Working papers

In this note, we offer an approach to estimating structural parameters in the presence of many instruments and controls based on methods for estimating sparse high-dimensional models.

This paper considers identification of treatment effects on conditional transition probabilities.

This paper considers the problem of testing many moment inequalities where the number of moment inequalities, denoted by p, is possibly much larger than the sample size n.

We develop uniformly valid confidence regions for regression coefficients in a high-dimensional sparse median regression model with homoscedastic errors.

In this paper, we derive central limit and bootstrap theorems for probabilities that centered high-dimensional vector sums hit rectangles and sparsely convex sets. Sparsely convex sets are sets that can be represented as intersections of many convex sets whose indicator functions depend nontrivially only on a small subset of their arguments, with rectangles being a special case.

This paper considers identification and estimation of ceteris paribus effects of continuous regressors in nonseparable panel models with time homogeneity.

The authors propose a notion of conditional vector quantile function and a vector quantile regression.

We consider estimation and inference in panel data models with additive unobserved individual specific heterogeneity in a high dimensional setting.

This work proposes new inference methods for the estimation of a regression coefficient of interest in quantile regression models.

This paper shows that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate.

This paper analyzes linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged-dependent variables.

This paper reviews the literature studying econometric methods for the analysis of social networks. It begins by discussing identification of models of social effects using observational and experimental data, before outlining models of network formation. Finally, it discusses how one might collect data on networks, and the measurement error issues caused by sampling of networks, as well as measurement error more broadly.

We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when the impulse response is not point identified because the number of equality restrictions one can credibly impose is not sufficient for point identification and/or one imposes sign restrictions.

This paper modifies the Wald development of statistical decision theory to offer new perspective on the performance of certain statistical treatment rules. We study the quantile performance of test rules, ones that use the outcomes of hypothesis tests to allocate a population to two treatments.

This paper evaluates the large scale pilot of an innovative and major welfare intervention in Colombia, which combines homes visits by trained social workers to households in extreme poverty with preferential access to social programs.

This paper combines instrumental variable approaches to account for the endogeneity of an individual’s financial situation to financial literacy, and the endogeneity of financial literacy to exposure to credit counseling.

Using PSID data we estimate a simple dynamic model of earnings that incorporates bivariate heterogeneity in intercept and variance of the innovation process. Prole likelihood is employed to estimate an AR(1) parameter controlling the persistence of the innovations.

This paper provides new evidence on what happens to young people from different backgrounds once they arrive at university, exploring socio-economic differences in drop-out, degree completion and degree class.

This paper focuses on individuals who have completed university and provides new evidence on differences in graduates’ earnings by socio-economic background, with a particular focus on whether they attended a private school.

This paper sets out revealed preference tests for different models of consumption behaviour over retirement that we applied to a Spanish consumption panel dataset.