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.

A bootstrap method for constructing pointwise and uniform confidence bands for conditional quantile functions

This paper is concerned with inference about the conditional quantile function in a nonparametric quantile regression… Continue reading.

Anand Krishnamurthy, Joel L. Horowitz
January 2017

CWP01/17

A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance

What is the effect of funding costs on the conditional probability of issuing a corporate bond?… Continue reading.

Oliver Linton, Lena Boneva (Körber)
January 2017

CWP02/17

Inference in linear regression models with many covariates and heteroskedasticity

The linear regression model is widely used in empirical work in Economics, Statistics, and many other… Continue reading.

Whitney K. Newey, Michael Jansson, Matias Cattaneo
January 2017

CWP03/17

Previous version

Treatment effects with many covariates and heteroskedasticity
Whitney K. Newey, Michael Jansson, Matias Cattaneo
July 2015 | CWP37/15
Likelihood inference and the role of initial conditions for the dynamic panel data model

Lancaster (2002) proposes an estimator for the dynamic panel data model with homoskedastic errors and zero… Continue reading.

Marcelo Moreira, Jose Diogo Barbosa
January 2017

CWP04/17

A coupled component GARCH model for intraday and overnight volatility

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the… Continue reading.

Jianbin Wu, Oliver Linton
January 2017

CWP05/17

The influence function of semiparametric estimators

There are many economic parameters that depend on nonparametric first steps. Examples include games, dynamic discrete… Continue reading.

Whitney K. Newey, Hidehiko Ichimura
January 2017

CWP06/17

Previous version

The influence function of semiparametric estimators
Whitney K. Newey, Hidehiko Ichimura
August 2015 | CWP44/15
Instrumental variables estimation for nonparametric models

Whitney Newey and James Powell, founding CeMMAP Fellows, wrote an influential paper on instrumental variable estimation… Continue reading.

James L. Powell, Whitney K. Newey
February 2017

CWP07/17

An econometric model of network formation with degree heterogeneity

I introduce a model of undirected dyadic link formation which allows for assortative matching on observed… Continue reading.

Bryan S. Graham
February 2017

CWP08/17

Previous version

Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

This paper makes several important contributions to the literature about nonparametric instrumental variables (NPIV) estimation and… Continue reading.

Timothy M. Christensen, Xiaohong Chen
February 2017

CWP09/17

Previous version

Equality-minded treatment choice

The goal of many randomized experiments and quasi-experimental studies in economics is to inform policies that… Continue reading.

Aleksey Tetenov, Toru Kitagawa
February 2017

CWP10/17

Latest version

Equality-minded treatment choice
Aleksey Tetenov, Toru Kitagawa
December 2018 | CWP71/18
Nonparametric identification of random coefficients in endogenous and heterogeneous aggregate demand models

This paper studies nonparametric identification in market level demand models for differentiated products with heterogeneous consumers…. Continue reading.

Hiroaki Kaido, Stefan Hoderlein, Fabian Dunker
February 2017

CWP11/17

Previous version

Estimation of random coefficients logit demand models with interactive fixed effects

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coeffcients discrete-choice demand model, which underlies… Continue reading.

Martin Weidner, Matthew Shum, Hyungsik Roger Moon
February 2017

CWP12/17

Previous version

Estimation of random coefficients logit demand models with interactive fixed effects
Hyungsik Roger Roger Moon, Martin Weidner, Matthew Shum
April 2014 | CWP20/14
Updating ambiguous beliefs in a social learning experiment

We present a social learning experiment in which subjects predict the value of a good in… Continue reading.

Toru Kitagawa, Philippe Jehiel, Antonio Guarino, Roberta De Filippis
March 2017

CWP13/17

Previous version

Updating ambiguous beliefs in a social learning experiment
Philippe Jehiel, Antonio Guarino, Roberta De Filippis, Toru Kitagawa
May 2016 | CWP18/16
Nonparametric instrumental variable estimation under monotonicity

The ill-posedness of the nonparametric instrumental variable (NPIV) model leads to estimators that may suffer from… Continue reading.

Denis Chetverikov, Daniel Wilhelm
March 2017

CWP14/17

Previous version

Nonparametric instrumental variable estimation under monotonicity
Daniel Wilhelm, Denis Chetverikov
September 2016 | CWP48/16
Optimal data collection for randomized control trials

In a randomized control trial, the precision of an average treatment effect estimator and the power… Continue reading.

Sokbae (Simon) Lee, Daniel Wilhelm, Pedro Carneiro
March 2017

CWP15/17

Previous version

Optimal data collection for randomized control trials
Pedro Carneiro, Sokbae (Simon) Lee, Daniel Wilhelm
April 2016 | CWP15/16
A nonlinear principal component decomposition

The idea of summarizing the information contained in a large number of variables by a small… Continue reading.

Susanne M. Schennach, Florian Gunsilius
March 2017

CWP16/17

Latest version

Independent nonlinear component analysis
Susanne M. Schennach, Florian Gunsilius
September 2019 | CWP46/19
Uncertain identification

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored… Continue reading.

Raffaella Giacomini, Alessio Volpicella, Toru Kitagawa
April 2017

CWP18/17

Latest version

Uncertain Identification
Alessio Volpicella, Toru Kitagawa, Raffaella Giacomini
July 2020 | CWP33/20
Understanding the effect of measurement error on quantile regressions

The impact of measurement error in explanatory variables on quantile regression functions is investigated using a… Continue reading.

Andrew Chesher
May 2017

CWP19/17

Previous version

Inference on breakdown frontiers

A breakdown frontier is the boundary between the set of assumptions which lead to a specific… Continue reading.

Alexandre Poirier, Matthew Masten
May 2017

CWP20/17

Approximate permutation tests and induced order statistics in the regression discontinuity design

In the regression discontinuity design (RDD), it is common practice to asses the credibility of the… Continue reading.

Vishal Kamat, Ivan A. Canay
May 2017

CWP21/17

Previous version