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.
Data (via ICPRS), 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
Data, Stata 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, and the R package Alpaca by Amrei and Czarnowske 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
Data and Matlab code
Parametric Modeling of Quantile Regression Coefficient Functions with Longitudinal Data
(with Matteo Bottai and Paolo Frumento)
March 2021, , Journal of the American Statistical Association 116:534, 783-797
Low-Rank Approximations of Nonseparable Panel Models
(with Hugo Freeman and Martin Weidner)
May 2021, Econometrics Journal 24(2), pp. C40-C77
Shape-Enforcing Operators for Point and Interval Estimators *
(with Xi Chen, Victor Chernozhukov, Scott Kostyshak and Ye Luo)
August 2021, Journal of Machine Learning Research 22, pp. 1-42
Fast Algorithms for the Quantile Regression Process
(with Victor Chernozhukov and Blaise Melly)
January 2022, Empirical Economics 62, pp. 7-33
Stata code
Nonseparable Sample Selection Models with Censored Selection Rules
(with Aico van Vuuren and Francis Vella)
March 2023, Journal of Econometrics 240, 105088
Network and Panel Quantile Effects Via Distribution Regression *
(with Victor Chernozhukov and Martin Weidner)
March 2023, Journal of Econometrics 240, 105009
Data, R code
Selection and the U.S. Distribution of Female Hourly Real Wages
(with Franco Peracchi, Aico van Vuuren and Francis Vella)
May 2023, Quantitative Economics 14(2), pp. 571-607
Hours Worked and the U.S. Distribution of Real Annual Earnings 1976-2016
(with Franco Peracchi, Aico van Vuuren and Francis Vella)
February 2020, accepted for publication at the Journal of Applied Econometrics
Generic Machine Learning Inference on Heterogeneous Treatment Effects in Randomized Experiments *
(with Victor Chernozhukov, Mert Demirer and Esther Duflo)
December 2017, conditionally accepted for publication at Econometrica
R code R package
Distribution Regression with Sample Selection, with an Application to Wage Decompositions in the U.K. *
(with Victor Chernozhukov and Siyi Luo)
November 2018, accepted for publication at the Journal of Political Economy
R code for empirical application and simulations
Dynamic Heterogeneous Distribution Regression Panel Models, with an Application to Labor Income Processes
(with Wayne Gao, Yuan Liao and Francis Vella)
February 2022
Marital Sorting, Household Inequality and Selection
(with Aico van Vuuren and Francis Vella)
October 2023
Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models
(with Victor Chernozhukov, Chen Huang and Weining Wang)
February 2024
R package
Estimating Causal Effects of Discrete and Continuous Treatments with Binary Instruments
(with Victor Chernozhukov, Sukjin Han and Kaspar Wuthrich)
March 2024
Conditional Rank-Rank Regression
(with Victor Chernozhukov, Jonas Meier, Aico van Vuuren and Francis Vella)
July 2024
Distribution Regression Difference-In-Differences
(with Jonas Meier, Aico van Vuuren and Francis Vella)
September 2024
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
ablasso: Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models
(with Victor Chernozhukov, Chen Huang, Weining Wang and Yunju Chen)
R package
* 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).
