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.

Finite sample bias corrected IV estimation for weak and many instruments

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its… Continue reading.

Matthew C. Harding, Jerry Hausman, Christopher Palmer
July 2015

CWP41/15

Simultaneous selection of optimal bandwidths for the sharp regression discontinuity estimator

A new bandwidth selection rule that uses different bandwidths for the local linear regression estimators on… Continue reading.

Yoichi Arai, Hidehiko Ichimura
July 2015

CWP42/15

An econometric model of link formation with degree heterogeneity

I formulate and study a model of undirected dyadic link formation which allows for assortative matching… Continue reading.

Bryan S. Graham
August 2015

CWP43/15

Latest version

The influence function of semiparametric estimators

Often semiparametric estimators are asymptotically equivalent to a sample average. The object being averaged is referred… Continue reading.

Hidehiko Ichimura, Whitney K. Newey
August 2015

CWP44/15

Latest version

The influence function of semiparametric estimators
Hidehiko Ichimura, Whitney K. Newey
January 2017 | CWP06/17
Inference under covariate-adaptive randomization

This paper studies inference for the average treatment effect in randomized controlled trials with covariate-adaptive randomization…. Continue reading.

Federico A. Bugni, Ivan A. Canay, Azeem M. Shaikh
August 2015

CWP45/15

Latest version

Inference under covariate-adaptive randomization
Federico A. Bugni, Ivan A. Canay, Azeem M. Shaikh
May 2017 | CWP25/17
Model averaging in semiparametric estimation of treatment effects

In the practice of program evaluation, choosing the covariates and the functional form of the propensity… Continue reading.

Toru Kitagawa, Chris Muris
August 2015

CWP46/15

Latest version

Previous version

Identification in differentiated product markets

Empirical models of demand for – and, often, supply of – differentiated products are widely used… Continue reading.

Steven Berry, Phil Haile
August 2015

CWP47/15

Identification of nonparametric simultaneous equations models with a residual index structure

We present new results on the identifiability of a class of nonseparable nonparametric simultaneous equations models… Continue reading.

Steven Berry, Phil Haile
August 2015

CWP48/15

Optimal bandwidth selection for the fuzzy regression discontinuity estimator

A new bandwidth selection method for the fuzzy regression discontinuity estimator is proposed. The method chooses… Continue reading.

Yoichi Arai, Hidehiko Ichimura
September 2015

CWP49/15

Latest version

Identification and estimation of preference distributions when voters are ideological

This paper studies the nonparametric identification and estimation of voters’ preferences when voters are ideological. We… Continue reading.

Antonio Merlo, Áureo de Paula
September 2015

CWP50/15

Previous version

Nonparametric identification of endogenous and heterogeneous aggregate demand models: complements, bundles and the market level

This paper studies nonparametric identification in market level demand models for differentiated products. We generalize common… Continue reading.

Fabian Dunker, Stefan Hoderlein, Hiroaki Kaido
September 2015

CWP51/15

Latest version

Previous version

Econometrics of network models

In this article I provide a (selective) review of the recent econometric literature on networks. I… Continue reading.

Áureo de Paula
September 2015

CWP52/15

Latest version

Econometrics of network models
Áureo de Paula
January 2016 | CWP06/16
Earnings and consumption dynamics: a nonlinear panel data framework

We develop a new quantile-based panel data framework to study the nature of income persistence and… Continue reading.

Manuel Arellano, Richard Blundell, Stéphane Bonhomme
September 2015

CWP53/15

Inference for functions of partially identified parameters in moment inequality models

This paper introduces a bootstrap-based inference method for functions of the parameter vector in a moment… Continue reading.

Federico A. Bugni, Ivan A. Canay, Xiaoxia Shi
September 2015

CWP54/15

Previous version

Inference for functions of partially identified parameters in moment inequality models
Federico A. Bugni, Ivan A. Canay, Xiaoxia Shi
May 2014 | CWP22/14
Program evaluation with high-dimensional data

In this paper, we provide efficient estimators and honest confidence bands for a variety of treatment… Continue reading.

Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val, Christian Hansen
September 2015

CWP55/15

Latest version

Program evaluation and causal inference with high-dimensional data
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val, Christian Hansen
March 2016 | CWP13/16

Previous version

Program evaluation with high-dimensional data
Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val, Christian Hansen
August 2014 | CWP33/14
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, Christian Hansen, Yuan Liao
September 2015

CWP56/15

Previous version

A lava attack on the recovery of sums of dense and sparse signals
Victor Chernozhukov, Christian Hansen, Yuan Liao
February 2015 | CWP05/15
Monge-Kantorovich depth, quantiles, ranks and signs

We propose new concepts of statistical depth, multivariate quantiles, vector quantiles and ranks, ranks, and signs,… Continue reading.

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

CWP57/15

Previous version

Monge-Kantorovich depth, quantiles, ranks and signs
Victor Chernozhukov, Alfred Galichon, Marc Hallin, Marc Henry
January 2015 | CWP04/15
Vector quantile regression: an optimal transport approach

We propose a notion of conditional vector quantile function and a vector quantile regression. A conditional… Continue reading.

Guillaume Carlier, Victor Chernozhukov, Alfred Galichon
September 2015

CWP58/15

Latest version

Vector quantile regression: an optimal transport approach
Guillaume Carlier, Victor Chernozhukov, Alfred Galichon
June 2016 | CWP

Previous version

Vector quantile regression
Guillaume Carlier, Victor Chernozhukov, Alfred Galichon
December 2014 | CWP48/14
Constrained conditional moment restriction models

This paper examines a general class of inferential problems in semiparametric and nonparametric models defined by… Continue reading.

Victor Chernozhukov, Whitney K. Newey, Andres Santos
September 2015

CWP59/15

Clinical trial design enabling ε-optimal treatment rules

Medical research has evolved conventions for choosing sample size in randomized clinical trials that rest on… Continue reading.

Charles F. Manski, Aleksey Tetenov
September 2015

CWP60/15