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 identification of treatment effects on conditional transition probabilities. We show that even under… Continue reading.
In this note, we offer an approach to estimating structural parameters in the presence of many… Continue reading.
This paper reviews recent developments in nonparametric identification of measurement error models and their applications in… Continue reading.
We propose new concepts of statistical depth, multivariate quantiles, ranks and signs, based on canonical transportation… Continue reading.
Common high-dimensional methods for prediction rely on having either a sparse signal model, a model in… Continue reading.
We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it… Continue reading.
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset… Continue reading.
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based… Continue reading.
A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically… Continue reading.
One of the main objectives of empirical analysis of experiments and quasi-experiments is to inform policy… Continue reading.
This paper presents new approaches to testing for exogeneity in non-parametric models with discrete regressors and… Continue reading.
We propose a generalization of the linear quantile regression model to accommodate possibilities afforded by panel… Continue reading.
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and… Continue reading.
We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a… Continue reading.
The impact of school resources on the quality of education in developing countries may depend crucially… Continue reading.
We study identification and estimation in first-price auctions with risk-averse bidders and selective entry, building on… Continue reading.
Fixed effects estimators of nonlinear panel data models can be severely biased because of the incidental… Continue reading.
This paper estimates a structural model of private provision of public goods to provide some new… Continue reading.
This paper studies the impact of permanent and transitory shocks to income on parental investments in… Continue reading.
Call an economic model incomplete if it does not generate a probabilistic prediction even given knowledge… Continue reading.