models with continuous, endogenous regressors, also called treatments, using… Continue reading.