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.

Dual regression

We propose dual regression as an alternative to the quantile regression process for the global estimation… Continue reading.

Sami Stouli, Richard Spady
January 2019

CWP01/19

Previous version

Dual regression
Sami Stouli, Richard Spady
January 2016 | CWP04/16
Impossible inference in econometrics: theory and applications

This paper studies models in which hypothesis tests have trivial power, that is, power smaller than… Continue reading.

Marcelo Moreira, Marinho Bertanha
January 2019

CWP02/19

Efficiency loss of asymptotically efficient tests in an instrumental variables regression

In a model with endogenous regressors, heteroskedastic and autocorrelated (HAC) errors and weak instruments, tests that… Continue reading.

Geert Ridder, Marcelo Moreira
January 2019

CWP03/19

Inference under covariate-adaptive randomization with multiple treatments

This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments…. Continue reading.

Azeem M. Shaikh, Ivan A. Canay, Federico A. Bugni
January 2019

CWP04/19

Previous version

Inference under covariate-adaptive randomization with multiple treatments
Azeem M. Shaikh, Ivan A. Canay, Federico A. Bugni
August 2017 | CWP34/17
Generalised Anderson-Rubin statistic based inference in the presence of a singular moment variance matrix

The particular concern of this paper is the construction of a confidence region with pointwise asymptotically… Continue reading.

Richard J. Smith, Nicky L. Grant
January 2019

CWP05/19

Remarks on statistical inference for statistical decisions

The Wald development of statistical decision theory addresses decision making with sample data. Wald’s concept of… Continue reading.

Charles F. Manski
January 2019

CWP06/19

Financial transaction taxes and the informational efficiency of financial markets: a structural estimation

We develop a new methodology to estimate the impact of a financial transaction tax (FTT) on… Continue reading.

Andreas Uthemann, Antonio Guarino, Marco Cipriani
February 2019

CWP07/19

Discrete choice under risk with limited consideration

This paper is concerned with learning decision makers’ (DMs) preferences using data on observed choices from… Continue reading.

Matthew Thirkettle, Francesca Molinari, Levon Barseghyan
February 2019

CWP08/19

Latest version

Discrete choice under risk with limited consideration
Matthew Thirkettle, Francesca Molinari, Levon Barseghyan
June 2020 | CWP28/20
Best linear approximations to set identified functions: with an application to the gender wage gap

This paper provides inference methods for best linear approximations to functions which are known to lie… Continue reading.

Paul Schrimpf, Francesca Molinari, Victor Chernozhukov, Arun Chandrasekhar
February 2019

CWP09/19

Previous version

Inference for best linear approximations to set identified functions
Paul Schrimpf, Francesca Molinari, Victor Chernozhukov, Arun Chandrasekhar
December 2012 | CWP43/12
Testing identifying assumptions in fuzzy regression discontinuity designs

We propose a new specification test for assessing the validity of fuzzy regression discontinuity designs (FRD-validity)…. Continue reading.

Yuanyuan Wan, Ismael Mourifié, Toru Kitagawa, Yu-Chin Hsu, Yoichi Arai
March 2019

CWP10/19

Previous version

Testing identifying assumptions in fuzzy regression discontinuity designs
Yuanyuan Wan, Ismael Mourifié, Toru Kitagawa, Yu-Chin Hsu, Yoichi Arai
August 2018 | CWP50/18
A model of a randomized experiment with an application to the PROWESS clinical trial

I develop a model of a randomized experiment with a binary intervention and a binary outcome…. Continue reading.

Amanda Kowalski
March 2019

CWP11/19

Counting defiers

The LATE monotonicity assumption of Imbens and Angrist (1994) precludes “defiers,” individuals whose treatment always runs… Continue reading.

Amanda Kowalski
March 2019

CWP12/19

Minimalist G-modelling: A comment on Efron

Efron’s elegant approach to g-modeling for empirical Bayes problems is contrasted with an implementation of the… Continue reading.

Jiaying Gu, Roger Koenker
April 2019

CWP13/19

Nuclear norm regularized estimation of panel regression models

In this paper we investigate panel regression models with interactive fixed effects. We propose two new… Continue reading.

Martin Weidner, Hyungsik Roger Moon
April 2019

CWP14/19

Solving dynamic discrete choice models using smoothing and sieve methods

We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or… Continue reading.

Bertel Schjerning, Jong-Myun Moon, Patrick K. Mogensen, Dennis Kristensen
April 2019

CWP15/19

Fixed-effect regressions on network data

This paper considers inference on fixed effects in a linear regression model estimated from network data…. Continue reading.

Martin Weidner, Koen Jochmans
April 2019

CWP16/19

Previous version

Fixed-effect regressions on network data
Martin Weidner, Koen Jochmans
July 2018 | CWP44/18
Posterior distribution of nondifferentiable functions

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ),… Continue reading.

Amilcar Velez, Jonathan Payne, Jose Luis Montiel Olea, Toru Kitagawa
April 2019

CWP17/19

Previous version

Posterior distribution of nondifferentiable functions
Jonathan Payne, Jose Luis Montiel Olea, Toru Kitagawa
October 2017 | CWP44/17
Nonlinear factor models for network and panel data

Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models…. Continue reading.

Martin Weidner, Ivan Fernandez-Val, Mingli Chen
April 2019

CWP18/19

Previous version

Nonlinear factor models for network and panel data
Martin Weidner, Ivan Fernandez-Val, Mingli Chen
July 2018 | CWP38/18
Inference in Experiments with Matched Pairs

This paper studies inference for the average treatment effect in randomized controlled trials where treatment status… Continue reading.

Joseph P. Romano, Yuehao Bai, Azeem M. Shaikh
April 2019

CWP19/19

LASSO-Driven Inference in Time and Space

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal… Continue reading.

Weining Wang, Chen Huang, Wolfgang Härdle, Victor Chernozhukov
April 2019

CWP20/19

Previous version

LASSO-driven inference in time and space
Weining Wang, Chen Huang, Wolfgang Härdle, Victor Chernozhukov
June 2018 | CWP36/18