CeMMAP working papers

From Centre for Microdata Methods and Practice, Institute for Fiscal Studies
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE.
Contact information at EDIRC.
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CWP09/18: Semiparametric nonlinear panel data models with measurement error

Oliver Linton and Ji-Liang Shiu

CWP08/18: Multiscale clustering of nonparametric regression curves

Michael Vogt and Oliver Linton

CWP07/18: Estimation in semiparametric quantile factor models

Shujie Ma, Oliver Linton and Jiti Gao

CWP06/18: Implications of high-frequency trading for security markets

Oliver Linton and Soheil Mahmoodzadeh

CWP05/18: Inference on a semiparametric model with global power law and local nonparametric trends

Jiti Gao, Oliver Linton and Bin Peng

CWP04/18: High dimensional semiparametric moment restriction models

Chaohua Dong, Jiti Gao and Oliver Linton

CWP03/18: Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Tingting Cheng, Jiti Gao and Oliver Linton

CWP02/18: A simple and efficient estimation method for models with nonignorable missing data

Chunrong Ai, Oliver Linton and Zheng Zhang

CWP01/18: The behaviour of betting and currency markets on the night of the EU referendum

Tom Auld and Oliver Linton

CWP65/17: Extremal quantile regression: an overview

Victor Chernozhukov, Ivan Fernandez-Val and Tetsuya Kaji

CWP64/17: Counterfactual analysis in R: a vignette

Mingli Chen, Victor Chernozhukov, Ivan Fernandez-Val and Blaise Melly

CWP63/17: Simultaneous confidence intervals for high-dimensional linear models with many endogenous variables

Alexandre Belloni, Victor Chernozhukov, Christian Hansen and Whitney Newey

CWP62/17: An exact and robust conformal inference method for counterfactual and synthetic controls

Victor Chernozhukov, Kaspar Wüthrich and Yu Zhu

CWP61/17: Generic machine learning inference on heterogenous treatment effects in randomized experiments

Victor Chernozhukov, Mert Demirer, Esther Duflo and Ivan Fernandez-Val

CWP60/17: Individual counterfactuals with multidimensional unobserved heterogeneity

Richard Blundell, Dennis Kristensen and Rosa Matzkin

CWP59/17: Additive nonparametric models with time variable and both stationary and nonstationary regressions

Chaohua Dong and Oliver Linton

CWP58/17: Specification test on mixed logit models

Jinyong Hahn, Jerry Hausman and Josh Lustig

CWP57/17: Powerful t-Tests in the presence of nonclassical measurement error

Dongwoo Kim and Daniel Wilhelm

CWP56/17: Nonparametric analysis of random utility models

Jörg Stoye and Yuichi Kitamura

CWP55/17: Knowledge spillovers and patent citations: trends in geographic localization, 1976-2015

Hyuk-Soo Kwon, Jihong Lee, Sokbae (Simon) Lee and Ryungha Oh

CWP54/17: Quantile graphical models: prediction and conditional independence with applications to systemic risk

Alexandre Belloni, Mingli Chen and Victor Chernozhukov

CWP53/17: Estimating dynamic panel models: backing out the Nickell Bias

Jerry Hausman and Maxim L. Pinkovskiy

CWP52/17: Exact computation of GMM estimators for instrumental variable quantile regression models

Le-Yu Chen and Sokbae (Simon) Lee

CWP51/17: Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models

Le-Yu Chen and Sokbae (Simon) Lee

CWP50/17: Best subset binary prediction

Le-Yu Chen and Sokbae (Simon) Lee

CWP49/17: Confidence intervals for projections of partially identified parameters

Hiroaki Kaido, Francesca Molinari and Jörg Stoye

CWP48/17: Semiparametric estimation of structural functions in nonseparable triangular models

Victor Chernozhukov, Ivan Fernandez-Val, Whitney Newey, Sami Stouli and Francis Vella

CWP47/17: Nonparametric instrumental variable estimation

Daniel Wilhelm, Denis Chetverikov and Dongwoo Kim

CWP46/17: Non-asymptotic inference in instrumental variables estimation

Joel L. Horowitz

CWP45/17: Optimal data collection for randomized control trials

Pedro Carneiro, Sokbae (Simon) Lee and Daniel Wilhelm

CWP44/17: Posterior distribution of nondifferentiable functions

Toru Kitagawa, Jose Luis Montiel Olea and Jonathan Payne

CWP43/17: Monte Carlo confidence sets for identified sets

Xiaohong Chen, Timothy M. Christensen and Elie Tamer

CWP42/17: Fixed effect estimation of large T panel data models

Ivan Fernandez-Val and Martin Weidner

CWP41/17: Cross-fitting and fast remainder rates for semiparametric estimation

Whitney Newey and James M. Robins

CWP40/17: The bunching estimator cannot identify the taxable income elasticity

Sören Blomquist and Whitney Newey

CWP39/17: Testing for homogeneity in mixture models

Jiaying Gu, Roger Koenker and Stanislav Volgushev

CWP38/17: Bayesian deconvolution: an R vinaigrette

Roger Koenker

CWP37/17: Rebayes: an R package for empirical bayes mixture methods

Jiaying Gu and Roger Koenker

CWP36/17: Quantile regression 40 years on

Roger Koenker

CWP35/17: Identifying preferences in networks with bounded degree

Aureo de Paula, Seth Richards-Shubik and Elie Tamer

CWP34/17: Inference under covariate-adaptive randomization with multiple treatments

Federico A. Bugni, Ivan Canay and Azeem Shaikh

CWP33/17: Nonseparable multinomial choice models in cross-section and panel data

Victor Chernozhukov, Ivan Fernandez-Val and Whitney Newey

CWP32/17: Information redundancy neglect versus overconfidence: a social learning experiment

Marco Angrisani, Antonio Guarino, Philippe Jehiel and Toru Kitagawa

CWP31/17: Binarization for panel models with fixed effects

Irene Botosaru and Chris Muris

CWP30/17: Semiparametric efficient empirical higher order influence function estimators

Rajarshi Mukherjee, Whitney Newey and James Robins

CWP29/17: Quantreg.nonpar: an R package for performing nonparametric series quantile regression

Michael Lipsitz, Alexandre Belloni, Victor Chernozhukov and Ivan Fernandez-Val

CWP28/17: Double/debiased machine learning for treatment and structural parameters

Victor Chernozhukov, Denis Chetverikov, Mert Demirer, Esther Duflo, Christian Hansen, Whitney Newey and James Robins

CWP27/17: Incomplete English auction models with heterogeneity

Andrew Chesher and Adam Rosen

CWP26/17: Fixed-effect regressions on network data

Koen Jochmans and Martin Weidner

CWP25/17: Inference under covariate-adaptive randomization

Federico A. Bugni, Ivan Canay and Azeem Shaikh