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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CWP24/17: Who should be treated? Empirical welfare maximization methods for treatment choice

Toru Kitagawa and Aleksey Tetenov

CWP23/17: Generic inference on quantile and quantile effect functions for discrete outcomes

Victor Chernozhukov, Ivan Fernandez-Val, Blaise Melly and Kaspar Wüthrich

CWP22/17: Confidence bands for coefficients in high dimensional linear models with error-in-variables

Alexandre Belloni, Victor Chernozhukov and Abhishek Kaul

CWP21/17: Approximate permutation tests and induced order statistics in the regression discontinuity design

Ivan Canay and Vishal Kamat

CWP20/17: Inference on breakdown frontiers

Matthew Masten and Alexandre Poirier

CWP19/17: Understanding the effect of measurement error on quantile regressions

Andrew Chesher

CWP18/17: Uncertain identification

Raffaella Giacomini, Toru Kitagawa and Alessio Volpicella

CWP17/17: Permutation tests for equality of distributions of functional data

Federico Bugni and Joel L. Horowitz

CWP16/17: A nonlinear principal component decomposition

Florian Gunsilius and Susanne Schennach

CWP15/17: Optimal data collection for randomized control trials

Pedro Carneiro, Sokbae (Simon) Lee and Daniel Wilhelm

CWP14/17: Nonparametric instrumental variable estimation under monotonicity

Denis Chetverikov and Daniel Wilhelm

CWP13/17: Updating ambiguous beliefs in a social learning experiment

Roberta De Filippis, Antonio Guarino, Philippe Jehiel and Toru Kitagawa

CWP12/17: Estimation of random coefficients logit demand models with interactive fixed effects

Hyungsik Moon, Matthew Shum and Martin Weidner

CWP11/17: Nonparametric identification of random coefficients in endogenous and heterogeneous aggregate demand models

Fabian Dunker, Stefan Hoderlein and Hiroaki Kaido

CWP10/17: Equality-minded treatment choice

Toru Kitagawa and Aleksey Tetenov

CWP09/17: Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression

Xiaohong Chen and Timothy M. Christensen

CWP08/17: An econometric model of network formation with degree heterogeneity

Bryan Graham

CWP07/17: Instrumental variables estimation for nonparametric models

Whitney Newey and James Powell

CWP06/17: The influence function of semiparametric estimators

Hidehiko Ichimura and Whitney Newey

CWP05/17: A coupled component GARCH model for intraday and overnight volatility

Oliver Linton and Jianbin Wu

CWP04/17: Likelihood inference and the role of initial conditions for the dynamic panel data model

Jose Diogo Barbosa and Marcelo Moreira

CWP03/17: Inference in linear regression models with many covariates and heteroskedasticity

Matias Cattaneo, Michael Jansson and Whitney Newey

CWP02/17: A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance

Lena Boneva and Oliver Linton

CWP01/17: A bootstrap method for constructing pointwise and uniform confidence bands for conditional quantile functions

Joel L. Horowitz and Anand Krishnamurthy

CWP54/16: Identifying preferences in networks with bounded degree

Aureo de Paula, Seth Richards-Shubik and Elie Tamer

CWP53/16: Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order

Seok Young Hong and Oliver Linton

CWP52/16: Estimation of a multiplicative covariance structure in the large dimensional case

Christian Hafner, Oliver Linton and Haihan Tang

CWP51/16: Nonlinear panel data methods for dynamic heterogeneous agent models

Manuel Arellano and Stéphane Bonhomme

CWP50/16: An economic theory of statistical testing

Aleksey Tetenov

CWP49/16: Double machine learning for treatment and causal parameters

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

CWP48/16: Nonparametric instrumental variable estimation under monotonicity

Denis Chetverikov and Daniel Wilhelm

CWP47/16: On cross-validated Lasso

Denis Chetverikov and . .

CWP46/16: Conditional quantile processes based on series or many regressors

Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Ivan Fernandez-Val

CWP45/16: Partial identification in applied research: benefits and challenges

Kate Ho and Adam Rosen

CWP44/16: Characterizations of identified sets delivered by structural econometric models

Andrew Chesher and Adam Rosen

CWP43/16: Anti-concentration and honest, adaptive confidence bands

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP42/16: Testing many moment inequalities

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP41/16: Gaussian approximation of suprema of empirical processes

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP40/16: Comparison and anti-concentration bounds for maxima of Gaussian random vectors

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP39/16: Central limit theorems and bootstrap in high dimensions

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP38/16: Empirical and multiplier bootstraps for suprema of empirical processes of increasing complexity, and related Gaussian couplings

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP37/16: hdm: High-Dimensional Metrics

Victor Chernozhukov, Christian Hansen and Martin Spindler

CWP36/16: Valid post-selection and post-regularization inference: An elementary, general approach

Victor Chernozhukov, Christian Hansen and Martin Spindler

CWP35/16: Generic inference on quantile and quantile effect functions for discrete outcomes

Victor Chernozhukov, Ivan Fernandez-Val, Blaise Melly and Kaspar Wüthrich

CWP34/16: A quantile correlated random coefficients panel data model

Bryan Graham, Jinyong Hahn, Alexandre Poirier and James Powell

CWP33/16: Approximate permutation tests and induced order statistics in the regression discontinuity design

Ivan Canay and Vishal Kamat

CWP32/16: Fixed-effect regressions on network data

Koen Jochmans and Martin Weidner

CWP31/16: Locally robust semiparametric estimation

Victor Chernozhukov, Juan Carlos Escanciano, Hidehiko Ichimura and Whitney Newey

CWP30/16: A simple parametric model selection test

Susanne Schennach and Daniel Wilhelm

CWP29/16: Nonparametric estimation and inference under shape restrictions

Joel L. Horowitz and Sokbae (Simon) Lee