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 Francis Vella)
August 2011, Journal of Econometrics 163(2), pp. 144-162
Code Monte Carlo (dynamic Tobit CMLE), Data Application, Code Application, Description Application Files

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, Note on Sharpness of Bounds for Dynamic Nonseparable Panel Models

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
Online supplemental material

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
the Stata ado file cqiv provided below implement the methods of the paper

Nonparametric Identification in Panels Using Quantiles *
(with Victor Chernozhukov, Stefan Hoderlein, Hajo Holzmann, and Whitney Newey)
October 2015, Journal of Econometrics 188, pp. 378-392
Data, R code

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
May 2016,  Journal of Econometrics 196, pp. 291-312

Program Evaluation and Causal Inference with High Dimensional Data *
(with Alexandre Belloni, Victor Chernozhukov, and Christian Hansen)
January 2017, Econometrica, 85(1), pp. 233-298
Online supplemental material

Extremal Quantile Regression: An Overview
(with Victor Chernozhukov and Tetsuya Kaji)
October 2017,   Handbook of Quantile Regression, Chapter 18
Data and R code

Fixed Effect Estimation of Large T Panel Data Models *
(with Martin Weidner)
August 2018,  Annual Review of Economics 10, pp. 109-138

The Sorted Effects Method: Discovering Heterogeneous Effects Beyond Their Averages *
(with Victor Chernozhukov and Ye Luo)
November 2018, Econometrica, 86(6), pp. 1911-1938
Online supplemental material

Mastering Panel ‘Metrics: Causal Impact of Democracy on Growth *
(with Shuowen Chen and Victor Chernozhukov)
May 2019, American Economic Review Papers and Proceedings, 109, pp. 77-82
Data and code

Nonseparable Multinomial Choice Models in Cross-Section and Panel Data *
(with Victor Chernozhukov and Whitney Newey)
July 2019, Journal of Econometrics, 211, pp. 104-116

Conditional Quantile Processes based on Series or Many Regressors *
(with Alexandre Belloni, Denis Chetverikov, and Victor Chernozhukov)
November 2019, Journal of Econometrics, 213, pp. 4-29

Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes *
(with Victor Chernozhukov, Blaise Melly, and Kaspar Wuthrich)
March 2020, Journal of the American Statistical Association, 115:529, pp. 123-137
Online supplemental material

Semiparametric Estimation of Structural Functions in Nonseparable Triangular Models
(with Victor Chernozhukov, Whitney Newey, Sami Stouli and Francis Vella)
May 2020, Quantitative Economics, 11(2), pp. 503-533
Online supplemental material, Data and code

Nonlinear Factor Models for Network and Panel Data *
(with Mingli Chen and Martin Weidner)
 February 2021, Journal of Econometrics, 220, pp. 296-324

 

Working Papers:

Network and Panel Quantile Effects Via Distribution Regression *
(with Victor Chernozhukov and Martin Weidner)
March 2018
Data, R code

Generic Machine Learning Inference on Heterogeneous Treatment Effects in Randomized Experiments *
(with Victor Chernozhukov, Mert Demirer and Esther Duflo)
December 2017
R code

Nonseparable Sample Selection Models with Censored Selection Rules
(with Aico van Vuuren and Francis Vella)
January 2018

Shape-Enforcing Operators for Point and Interval Estimators *
(with Xi Chen, Victor Chernozhukov, Scott Kostyshak and Ye Luo)
September 2018

Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the U.K. *
(with Victor Chernozhukov and Siyi Luo)
November 2018

Decomposing Changes in the Distribution of Real Hourly Wages the U.S.
(with Franco Peracchi, Aico van Vuuren and Francis Vella)
December 2018

Fast Algorithms for the Quantile Regression Process
(with Victor Chernozhukov and Blaise Melly)
September 2019
Stata code

Hours Worked and the U.S. Distribution of Real Annual Earnings 1976-2016
(with Franco Peracchi, Aico van Vuuren and Francis Vella)
February 2020

Parametric Modeling of Quantile Regression Coefficient Functions with Longitudinal Data
(with Matteo Bottai and Paolo Frumento)
May 2020

Low-Rank Approximations of Nonseparable Panel Models
(with Hugo Freeman and Martin Weidner)
October 2020

 

Software:

Rearrangement: Rearrangement in R *
(with Wesley Graybill, Mingli Chen and Victor Chernozhukov)
R package
March 2016

Inference on Counterfactual Distributions in Stata *
(with Victor Chernozhukov and Blaise Melly)
Stata code: counterfactual, cdeco, cdeco_jmp
(for documentation and updates, check Blaise Melly’s web site)
May 2010

Counterfactual Analysis in R *
(with Mingli Chen, Victor Chernozhukov and Blaise Melly)
R package
June 2017, The R Journal 9/1, pp. 370-384

Quantreg.nonpar: Nonparametric Series Quantile Regression in R *
(with Michael Lipsitz, Alexandre Belloni and Victor Chernozhukov)
R package
December 2016,  The R Journal 8/2, pp. 370-381

Censored Quantile Instrumental Variable Estimation with Stata 
(with Victor Chernozhukov, Sukjin Han and Amanda Kowalski)
ado and help files for cqiv
December 2019, The Stata Journal 19(4), pp. 768-781

probitfe and logitfe: Bias Corrections for Probit and Logit Panel Models with Two-Way Fixed Effects *
(with Mario Cruz-Gonzalez and Martin Weidner)
ado, help and data files for logitfe
ado, help and data files for probitfe
September 2017, The Stata Journal 17(3), pp. 517-545

SortedEffects: Sorted Causal Effects in R *
(with Shuowen Chen, Victor Chernozhukov, and Ye Luo)
R package
June 2020, The R Journal 12/1, pp. 131-146

discreteQ: Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes *
(with Victor Chernozhukov, Blaise Melly, and Kaspar Wuthrich)
March 2019
R package

Quantile and distribution regression in Stata: algorithms, pointwise and functional inference
(with Victor Chernozhukov and Blaise Melly)
April 2020
Stata command for quantile regression
Stata command for distribution regression

* This material is based upon work supported by the National Science Foundation under Grants No. SES 0752266, SES-1060809, and SES-1559504. 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).