Details about Manuel Arellano

Homepage:	http://www.cemfi.es/~arellano/
Phone:	+34 914 290 551
Postal address:	CEMFI Casado del Alisal 5 28014 Madrid, Spain
Workplace:	Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC)

Access statistics for papers by Manuel Arellano.

Last updated 2023-06-07. Update your information in the RePEc Author Service.

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Working Papers

2023

1. Heterogeneity of Consumption Responses to Income Shocks in the Presence of Nonlinear Persistence
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (3)
   Also in Working Papers, CEMFI (2023) View citations (3)
   CeMMAP working papers, Institute for Fiscal Studies (2023) View citations (3)

2021

2. Income Risk Inequality: Evidence from Spanish Administrative Records
   Working Papers, Banco de España View citations (7)
   Also in Working Papers, CEMFI (2021) View citations (7)
   IFS Working Papers, Institute for Fiscal Studies (2021) View citations (7)
   See also Journal Article in Quantitative Economics (2022)

2020

3. Recovering Latent Variables by Matching
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   Also in Working Papers, CEMFI (2019)
   Papers, arXiv.org (2019)
   See also Journal Article in Journal of the American Statistical Association (2023)

2017

4. Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
   Working Papers, CEMFI View citations (13)
   Also in CeMMAP working papers, Institute for Fiscal Studies (2016)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (1)
   Working Papers, CEMFI (2016) View citations (1)
   See also Journal Article in Annual Review of Economics (2017)
5. Sample Selection in Quantile Regression: A Survey
   Working Papers, CEMFI View citations (5)

2016

6. Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
   Working Papers, CEMFI View citations (6)
   Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2015) View citations (6)
   Working Papers, CEMFI (2015) View citations (6)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (6)
   CeMMAP working papers, Institute for Fiscal Studies (2015)
   IFS Working Papers, Institute for Fiscal Studies (2015) View citations (6)
   See also Journal Article in Econometrica (2017)
7. Quantile Selection Models with an Application to Understanding Changes in Wage Inequality
   Working Papers, CEMFI
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (3)
   CeMMAP working papers, Institute for Fiscal Studies (2015)
   See also Journal Article in Econometrica (2017)

2015

8. Nonlinear Panel Data Estimation via Quantile Regression
   Working Papers, CEMFI View citations (7)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (7)
   CeMMAP working papers, Institute for Fiscal Studies (2015)
   See also Journal Article in Econometrics Journal (2016)

2009

9. Identifying Distributional Characteristics in Random Coefficients Panel Data Models
   Working Papers, CEMFI View citations (4)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (15)
   See also Journal Article in Review of Economic Studies (2012)
10. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article in Journal of Econometrics (2012)
11. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2007

12. Robust priors in nonlinear panel data models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
    Also in Working Papers, CEMFI (2006) View citations (3)
    See also Journal Article in Econometrica (2009)

2006

13. A Likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects
    Working Papers, CEMFI View citations (36)
    See also Journal Article in Global Economic Review (2016)

2005

14. Understanding Bias in Nonlinear Panel Models: Some Recent Developments
    Working Papers, CEMFI View citations (23)

2004

15. Robust Likelihood Estimation of Dynamic Panel Data Models
    Working Papers, CEMFI View citations (70)
    See also Journal Article in Journal of Econometrics (2022)

2003

16. Modelling Optimal Instrumental Variables for Dynamic Panel Data Models
    Working Papers, CEMFI View citations (38)
    See also Journal Article in Research in Economics (2016)

2001

17. Discrete Choices with Panel Data
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (2)
    Also in Working Papers, CEMFI (2001) View citations (2)
    See also Journal Article in Investigaciones Economicas (2003)
18. Learning About Migration Decisions from the Migrants: Using Complementary Datasets to Model Intra-Regional Migrations in Spain
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article in Journal of Population Economics (2002)
19. Sargan's Instrumental Variable Estimation and GMM
    Working Papers, CEMFI
20. The Distribution of Earnings in Spain During the 1980s: The Effects of Skill, Unemployment and Union Power
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Working Papers, Banco de España (2000) View citations (4)

2000

21. Panel Data Models: Some Recent Developments
    Working Papers, CEMFI View citations (23)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (31)
    See also Chapter (2001)

1999

22. Learning about Migration Decisions from the Migrants. An Exercise in Endogenous Sampling and Complementary Datasets
    Working Papers, Banco de España

1998

23. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (22)
    Also in Working Papers, CEMFI (1998) View citations (15)
    See also Journal Article in Econometrica (2003)
24. Unemployment Duration, Benefit Duration and the Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (5)
    See also Journal Article in Economic Journal (2002)

1997

25. Authoregressive Models with Sample Selectivity for Panel Data
    Working Papers, CEMFI View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (23)
26. Estimating Dynamic Limited Dependent Variable Model from Panel Data
    Working Papers, CEMFI View citations (2)
27. Unemployment Duration, Benefit Duration, and the Business Cycle.Versión Revisada
    Working Papers, CEMFI

1996

28. Binary Choice Panel Data Models with Predetermined Variables
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (17)
    See also Journal Article in Journal of Econometrics (2003)
29. Binary Panel Data Models with Predetermined Variables Out of Print
    Working Papers, CEMFI View citations (5)
30. Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data
    Working Papers, CEMFI View citations (54)
    See also Journal Article in Journal of Business & Economic Statistics (1999)

1994

31. Female Labour Force Participation in the 1980's: The Case of Spain
    Working Papers, Banco de España View citations (1)
    See also Journal Article in Investigaciones Economicas (1995)

1991

32. On the Testing of Correlated Effects with Panel Data
    Working Papers, CEMFI View citations (2)
    See also Journal Article in Journal of Econometrics (1993)

1990

33. Another Look at the Instrumental Variable Estimation of Error-Components Models
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (14)
    See also Journal Article in Journal of Econometrics (1995)
34. Female Labour Supply and On-the-Job Search: An Empirical Model Estimated using Complementary Data Sets
    CEP Discussion Papers, Centre for Economic Performance, LSE
    See also Journal Article in Review of Economic Studies (1992)

1989

35. A NOTE ON THE ANDERSON-HSIAO ESTIMATOR FOR PANEL DATA
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (138)
    See also Journal Article in Economics Letters (1989)

Journal Articles

2023

1. Recovering Latent Variables by Matching
   Journal of the American Statistical Association, 2023, 118, (541), 693-706
   See also Working Paper (2020)

2022

2. Income risk inequality: Evidence from Spanish administrative records
   Quantitative Economics, 2022, 13, (4), 1747-1801 View citations (4)
   See also Working Paper (2021)
3. Robust likelihood estimation of dynamic panel data models
   Journal of Econometrics, 2022, 226, (1), 21-61 View citations (2)
   See also Working Paper (2004)

2019

4. GMM Estimation from Incomplete and Rotating Panels
   Annals of Economics and Statistics, 2019, (134), 5-42 View citations (1)

2018

5. Nonlinear Persistence and Partial Insurance: Income and Consumption Dynamics in the PSID
   AEA Papers and Proceedings, 2018, 108, 281-86 View citations (9)

2017

6. Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
   Econometrica, 2017, 85, 693-734 View citations (146)
   See also Working Paper (2016)
7. Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
   Annual Review of Economics, 2017, 9, (1), 471-496 View citations (13)
   See also Working Paper (2017)
8. Quantile Selection Models With an Application to Understanding Changes in Wage Inequality
   Econometrica, 2017, 85, 1-28 View citations (65)
   See also Working Paper (2016)

2016

9. A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects
   Global Economic Review, 2016, 45, (3), 251-274 View citations (27)
   See also Working Paper (2006)
10. Modelling optimal instrumental variables for dynamic panel data models
    Research in Economics, 2016, 70, (2), 238-261 View citations (18)
    See also Working Paper (2003)
11. Nonlinear panel data estimation via quantile regressions
    Econometrics Journal, 2016, 19, (3), C61-C94 View citations (51)
    See also Working Paper (2015)

2014

12. UNCERTAINTY, PERSISTENCE, AND HETEROGENEITY: A PANEL DATA PERSPECTIVE
    Journal of the European Economic Association, 2014, 12, (5), 1127-1153 View citations (15)

2012

13. Identifying Distributional Characteristics in Random Coefficients Panel Data Models
    Review of Economic Studies, 2012, 79, (3), 987-1020 View citations (77)
    See also Working Paper (2009)
14. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper (2009)

2011

15. Nonlinear Panel Data Analysis
    Annual Review of Economics, 2011, 3, (1), 395-424 View citations (64)

2009

16. Robust Priors in Nonlinear Panel Data Models
    Econometrica, 2009, 77, (2), 489-536 View citations (108)
    See also Working Paper (2007)

2007

17. Comments on: Panel data analysis—advantages and challenges
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 23-27

2003

18. Binary choice panel data models with predetermined variables
    Journal of Econometrics, 2003, 115, (1), 125-157 View citations (93)
    See also Working Paper (1996)
19. Discrete choices with panel data
    Investigaciones Economicas, 2003, 27, (3), 423-458 View citations (63)
    See also Working Paper (2001)
20. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    Econometrica, 2003, 71, (4), 1121-1159 View citations (383)
    See also Working Paper (1998)

2002

21. Learning about migration decisions from the migrants: Using complementary datasets to model intra-regional migrations in Spain
    Journal of Population Economics, 2002, 15, (2), 357-380 View citations (33)
    See also Working Paper (2001)
22. Sargan's Instrumental Variables Estimation and the Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 450-59 View citations (24)
23. Unemployment Duration, Benefit Duration and the Business Cycle
    Economic Journal, 2002, 112, (479), 223-265 View citations (191)
    See also Working Paper (1998)

1999

24. Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data
    Journal of Business & Economic Statistics, 1999, 17, (1), 36-49 View citations (320)
    See also Working Paper (1996)

1997

25. Editorial Announcement
    Review of Economic Studies, 1997, 64, (4), 485
26. Estimating limited dependent variable models from panel data
    Investigaciones Economicas, 1997, 21, (2), 141-166 View citations (26)

1995

27. Another look at the instrumental variable estimation of error-components models
    Journal of Econometrics, 1995, 68, (1), 29-51 View citations (9538)
    See also Working Paper (1990)
28. Female labour force participation in the 1980s: the case of Spain
    Investigaciones Economicas, 1995, 19, (2), 171-194 View citations (19)
    See also Working Paper (1994)

1994

29. Editorial Announcements
    Review of Economic Studies, 1994, 61, (3), i

1993

30. On the testing of correlated effects with panel data
    Journal of Econometrics, 1993, 59, (1-2), 87-97 View citations (148)
    See also Working Paper (1991)

1992

31. Female Labour Supply and On-the-Job Search: An Empirical Model Estimated Using Complementary Data Sets
    Review of Economic Studies, 1992, 59, (3), 537-559 View citations (192)
    See also Working Paper (1990)
32. On exogeneity and identifiability
    Investigaciones Economicas, 1992, 16, (3), 401-409

1991

33. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
    Review of Economic Studies, 1991, 58, (2), 277-297 View citations (15592)

1990

34. Imhof Approximations to Econometric Estimators
    Review of Economic Studies, 1990, 57, (4), 627-646 View citations (1)
35. La econometría de datos de panel
    Investigaciones Economicas, 1990, 14, (1), 3-45 View citations (69)
36. Testing for Autocorrelation in Dynamic Random Effects Models
    Review of Economic Studies, 1990, 57, (1), 127-134 View citations (16)

1989

37. A note on the Anderson-Hsiao estimator for panel data
    Economics Letters, 1989, 31, (4), 337-341 View citations (151)
    See also Working Paper (1989)
38. An efficient GLS estimator of triangular models with covariance restrictions
    Journal of Econometrics, 1989, 42, (2), 267-273 View citations (4)
39. On the efficient estimation of simultaneous equations with covariance restrictions
    Journal of Econometrics, 1989, 42, (2), 247-265 View citations (2)

1987

40. Computing Robust Standard Errors for Within-Groups Estimators
    Oxford Bulletin of Economics and Statistics, 1987, 49, (4), 431-34 View citations (667)

Books

2003

1. Panel Data Econometrics
   OUP Catalogue, Oxford University Press View citations (1024)

1996

2. Duración del desempleo, duración de las prestaciones y ciclo económico
   Estudios Económicos, Banco de España
   Also in Estudios Económicos, Banco de España (1996) View citations (12)

Edited books

2013

1. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
2. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
3. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
4. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
5. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
6. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (589)

Chapters

2001

1. Panel data models: some recent developments
   Chapter 53 in Handbook of Econometrics, 2001, vol. 5, pp 3229-3296 View citations (290)
   See also Working Paper (2000)