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.
We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price)… Continue reading.
This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data… Continue reading.
In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and… Continue reading.
Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are… Continue reading.
This paper studies a model with both a parametric global trend and a nonparametric local trend…. Continue reading.
High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and… Continue reading.
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for… Continue reading.
We study a longitudinal data model with nonparametric regression functions that may vary across the observed… Continue reading.
This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables… Continue reading.
We consider identiﬁcation and estimation of nonseparable sample selection models with censored selection rules. We employ… Continue reading.
This paper studies dynamic discrete choices by relaxing the assumption of rational expectations. That is, agents’… Continue reading.
The interaction of economic agents is one of the most important elements in economic analyses. While… Continue reading.
We study the asymptotic properties of a class of estimators of the structural parameters in dynamic… Continue reading.
We consider a situation where a distribution is being estimated by the empirical distribution of noisy… Continue reading.
We provide adaptive inference methods for linear functionals of L1-regularized linear approximations to the conditional expectation… Continue reading.
We extend conformal inference to general settings that allow for time series data. Our proposal is… Continue reading.
It is almost self-evident that social interactions can determine economic behavior and outcomes. Yet, information on… Continue reading.
Economic data are often generated by stochastic processes that take place in continuous time, though observations… Continue reading.
We set up an econometric model of persuasion and study identification of key parameters under various… Continue reading.
In the regression discontinuity design (RDD), it is common practice to assess the credibility of the… Continue reading.