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Quantile regression under misspecification, with an application to the US wage structure

[PDF] from 128.197.153.21
J Angrist, V Chernozhukov… - 2004 - nber.org
Quantile regression (QR) fits a linear model for conditional quantiles, just as ordinary least
squares (OLS) fits a linear model for conditional means. An attractive feature of OLS is that it
gives the minimum mean square error linear approximation to the conditional expectation ...
Cited by 136 - Related articles - Library Search - BL Direct - All 37 versions

Fixed effects estimation of structural parameters and marginal effects in panel probit models

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I Fernández-Val - Journal of Econometrics, 2009 - Elsevier
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Inference on counterfactual distributions

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V Chernozhukov, I Fernandez-Val… - MIT Department of …, 2009 - papers.ssrn.com
Abstract: In this paper we develop procedures for performing inference in regression models
about how potential policy interventions affect the entire marginal distribution of an outcome
of interest. These policy interventions consist of either changes in the distribution of ...
Cited by 47 - Related articles - Library Search - All 42 versions

Subsampling inference on quantile regression processes

[PDF] from bu.edu
V Chernozhukov… - Sankhyā: The Indian Journal of …, 2005 - JSTOR
Page 1. Sankhya : The Indian Journal of Statistics Special Issue on Quantile Regression
and Related Methods 2005, Volume 67, Part 2, pp 253-276 ? 2005, Indian Statistical
Institute Subsampling Inference on Quantile Regression Processes ...
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Quantile and probability curves without crossing

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V Chernozhukov, I Fernández‐Val… - Econometrica, 2010 - Wiley Online Library
Page 1. Econometrica, Vol. 78, No. 3 (May, 2010), 1093–1125 QUANTILE AND
PROBABILITY CURVES WITHOUT CROSSING BY VICTOR CHERNOZHUKOV,
IVÁN FERNÁNDEZ-VAL, AND ALFRED GALICHON1 This paper ...
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[PDF] Identification and estimation of marginal effects in nonlinear panel models

[PDF] from bu.edu
V Chernozhukov, I Fernández-Val, J Hahn… - Econometrica, 2009 - bu.edu
Page 1. Identification and Estimation of Marginal Effects in Nonlinear Panel Models
1 Victor Chernozhukov MIT Iván Fernández-Val BU Jinyong Hahn UCLA Whitney
Newey MIT February 4, 2009 1First version of May 2007. ...
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[PDF] Household labor supply: Evidence for Spain

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I Fernandez-Val - investigaciones económicas, 2003 - funep.es
This paper estimates and tests household labor supply models for Spain within a structural
approach. Following Fortin and Lacroix (1997), we postulate a general system of labor
supplies and we obtain the set of parametric restrictions imposed by the unitary and ...
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Bias corrections for two-step fixed effects panel data estimators

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I Fernández-Val… - Journal of Econometrics, 2011 - Elsevier
Cited by 19 - Related articles - Get it from MIT Libraries - All 32 versions

Estimation of structural parameters and marginal effects in binary choice panel data models with fixed effects

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I Fernandez-Val - 2005 - papers.ssrn.com
Abstract: Fixed effects estimators of nonlinear panel models can be severely biased due to
the incidental parameters problem. In this paper I find that the most important component of
this incidental parameters bias for probit fixed effects estimators of index coefficients is ...
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[CITATION] Forthcoming.“Quantile Regression under Misspecification, with an Application to the US Wage Structure.”

J Angrist, V Chernozhukov… - Econometrica
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Bias Correction in Panel Data Models with Individual Specific Parameters

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I Fernández-Val - 2005 - papers.ssrn.com
Page 1. Bias Correction in Panel Data Models with Individual Specific Parameters
Iván Fernández-Val Department of Economics Boston University First version: April
2004 December 7, 2005 Page 2. Abstract In correlated random ...
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[PDF] Censored quantile instrumental variable estimation via control functions

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V Chernozhukov, I Fernandez-Val… - … University-Department of …, 2009 - sws1.bu.edu
Abstract In this paper, we develop a new censored quantile instrumental variable (CQIV)
estimator and describe its properties and computation. The CQIV estimator handles
censoring semi-parametrically in the tradition of Powell (1986), and it generalizes ...
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Conditional quantile processes based on series or many regressors

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A Belloni, V Chernozhukov… - 2011 - papers.ssrn.com
Abstract: Quantile regression (QR) is a principal regression method for analyzing the impact
of covariates on outcomes. The impact is described by the conditional quantile function and
its functionals. In this paper we develop the nonparametric QR series framework, covering ...
Cited by 4 - Related articles - All 18 versions

[PDF] Individual and Time Effects in Nonlinear Panel Data Models with Large N, T

[PDF] from princeton.edu
I Fernández-Val… - 2010 - princeton.edu
Page 1. Individual and Time Effects in Nonlinear Panel Data Models with Large N, T Iván
Fernández-Val BU Martin Weidner UCL November 2, 2011 Preliminary and incomplete Abstract
Fixed effects estimators of panel models can be severely biased because of the ...
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[CITATION] Identification and estimation of marginal effects in nonlinear panel data models

V Chernozhukov, I Fernández-Val, J Hahn… - 2008 - CEMMAP Working Paper CWP25/08
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Rearranging Edgeworth–Cornish–Fisher expansions

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V Chernozhukov, I Fernández-Val… - Economic Theory, 2010 - Springer
Page 1. Econ Theory (2010) 42:419–435 DOI 10.1007/s00199-008-0431-z
SYMPOSIUM Rearranging Edgeworth–Cornish–Fisher expansions Victor
Chernozhukov · Iván Fernández-Val · Alfred Galichon Received: 14 November ...
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[CITATION] Identification and Estimation of Marginal Effects in Nonlinear Panel Models

I Fernandez-Val - 2009 - Mimeo
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Bias Corrections for Two-Step Fixed Effects Panel Data Estimators

F Vella… - Boston University-Department of …, 2007 - ideas.repec.org
This paper introduces bias-corrected estimators for nonlinear panel data models with both
time invariant and time varying heterogeneity. These include limited dependent variable
models with both unobserved individual effects and endogenous explanatory variables, ...
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Quantile regression with censoring and endogeneity

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V Chernozhukov, I Fernández-Val… - 2011 - nber.org
Page 1. NBER WORKING PAPER SERIES QUANTILE REGRESSION WITH CENSORING
AND ENDOGENEITY Victor Chernozhukov Iván Fernández-Val Amanda E. Kowalski
Working Paper 16997 http://www.nber.org/papers/w16997 ...
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Inference for extremal conditional quantile models, with an application to market and birthweight risks

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V Chernozhukov… - The Review of …, 2011 - restud.oxfordjournals.org
Skip Navigation. ...
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Panel Data Models with Nonadditive Unobserved Heterogeneity: Estimation and Inference

I Fernández-Val… - Boston University-Department of …, 2010 - ideas.repec.org
... Statistics. Author Info. Iván Fernández-Val () (Boston University, Department of
Economics) Joonhwan Lee () (MIT) Additional information is available for the following
registered author(s): Ivan Fernandez-Val. Abstract. The main ...
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[CITATION] Three Essays on Nonlinear Panel Data Models and Quantile Regression Analysis

I Fernández-Val - 2005 - Massachusetts Institute of …
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[CITATION] RESAMPLING INFERENCE ON THE QUANTILE REGRESSION PROCESS

VCADNI FERNANDEZ-VAL
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[PDF] REARRANGING ESTIMATORS OF THE VALUE-AT-RISK AND OTHER RISK MEASURES

[PDF] from banque-france.fr
V CHERNOZHUKOV, I FERNÁNDEZ-VAL… - banque-france.fr
Page 1. REARRANGING ESTIMATORS OF THE VALUE-AT-RISK AND OTHER
RISK MEASURES VICTOR CHERNOZHUKOV† IVÁN FERNÁNDEZ-VAL§ ALFRED
GALICHON‡ Abstract. Quantile estimation procedures such ...
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Estimation of Structural Parameters and Marginal E® ects in Binary Choice Panel Data Models with Fixed E® ects

I Fernandez-Val - en.scientificcommons.org
Abstract Fixed e® ects estimates of structural parameters in nonlinear panel models can be
severely biased due to the incidental parameters problem. In this paper I show that the most
important com-ponent of this incidental parameters bias for probit xed e® ects estimators ...
Cached - All 2 versions

[CITATION] Identification and Estimation of Marginal Effects in Nonlinear Panel Models

I Fernandez-Val…

Quantile Regression under Misspecification

I Fernandez-Val, J Angrist… - … Society 2004 North …, 2004 - ideas.repec.org
Quantile regression (QR) methods fit a linear model for conditional quantiles, just as
ordinary least squares (OLS) regression estimates a linear model for conditional means. An
attractive feature of the OLS estimator is that it gives a minimum mean square error ...
Cached - All 3 versions

Three essays on nonlinear panel data models and quantile regression analysis

[PDF] from mit.edu
JD Angrist, V Chernozhukov, WK Newey… - 2005 - dspace.mit.edu
... by Ivan FernAndez-Val Submitted to the Department of Economics in partial fulfillment of the
requirements for the degree of Doctor of Philosophy in Economics at the ... Three Essays on
Nonlinear Panel Data Models and Quantile Regression Analysis by Ivan Fernandez-Val ...
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[CITATION] Comment-Labour and income effects of caregiving across Europe: An evaluation using matching techniques

I Fernández-Val - Moneda y Credito, 2009

[BOOK] Oferta de trabajo familiar: Evidencia para el caso español

[PDF] from cemfi.es
IF Val… - 2000 - cemfi.es
Page 1. Oferta de trabajo familiar: Evidencia para el caso espaôol Iván Fernández
Val MIT Tesina CEMFI No. 0004 Septiembre 2000 Este trabajo constituye una versión
revisada de la tesina presentada al completar el Programa ...
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