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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CWP07/14: Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?

James Brugler and Oliver Linton

CWP06/14: The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang

CWP05/14: Inference for functions of partially identified parameters in moment inequality models

Federico Bugni, Ivan Canay and Xiaoxia Shi

CWP04/14: Generalized instrumental variable models

Andrew Chesher and Adam Rosen

CWP03/14: Asymptotically efficient estimation of weighted average derivatives with an interval censored variable

Hiroaki Kaido

CWP02/14: Instrumental variables estimation of a generalized correlated random coefficients model

Matthew Masten and Alexander Torgovitsky

CWP01/14: Random coefficients on endogenous variables in simultaneous equations models

Matthew Masten

CWP77/13: Program evaluation with high-dimensional data

Alexandre Belloni, Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen

CWP76/13: Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP75/13: Gaussian approximation of suprema of empirical processes

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP74/13: Uniform post selection inference for LAD regression and other z-estimation problems

Alexandre Belloni, Victor Chernozhukov and Kengo Kato

CWP73/13: On the asymptotic theory for least squares series: pointwise and uniform results

Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP71/13: Comparison and anti-concentration bounds for maxima of Gaussian random vectors

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP70/13: Robust inference in high-dimensional approximately sparse quantile regression models

Alexandre Belloni, Victor Chernozhukov and Kengo Kato

CWP69/13: Anti-concentration and honest, adaptive confidence bands

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP68/13: Posterior inference in curved exponential families under increasing dimensions

Alexandre Belloni and Victor Chernozhukov

CWP67/13: Honest confidence regions for a regression parameter in logistic regression with a large number of controls

Alexandre Belloni, Victor Chernozhukov and Ying Wei

CWP66/13: Nonparametric identification in panels using quantiles

Victor Chernozhukov, Ivan Fernandez-Val, Stefan Hoderlein, Hajo Holzmann and Whitney Newey

CWP65/13: Testing Many Moment Inequalities

Victor Chernozhukov, Denis Chetverikov and Kengo Kato

CWP64/13: Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies

Arun Advani and Tymon Słoczyński

CWP63/13: Dynamic linear panel regression models with interactive fixed effects

Hyungsik Moon and Martin Weidner

CWP62/13: Pivotal estimation via square-root lasso in nonparametric regression

Alexandre Belloni, Victor Chernozhukov and Lie Wang

CWP61/13: Covariate selection and model averaging in semiparametric estimation of treatment effects

Toru Kitagawa and Chris Muris

CWP60/13: Individual and time effects in nonlinear panel models with large N, T

Ivan Fernandez-Val and Martin Weidner

CWP59/13: High dimensional methods and inference on structural and treatment effects

Alexandre Belloni, Victor Chernozhukov and Christian Hansen

CWP58/13: A weak instrument F-test in linear IV models with multiple endogenous variables

Eleanor Sanderson and Frank Windmeijer

CWP57/13: Program evaluation with high-dimensional data

Victor Chernozhukov, Ivan Fernandez-Val and Christian Hansen

CWP56/13: Optimal uniform convergence rates for sieve nonparametric instrumental variables regression

Xiaohong Chen and Timothy M. Christensen

CWP55/13: Set inferences and sensitivity analysis in semiparametric conditionally identified models

Juan Carlos Escanciano and Lin Zhu

CWP54/13: Nonparametric estimation of a heterogeneous demand function under the Slutsky inequality restriction

Richard Blundell, Joel L. Horowitz and Matthias Parey

CWP53/13: A bootstrap test for instrument validity in heterogeneous treatment effect models

Toru Kitagawa

CWP52/13: Anchoring the yield curve using survey expectations

Carlo Altavilla, Raffaella Giacomini and Giuseppe Ragusa

CWP51/13: Identification and estimation of preference distributions when voters are ideological

Antonio Merlo and Aureo de Paula

CWP50/13: Generalized method of moments with latent variables

A. Gallant, Raffaella Giacomini and Giuseppe Ragusa

CWP49/13: Linear regression for panel with unknown number of factors as interactive fixed effects

Hyungsik Moon and Martin Weidner

CWP48/13: On the identification of structural linear functionals

Juan Carlos Escanciano and Wei Li

CWP47/13: Extremum sieve estimation in k-out-of-n systems

Tatiana V. Komarova

CWP46/13: Convolution without independence

Susanne Schennach

CWP45/13: Higher-order properties of approximate estimators

Dennis Kristensen and Bernard Salanié

CWP44/13: Properties of the maximum likelihood estimator in spatial autoregressive models

Grant Hillier and Federico Martellosio

CWP43/13: Generalized instrumental variable models

Andrew Chesher and Adam Rosen

CWP42/13: The effect of fragmentation in trading on market quality in the UK equity market

Lena Boneva, Oliver Linton and Michael Vogt

CWP41/13: Nonparametric estimation of multivariate elliptic densities via finite mixture sieves

Heather Battey and Oliver Linton

CWP40/13: Nonlinear difference-in-differences in repeated cross sections with continuous treatments

Xavier D'Haultfoeuille, Stefan Hoderlein and Yuya Sasaki

CWP39/13: Outcome conditioned treatment effects

Stefan Hoderlein and Yuya Sasaki

CWP38/13: Implementing intersection bounds in Stata

Victor Chernozhukov, Wooyoung Kim, Sokbae (Simon) Lee and Adam Rosen

CWP37/13: Ill-posed inverse problems in economics

Joel L. Horowitz

CWP36/13: Nonparametric analysis of random utility models: testing

Yuichi Kitamura and Jörg Stoye

CWP35/13: Do institutions affect social preferences? Evidence from divided Korea

Kyunghui Choi, Syngjoo Choi, Byung-Yeon Kim, Jungmin Lee and Sokbae (Simon) Lee

CWP34/13: Individual heterogeneity and average welfare

Jerry Hausman and Whitney Newey