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.

An exact and robust conformal inference method for counterfactual and synthetic controls

This paper introduces new inference methods for counterfactual and synthetic control methods for evaluating policy effects…. Continue reading.

Victor Chernozhukov, Kaspar Wüthrich, Yu Zhu
December 2017


Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables

High-dimensional linear models with endogenous variables play an increasingly important role in recent econometric literature. In… Continue reading.

Alexandre Belloni, Victor Chernozhukov, Christian Hansen, Whitney K. Newey
December 2017


Counterfactual analysis in R: a vignette

The R package Counterfactual implements the estimation and inference methods of Chernozhukov et al. (2013) for… Continue reading.

Mingli Chen, Victor Chernozhukov, Ivan Fernandez-Val, Blaise Melly
December 2017


Extremal quantile regression: an overview

Extremal quantile regression, i.e. quantile regression applied to the tails of the conditional distribution, counts with… Continue reading.

Victor Chernozhukov, Ivan Fernandez-Val, Tetsuya Kaji
December 2017