Research

Publications:

Household Labor Supply: Evidence for Spain
May 2003, Investigaciones Económicas 27(2), pp. 239-275

Appendix I in Hahn, J., and W. Newey, Jackknife and Analytical Bias Reduction for Nonlinear Panel Models
July 2004, Econometrica 72(4), pp. 1295-1319

Subsampling Inference on Quantile Regression Processes
(with Victor Chernozhukov)
May 2005, Sankhya 67, pp. 253-276.
Data, code application, code Monte Carlo

Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
(with Joshua Angrist and Victor Chernozhukov)
March 2006, Econometrica 74(2), pp. 539-563.
Online supplemental material

Fixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models
May 2009, Journal of Econometrics 150(1), pp. 71-85.
Data1, data2, code application (exogenous), code application (predetermined), code application (dynamic)

Improving Point and Interval Estimators of Monotone Functions by Rearrangement *
(with Victor Chernozhukov and Alfred Galichon)
September 2009, Biometrika 96(3), pp. 559-575.
R package (install with Packages + Install package(s) from local zip files …)

Rearranging Edgeworth-Cornish-Fisher Expansions *
(with Victor Chernozhukov and Alfred Galichon)
February 2010, Economic Theory 42(2), pp. 419-435.

Quantile and Probability Curves without Crossing *
(with Victor Chernozhukov and Alfred Galichon)
May 2010, Econometrica 78(3), pp. 559-575.
Online supplemental material

Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks *
(with Victor Chernozhukov)
April 2011, Review of Economic Studies, 78(2), pp. 559-589
Online supplemental material

Bias Corrections for Two-Step Fixed Effects Panel Data Estimators
(with Frank Vella)
August 2011, Journal of Econometrics 163(2), pp. 144-162
Code Monte Carlo (dynamic Tobit CMLE)

Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference * 
(with Joonhwan Lee)
November 2013, Quantitative Economics, 4(3), pp. 453-481

Average and Quantile Effects in Nonseparable Panel Models *
(with Victor Chernozhukov, Jinyong Hahn and Whitney Newey)
March 2013, Econometrica, 81(2), pp. 535-580
Online supplemental material

The Consequences of Teenage Childbearing: Consistent Estimates When Abortion Makes Miscarriage Nonrandom
(with Adam Ashcraft and Kevin Lang)
September 2013, Economic Journal, 123 (571), pp. 875-905

ExtrapoLATE-ing: External Validity and Overidentification in the LATE Framework
(with Josh Angrist)
2013 , Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress, Volume III: Econometrics. Econometric Society Monographs
DataStata and R code

Inference on Counterfactual Distributions *
(with Victor Chernozhukov and Blaise Melly)
November 2013, Econometrica, 81(6), pp. 2205-2268
Online supplemental material
Stata code: counterfactual, cdeco, cdeco_jmp
(for documentation and updates, check Blaise Melly’s web site)

Quantile Regression with Censoring and Endogeneity * 
(with Victor Chernozhukov and Amanda Kowalski)
This paper replaces Censored Quantile Instrumental Variable Estimation via Control Functions
May 2015,  Journal of Econometrics 186, pp. 201-221
Stata code

Working Papers:

Conditional Quantile Processes based on Series or Many Regressors *
(with Alexandre Belloni and Victor Chernozhukov)
May 2006 (updated June 2011)

Program Evaluation with High Dimensional Data *
(with Alexandre Belloni, Victor Chernozhukov, and Christian Hansen)
April 2013 (updated November 2013)
Supplementary Appendix

Individual and Time Effects in Nonlinear Panel Data Models with Large N, T *
(with Martin Weidner)
the Stata ado files probitfe and logitfe provided below implement the methods of the paper
October 2010 (updated April 2015)

Nonparametric Identification in Panels Using Quantiles *
(with Victor Chernozhukov, Stefan Hoderlein, Hajo Holzmann, and Whitney Newey)
December 2013

Nonlinear Panel Models with Interactive Effects
(with Mingli Chen and Martin Weidner)
December 2014

Software:

probitfe and logitfe: Bias Corrections for Fixed Effects Estimators of Probit and Logit Panel Models with Individual and Time Effects *
(with Mario Cruz-Gonzalez and Martin Weidner)
ado and help files for probitfe and logitfe
April 2015

* This material is based upon work supported by the National Science Foundation under Grants No. SES 0752266 and SES-1060809. Any opinions, findings and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation (NSF).