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 considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property… Continue reading.
We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes,… Continue reading.
The ability to allow for flexible forms of unobserved heterogeneity is an essential ingredient in modern… Continue reading.
The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot… Continue reading.
Many modern estimation methods in econometrics approximate an objective function, for instance, through simulation or discretisation…. Continue reading.
Widely used convolutions and deconvolutions techniques traditionally rely on the assumption of independence, an assumption often… Continue reading.
This paper considers nonparametric estimation of absolutely continuous distribution functions of lifetimes of non-identical components in… Continue reading.
This paper asks which aspects of a structural Nonparametric Instrumental Variables Regression (NPIVR) can be identified… Continue reading.
In this paper we study the least squares (LS) estimator in a linear panel regression model… Continue reading.
The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference… Continue reading.
This paper studies the nonparametric identification and estimation of voters’ preferences when voters are ideological. We… Continue reading.
The dynamic behavior of the term structure of interest rates is difficult to replicate with models,… Continue reading.
This paper develops a specification test for the instrument validity conditions in the heterogeneous treatment effect… Continue reading.
Economic theory rarely provides a parametric specification for a model, but it often provides shape restrictions…. Continue reading.
This paper provides tools for partial identification inference and sensitivity analysis in a general class of… Continue reading.
We study the problem of nonparametric regression when the regressor is endogenous, which is an important… Continue reading.
We consider estimation of policy relevant treatment effects in a data-rich environment where there may be… Continue reading.
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and… Continue reading.
The goal of many empirical papers in economics is to provide an estimate of the causal… Continue reading.
Fixed effects estimators of nonlinear panel data models can be severely biased because of the well-known… Continue reading.