Research Staff

Martin Weidner

cemmap and UCL

Martin joined UCL and the Centre for Microdata Methods and Practice in 2011 after finishing his PhD at the University of Southern California. He is also a Research Fellow at the Institute for Fiscal Studies and a Turing Fellow at the Alan Turing Institute. He is working on Econometrics, with a special focus on panel data models, social networks, factor models, and high-dimensional inference

Selected Publications

Dynamic ordered panel logit models

We study a dynamic ordered logit model for panel data with fixed effects. We establish the… Continue reading.

Bo E. Honoré, Chris Muris, Martin Weidner
28 December 2021 | CWP44/21
Bounding treatment effects by pooling limited information across observations

We provide novel bounds on average treatment effects (on the treated) that are valid under an… Continue reading.

Sokbae (Simon) Lee, Martin Weidner
13 December 2021 | CWP43/21
Inference on a distribution from noisy draws

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

Koen Jochmans, Martin Weidner
7 December 2021 | CWP42/21

Previous version

Inference on a distribution from noisy draws
Koen Jochmans, Martin Weidner
13 September 2019 | CWP44/19
Linear panel regressions with two-way unobserved heterogeneity

This paper studies linear panel regression models in which the unobserved error term is an unknown… Continue reading.

Hugo Freeman, Martin Weidner
4 November 2021 | CWP39/21
Posterior average effects

Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments… Continue reading.

Stéphane Bonhomme, Martin Weidner
10 September 2021 | CWP36/21

Previous version

Posterior average effects
Stéphane Bonhomme, Martin Weidner
9 October 2020 | CWP49/20
Bias and consistency in three-way gravity models

We study the incidental parameter problem for the “three-way” Poisson Pseudo-Maximum Likelihood (PPML) estimator recently recommended… Continue reading.

Martin Weidner, Thomas Zylkin
8 March 2021 | CWP11/21

Previous version

Bias and Consistency in Three-way Gravity Models
Martin Weidner, Thomas Zylkin
7 January 2020 | CWP1/20
Low-rank approximations of nonseparable panel models

We provide estimation methods for nonseparable panel models based on low-rank factor structure approximations. The factor… Continue reading.

Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
4 March 2021 | CWP10/21

Previous version

Low-rank approximations of nonseparable panel models
Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
23 October 2020 | CWP52/20
Low-rank approximations of nonseparable panel models

We provide estimation methods for panel nonseparable models based on low-rank factor structure approximations. The factor… Continue reading.

Ivan Fernandez-Val, Hugo Freeman, Martin Weidner
23 October 2020 | CWP52/20
Posterior average effects

Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments… Continue reading.

Stéphane Bonhomme, Martin Weidner
9 October 2020 | CWP49/20

Previous version

Posterior average effects
Stéphane Bonhomme, Martin Weidner
13 September 2019 | CWP43/19
Minimizing Sensitivity to Model Misspecification

We propose a framework for estimation and inference when the model may be misspecified. We rely… Continue reading.

Stéphane Bonhomme, Martin Weidner
9 July 2020 | CWP37/20

Previous version

Minimizing sensitivity to model misspecification
Stéphane Bonhomme, Martin Weidner
9 October 2018 | CWP59/18