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.

The behaviour of betting and currency markets on the night of the EU referendum

We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price)… Continue reading.

Oliver Linton, Tom Auld
January 2018

CWP01/18

A simple and efficient estimation method for models with nonignorable missing data

This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data… Continue reading.

Zheng Zhang, Oliver Linton, Chunrong Ai
January 2018

CWP02/18

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and… Continue reading.

Oliver Linton, Jiti Gao, Tingting Cheng
January 2018

CWP03/18

High dimensional semiparametric moment restriction models

Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are… Continue reading.

Oliver Linton, Jiti Gao, Chaohua Dong
January 2018

CWP04/18

Latest version

High dimensional semiparametric moment restriction models
Oliver Linton, Jiti Gao, Chaohua Dong
December 2018 | CWP69/18
Inference on a semiparametric model with global power law and local nonparametric trends

This paper studies a model with both a parametric global trend and a nonparametric local trend…. Continue reading.

Bin Peng, Oliver Linton, Jiti Gao
January 2018

CWP05/18

Implications of high-frequency trading for security markets

High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and… Continue reading.

Soheil Mahmoodzadeh, Oliver Linton
January 2018

CWP06/18

Estimation in semiparametric quantile factor models

We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for… Continue reading.

Jiti Gao, Shujie Ma, Oliver Linton
January 2018

CWP07/18

Multiscale clustering of nonparametric regression curves

We study a longitudinal data model with nonparametric regression functions that may vary across the observed… Continue reading.

Oliver Linton, Michael Vogt
January 2018

CWP08/18

Semiparametric nonlinear panel data models with measurement error

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables… Continue reading.

Ji-Liang Shiu, Oliver Linton
January 2018

CWP09/18

Nonseparable sample selection models with censored selection rules

We consider identification and estimation of nonseparable sample selection models with censored selection rules. We employ… Continue reading.

Francis Vella, Aico van Vuuren, Ivan Fernandez-Val
February 2018

CWP10/18

Dynamic decisions under subjective expectations: a structural analysis

This paper studies dynamic discrete choices by relaxing the assumption of rational expectations. That is, agents’… Continue reading.

Ruli Xiao, Yingyao Hu, Yonghong An
February 2018

CWP11/18

Misclassification and the hidden silent rivalry

The interaction of economic agents is one of the most important elements in economic analyses. While… Continue reading.

Zhongjian Lin, Yingyao Hu
February 2018

CWP12/18

On the iterated estimation of dynamic discrete choice games

We study the asymptotic properties of a class of estimators of the structural parameters in dynamic… Continue reading.

Jackson Bunting, Federico A. Bugni
February 2018

CWP13/18

Inference on a distribution from noisy draws

We consider a situation where a distribution is being estimated by the empirical distribution of noisy… Continue reading.

Martin Weidner, Koen Jochmans
February 2018

CWP14/18

Latest version

Inference on a distribution from noisy draws
Martin Weidner, Koen Jochmans
September 2019 | CWP44/19
Double/de-biased machine learning using regularized Riesz representers

We provide adaptive inference methods for linear functionals of L1-regularized linear approximations to the conditional expectation… Continue reading.

James Robins, Whitney K. Newey, Victor Chernozhukov
March 2018

CWP15/18

Exact and robust conformal inference methods for predictive machine learning with dependent data

We extend conformal inference to general settings that allow for time series data. Our proposal is… Continue reading.

Yinchu Zhu, Kaspar Wüthrich, Victor Chernozhukov
March 2018

CWP16/18

Recovering social networks from panel data: identification, simulations and an application

It is almost self-evident that social interactions can determine economic behavior and outcomes. Yet, information on… Continue reading.

Pedro CL Souza, Imran Rasul, Áureo de Paula
March 2018

CWP17/18

Latest version

Recovering social networks from panel data: identification, simulations and an application
Pedro CL Souza, Imran Rasul, Áureo de Paula
October 2018 | CWP58/18
Permutation tests for equality of distributions of functional data

Economic data are often generated by stochastic processes that take place in continuous time, though observations… Continue reading.

Joel L. Horowitz, Federico A. Bugni
March 2018

CWP18/18

Identifying the effect of persuasion

We set up an econometric model of persuasion and study identification of key parameters under various… Continue reading.

Sokbae (Simon) Lee, Sung Jae Jun
March 2018

CWP19/18

Latest version

Identifying the effect of persuasion
Sokbae (Simon) Lee, Sung Jae Jun
December 2019 | CWP69/19
Testing continuity of a density via g -order statistics in the regression discontinuity design

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

Ivan A. Canay, Federico A. Bugni
March 2018

CWP20/18