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

Fixed-effect regressions on network data

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

Koen Jochmans, Martin Weidner
16 July 2018 | CWP44/18

Latest version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
3 April 2019 | CWP16/19

Previous version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
30 May 2017 | CWP26/17
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.

Mingli Chen, Ivan Fernandez-Val, Martin Weidner
3 July 2018 | CWP38/18

Latest version

Nonlinear factor models for network and panel data
Mingli Chen, Ivan Fernandez-Val, Martin Weidner
11 April 2019 | CWP18/19
Fixed effect estimation of large T panel data models

This article reviews recent advances in fixed effect estimation of panel data models for long panels,… Continue reading.

Ivan Fernandez-Val, Martin Weidner
28 March 2018 | CWP22/18

Previous version

Fixed effect estimation of large T panel data models
Ivan Fernandez-Val, Martin Weidner
3 October 2017 | CWP42/17
Network and panel quantile effects via distribution regression

This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects… Continue reading.

Victor Chernozhukov, Ivan Fernandez-Val, Martin Weidner
22 March 2018 | CWP21/18

Latest version

Network and panel quantile effects via distribution regression
Victor Chernozhukov, Ivan Fernandez-Val, Martin Weidner
12 December 2018 | CWP70/18
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.

Koen Jochmans, Martin Weidner
27 February 2018 | CWP14/18

Latest version

Inference on a distribution from noisy draws
Koen Jochmans, Martin Weidner
13 September 2019 | CWP44/19
Fixed effect estimation of large T panel data models

This article reviews recent advances in fixed effect estimation of panel data models for long panels,… Continue reading.

Ivan Fernandez-Val, Martin Weidner
3 October 2017 | CWP42/17

Latest version

Fixed effect estimation of large T panel data models
Ivan Fernandez-Val, Martin Weidner
28 March 2018 | CWP22/18
Fixed-effect regressions on network data

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

Koen Jochmans, Martin Weidner
30 May 2017 | CWP26/17

Latest version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
16 July 2018 | CWP44/18

Previous version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
8 August 2016 | CWP32/16
Estimation of random coefficients logit demand models with interactive fixed effects

We extend the Berry, Levinsohn and Pakes (BLP, 1995) random coeffcients discrete-choice demand model, which underlies… Continue reading.

Hyungsik Roger Moon, Matthew Shum, Martin Weidner
22 February 2017 | CWP12/17

Previous version

Estimation of random coefficients logit demand models with interactive fixed effects
Hyungsik Roger Roger Moon, Matthew Shum, Martin Weidner
25 April 2014 | CWP20/14
Fixed-effect regressions on network data

This paper studies inference on fixed eff ects in a linear regression model estimated from network… Continue reading.

Koen Jochmans, Martin Weidner
8 August 2016 | CWP32/16

Latest version

Fixed-effect regressions on network data
Koen Jochmans, Martin Weidner
30 May 2017 | CWP26/17
Individual and time effects in nonlinear panel models with large N, T

We derive fixed effects estimators of parameters and average partial effects in (possibly dynamic) nonlinear panel… Continue reading.

Martin Weidner, Ivan Fernandez-Val
1 May 2016 | Journal Article

Previous version

Individual and time effects in nonlinear panel models with large N, T
Ivan Fernandez-Val, Martin Weidner
2 April 2015 | CWP17/15