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.

Bounds on treatment effects on transitions

This paper considers identification of treatment effects on conditional transition probabilities. We show that even under… Continue reading.

Johan Vikström, Martin Weidner, Geert Ridder
January 2015

CWP01/15

Latest version

Bounds On Treatment Effects On Transitions
Martin Weidner, Geert Ridder, Johan Vikström
April 2016 | CWP17/16
Post-selection and post-regularization inference in linear models with many controls and instruments

In this note, we offer an approach to estimating structural parameters in the presence of many… Continue reading.

Victor Chernozhukov, Martin Spindler, Christian Hansen
January 2015

CWP02/15

Latest version

Post-Selection and Post-Regularization Inference in Linear Models with Many Controls and Instruments
Martin Spindler, Christian Hansen, Victor Chernozhukov
May 2015 | CWP
Microeconomic models with latent variables: applications of measurement error models in empirical industrial organization and labor economics

This paper reviews recent developments in nonparametric identification of measurement error models and their applications in… Continue reading.

Yingyao Hu
January 2015

CWP03/15

Monge-Kantorovich depth, quantiles, ranks and signs

We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation… Continue reading.

Marc Henry, Victor Chernozhukov, Marc Hallin, Alfred Galichon
January 2015

CWP04/15

Latest version

Monge-Kantorovich depth, quantiles, ranks and signs
Marc Henry, Marc Hallin, Alfred Galichon, Victor Chernozhukov
September 2015 | CWP57/15
A lava attack on the recovery of sums of dense and sparse signals

Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in… Continue reading.

Victor Chernozhukov, Yuan Liao, Christian Hansen
February 2015

CWP05/15

Latest version

A lava attack on the recovery of sums of dense and sparse signals
Yuan Liao, Christian Hansen, Victor Chernozhukov
September 2015 | CWP56/15
Classification of nonparametric regression functions in heterogeneous panels

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it… Continue reading.

Oliver Linton, Michael Vogt
February 2015

CWP06/15

Semiparametric dynamic portfolio choice with multiple conditioning variables

Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset… Continue reading.

Jia Chen, Zudi Lu, Oliver Linton, Degui Li
February 2015

CWP07/15

Latest version

Semiparametric dynamic portfolio choice with multiple conditioning variables
Zudi Lu, Oliver Linton, Degui Li, Jia Chen
October 2016 | CWP
Mean Ratio Statistic for measuring predictability

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based… Continue reading.

Katja Smetanina, Oliver Linton
February 2015

CWP08/15

Estimation of stochastic volatility models by nonparametric filtering

A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically… Continue reading.

Dennis Kristensen, Shin Kanaya
March 2015

CWP09/15

Latest version

Estimation of stochastic volatility models by nonparametric filtering
Dennis Kristensen, Shin Kanaya
August 2016 | CWP
Who should be treated? Empirical welfare maximization methods for treatment choice

One of the main objectives of empirical analysis of experiments and quasi-experiments is to inform policy… Continue reading.

Aleksey Tetenov, Toru Kitagawa
March 2015

CWP10/15

Latest version

Nonparametric testing for exogeneity with discrete regressors and instruments

This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and… Continue reading.

Grant Hillier, Katarzyna Bech
March 2015

CWP11/15

Quantile regression with panel data

We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel… Continue reading.

James L. Powell, Bryan S. Graham, Alexandre Poirier, Jinyong Hahn
March 2015

CWP12/15

Latest version

A quantile correlated random coefficients panel data model
James L. Powell, Alexandre Poirier, Jinyong Hahn, Bryan S. Graham
August 2016 | CWP34/16
An investigation into multivariate variance ratio statistics and their application to stock market predictability

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and… Continue reading.

Hui Jun Zhang, Oliver Linton, Seok Young Hong
March 2015

CWP13/15

The marriage market, labor supply and education choice

We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a… Continue reading.

Costas Meghir, Monica Costa Dias, Pierre-André Chiappori
March 2015

CWP14/15

Decentralizing education resources: school grants in Senegal

The impact of school resources on the quality of education in developing countries may depend crucially… Continue reading.

Corina Mommaerts, Costas Meghir, Nathalie Lahire, Oswald Koussihouèdé, Pedro Carneiro
March 2015

CWP15/15

Identification and estimation in first-price auctions with risk-averse bidders and selective entry

We study identification and estimation in first-price auctions with risk-averse bidders and selective entry, building on… Continue reading.

Jingfeng Lu, Tong Li, Matthew Gentry
April 2015

CWP16/15

Individual and time effects in nonlinear panel models with large N, T

Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental… Continue reading.

Ivan Fernandez-Val, Martin Weidner
April 2015

CWP17/15

Latest version

Individual and time effects in nonlinear panel models with large N, T
Ivan Fernandez-Val, Martin Weidner
May 2016 | CWP

Previous version

Individual and time effects in nonlinear panel models with large N, T
Ivan Fernandez-Val, Martin Weidner
July 2014 | CWP32/14
Estimating private provision of public goods with heterogenous participants: a structural analysis

This paper estimates a structural model of private provision of public goods to provide some new… Continue reading.

Pengfei Liu, Yingyao Hu, Yonghong An
April 2015

CWP18/15

Partial insurance and investments in children

This paper studies the impact of permanent and transitory shocks to income on parental investments in… Continue reading.

Rita Ginja, Pedro Carneiro
April 2015

CWP19/15

Robust confidence regions for incomplete models

Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge… Continue reading.

Hiroaki Kaido, Kyoungwon Seo, Larry G. Epstein
April 2015

CWP20/15

Latest version

Robust confidence regions for incomplete models
Kyoungwon Seo, Hiroaki Kaido, Larry G. Epstein
October 2015 | CWP65/15