 | Professor, Department of Economics, MIT, and New Economic School, Russia Verified email at mit.edu Cited by 2345 |
The ability of quantile regression models to characterize the heterogeneous impact of
variables on different points of an outcome distribution makes them appealing in many
economic applications. However, in observational studies, the variables of interest (eg, ...
This paper develops a framework for performing estimation and inference in econometric
models with partial identification, focusing particularly on models characterized by moment
inequalities and equalities. Applications of this framework include the analysis of game- ...
This paper studies computationally and theoretically attractive estimators called here
Laplace type estimators (LTEs), which include means and quantiles of quasi-posterior
distributions defined as transformations of general (nonlikelihood-based) statistical ...
We introduce a class of instrumental quantile regression methods for heterogeneous
treatment effect models and simultaneous equations models with nonadditive errors and
offer computable methods for estimation and inference. These methods can be used to ...
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 ...
Abstract. This paper considers flexible conditional (regression) measures of market risk.
Value-at-Risk modeling is cast in terms of the quantile regression function–the inverse of the
conditional distribution function. A basic specification analysis relates its functional forms ...
There are many environments where knowledge of a structural relationship is required to
answer questions of interest. Also, nonseparability of a structural disturbance is a key feature
of many models. Here, we consider nonparametric identification and estimation of a model ...
In this paper, we develop robust inference procedures for an instrumental variables model
defined by Y= D′ α (U) where D′ α (U) is strictly increasing in U and U is a uniform
variable that may depend on D but is independent of a set of instrumental variables Z. The ...
V Chernozhukov… - Journal of the American Statistical Association, 2002 - ASA
This article suggests very simple three-step estimators for censored quantile regression
models with a separation restriction on the censoring probability. The estimators are
theoretically attractive (ie, asymptotically as efficient as the celebrated Powell's censored ...
Abstract Quantile regression is an important tool for estimation of conditional quantiles of a
response Y given a vector of covariates X. It can be used to measure the effect of covariates
not only in the center of a distribution, but also in the upper and lower tails. This paper ...
Most economic analyses presume that there are limited differences in the prior beliefs of
individuals, as assumption most often justified by the argument that sufficient common
experiences and observations will eliminate disagreements. We investigate this claim ...
We use instrumental quantile regression approach to examine the effects of 401 (k) plans on
wealth using data from the Survey of Income and Program Participation. Using 401 (k)
eligibility as an instrument for 401 (k) participation, we estimate the quantile treatment ...
[CITATION] Parameter set inference in a class of econometric models
We study inference in structural models with a jump in the conditional density, where
location and size of the jump are described by regression curves. Two prominent examples
are auction models, where the bid density jumps from zero to a positive value at the lowest ...
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 ...
V Chernozhukov… - MIT Department of Economics …, 2004 - papers.ssrn.com
Abstract: The paper develops estimation and inference methods for econometric models
with partial identification, focusing on models defined by moment inequalities and equalities.
Main applications of this framework include analysis of game-theoretic models, regression ...
In program evaluation studies, important hypotheses concerning how a treatment or a social
program affects the distribution of an outcome of interest can be tested using statistics
derived from empirical conditional quantile processes. This paper develops simple and ...
Abstract. This paper provides confidence regions for minima of an econometric criterion
function Q (θ). The minima form a set of parameters, ΘI, called the identified set. In economic
applications, ΘI represents a class of economic models that are consistent with the data. ...
In this paper, we show that conventional heteroskedasticity and autocorrelation robust
inference procedures based on the reduced form provide tests and confidence intervals for
structural parameters that are valid when instruments are strongly or weakly correlated to ...
V Chernozhukov, I Fernández‐Val… - Econometrica, 2010 - Wiley Online Library
This paper proposes a method to address the longstanding problem of lack of monotonicity
in estimation of conditional and structural quantile functions, also known as the quantile
crossing problem (Bassett and Koenker (1982)). The method consists in sorting or ...
Abstract: Under the assumption that individuals know the conditional distributions of signals
given the payoff-relevant parameters, existing results conclude that as individuals observe
infinitely many signals, their beliefs about the parameters will eventually merge. We first ...
V Chernozhukov, I Fernández-Val, J Hahn… - Econometrica, 2009 - bu.edu
Abstract This paper gives identification and estimation results for marginal effects in
nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in
part to marginal effects not being identified. We derive bounds for marginal effects and ...
Abstract This paper develops a method to conduct inference on intersection bounds. These
are settings where interval identification is succinctly characterized by bounds that are the
infima and suprema of collections of consistently estimable upper and lower bounds, ...
Abstract: A wide variety of important distributional hypotheses can be assessed using the
empirical quantile regression processes. In this paper, a very simple and practical
resampling test is offered as an alternative to inference based on Khmaladzation, as ...
Under minimal assumptions, finite sample confidence bands for quantile regression models
can be constructed. These confidence bands are based on the “conditional pivotal property”
of estimating equations that quantile regression methods solve and provide valid finite ...
We consider asymptotic and finite sample confidence bounds in instrumental variables
quantile regressions of wages on schooling with relatively weak instruments. We find
practically important differences between the asymptotic and finite sample interval ...
[CITATION] Nonparametric extreme regression quantiles
P Bajari,
V Chernozhukov, H Hong… - Manuscript, University …, 2007 - people.virginia.edu
Game theory has had a profound effect on microeconomic theory and theoretical industrial
organization in particular. Also, game theory has had an important impact on economic
policy, especially in antitrust and regulation. It is therefore desirable to have empirical ...
V Chernozhukov, P Gagliardini… - 2008 - www-leland.stanford.edu
We study Tikhonov Regularized estimation of quantile structural effects implied by a
nonseparable model. The nonparametric instrumental variable estimator is based on a
mini& mum distance principle. We show that the minimum distance problem without ...
[CITATION] Nonparametric identification and estimation of non-separable models
V Chernozhukov, G Imbens… - Journal of Econometrics, forthcoming, 2006
[CITATION] Quantile Wage Decompositions: Estimation and Inference, with an Application to the US Minimum Wage
J Angrist, D Autor… - Work in Progress, Massachusetts Institute of …, 2004
[CITATION] Forthcoming.“Quantile Regression under Misspecification, with an Application to the US Wage Structure.”
A Belloni… - … of Economics Working Paper No. 10 …, 2010 - papers.ssrn.com
Abstract: In this paper we study post-penalized estimators which apply ordinary,
unpenalized linear regression to the model selected by first-step penalized estimators,
typically LASSO. It is well known that LASSO can estimate the regression function at ...
P Bajari,
V Chernozhukov, H Hong… - … manuscript, Dep. Econ …, 2009 - aida.wss.yale.edu
Abstract In this paper, we study the identification and estimation of a dynamic discrete game
allowing for discrete or continuous state variables. We first provide a general nonparametric
identification result under the imposition of an exclusion restrictions on agents payoffs. ...
[CITATION] Inference for identified parameter sets in econometric models
V Chernozhukov, H Hong… - … 2007):“Estimation and Confidence Regions for …, 2004
Abstract. Quantile regression is a basic tool for estimation of conditional quantiles of a
response variable given a vector of regressors. It can be used to measure the effect of
covariates not only in the center of a distribution, but also in the upper and lower tails. ...
V Chernozhukov… - … of Economics Working Paper No. 07-01, 2006 - papers.ssrn.com
Abstract: This article looks at the theory and empirics of extremal quantiles in economics, in
particular value-at-risk. The theory of extremes has gone through remarkable developments
and produced valuable empirical findings in the last 20 years. In the discussion, we put a ...
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 ...
[CITATION] Likelihood inference with density jump
Abstract. In this paper, we consider simple and practical methods for performing
heteroskedasticity and autocorrelation consistent inference in linear instrumental variables
models with weak instruments. We show that conventional inference procedures based on ...
[CITATION] The Reduced Form: A Simple Approach to Inference with Weak Instruments
C Hansen… - Chicago Business School, mimeo, 2005
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 ...
V Chernozhukov… - … Dept. of Economics Working Paper No …, 2001 - papers.ssrn.com
Abstract: This paper suggests simple 3-and 4-step estimators for censored quantile
regression models with an envelope or a separation restriction on the censoring probability.
The estimators are theoretically attractive (asymptotically as efficient as the celebrated ...
Abstract: In this note, we propose the use of sparse methods (eg LASSO, Post-LASSO, p
LASSO, and Post-p LASSO) to form first-stage predictions and estimate optimal instruments
in linear instrumental variables (IV) models with many instruments in the canonical ...
Abstract. We give semiparametric identification and estimation results for econo% metric
models with a regressor that is endogenous, bound censored and selected, called a Tobin
regressor. First, we show that true parameter value is set identi% fied and characterize the ...
VV Chernozhukov - 2000 - mit.edu
Page 1. CONDITIONAL EXTREMES AND NEAR-EXTREMES: CONCEPTS, ASYMPTOTIC
THEORY, AND ECONOMIC APPLICATIONS a dissertation submitted to the department of
economics and the committee on graduate studies of stanford university ...
V Chernozhukov, P Gagliardini… - 2010 - papers.ssrn.com
Abstract: We study the asymptotic distribution of Tikhonov Regularized estimation of quantile
structural effects implied by a nonseparable model. The nonparametric instrumental variable
estimator is based on a minimum distance principle. We show that the minimum distance ...
[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
Abstract This paper applies a regularization procedure called increasing rearrangement to
monotonize Edgeworth and Cornish–Fisher expansions and any other related
approximations of distribution and quantile functions of sample statistics. In addition to ...
V Chernozhukov… - The Review of Economics and Statistics - piketty.pse.ens.fr
Abstract. In this paper, we use the instrumental quantile regression model developed in
Chernozhukov and Hansen (2001) to examine the effects of 401 (k) plans on wealth using
data from the Survey of Income and Program Participation. Using 401 (k) eligibility as an ...
W Newey, V Chernozhukov… - 2004 - dspace.mit.edu
This thesis considers inference issues in serially correlated multilevel and panel data and
presents a separate essay that examines the impact of 401 (k) participation on wealth. The
first chapter examines generalized least squares (GLS) estimation in data with a grouped ...
Abstract: In this paper we describe how quantile regression can be used to evaluate the
impact of treatment on the entire distribution of outcomes, when the treatment is endogenous
or selected in relation to potential outcomes. We describe an instrumental variable ...
Abstract In this paper, we study the identification and estimation of a dynamic discrete game
allowing for discrete or continuous state variables. We first provide a general nonparametric
identification result under the imposition of an exclusion restrictions on agents payoffs. ...
V Chernozhukov… - … of Economics Working Paper No. 09 …, 2009 - papers.ssrn.com
Abstract: We consider median regression and, more generally, quantile regression in high-
dimensional sparse models. In these models the overall number of regressors p is very
large, possibly larger than the sample size n, but only s of these regressors have non-zero ...
In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator
and describe its properties and computation. The CQIV estimator combines Powell (1986)
censored quantile regression (CQR) to deal semiparametrically with censoring, with a ...
V Chernozhukov, C Hansen… - Econometric …, 2009 - Cambridge Univ Press
Abstract This paper studies a model widely used in the weak instruments literature and
establishes admissibility of the weighted average power likelihood ratio tests recently
derived by Andrews, Moreira, and Stock (2004, NBER Technical Working Paper 199). The ...
Abstract Quantile regression (QR) is an increasingly important empirical tool in economics
and other sciences for analysing the impact a set of regressors has on the conditional
distribution of an outcome. Extremal QR, or QR applied to the tails, is of interest in many ...
R Blundell, A Abadie, D Acemoglu… - …, 2005 - Wiley Online Library
THE 2006 NORTH AMERICAN SUMMER MEETING of the Econometric Society will be
hosted by the Economics Department of the University of Minnesota and will be held at the
University of Minnesota, Minneapolis, MN, from June 22 to June 25, 2006. The program ...
P Bajari, V Chernozhukov, H Hong… - isites.harvard.edu
Abstract In this paper, we study the identification and estimation of a dynamic discrete game
allowing for discrete or continuous state variables. We first provide a general nonparametric
identification result under the imposition of an exclusion restrictions on agents payoffs. ...
G Ellison, W Newey, V Chernozhukov… - 2009 - dspace.mit.edu
The three chapters which comprise my thesis are a collection of essays on the analysis of
the corporate governance and airline markets and of the federal appellate structure. In
Chapter 1, I use a discrete choice framework to analyze state design and firm choice of the ...
WK Newey, V Chernozhukov, K Menzel - 2009 - dspace.mit.edu
This thesis explores power and consistency of estimation and inference procedures with
moment inequalities, and applications of the moment inequality framework to estimation of
frontiers in finance. In the first chapter, I consider estimation of the identified set and ...
[CITATION] RESAMPLING INFERENCE ON THE QUANTILE REGRESSION PROCESS
VCADNI FERNANDEZ-VAL
V Chernozhukov, H Hong - 2003 - dspace.mit.edu
Abstract. In this paper we study estimation and inference in structural models with a jump in
the conditional density, where the location and size ofthe jump are described by regression
lines. Two prominent examples are auction models, where the density jumps from zeroto a ...
L Cavalier… - Inverse Problems and High- …, 2011 - books.google.com
Appendix A List of the Courses Laurent Cavalier (Universite Aix-Marseille I) Inverse Problems
in Statistics Victor Chernozhukov (Massachussets Institute of Technology) High Dimensional
Statistical Estimation with Applications to Economics P. Alquier et al.(eds.), Inverse ...
V Chernozhukov, S Du - 2006 - dspace.mit.edu
Abstract. This article looks at the theory and empirics of extremal quantiles in eco-nomics, in
particular value-at-risk. The theory of extremes has gone through remarkable developments
and produced valuable empirical findings in the last 20 years. In the dis-cussion, we put ...
Suppose a data vector X=(X1,..., Xn) follows a distribution with a density function pn (x| θ)
which is fully characterized by some parameter vector θ=(θ1,..., θd). Suppose that the prior
belief about θ is characterized by a density p (θ) defined over a parameter space Θ, a ...
V Chernozhukov, W Newey, P Schrimpf - 2011 - dspace.mit.edu
This dissertation is a collection of three independent essays in theoretical and applied
econometrics. The first chapter analyzes dynamic games with continuous states and
controls. There are two main contributions. First, we give conditions under which the ...
V Chernozhukov, W Newey, E Kocatulum - 2008 - 18.7.29.232
Chapter 1 is the product of joint work with Ferhat Akbas and it provides a behavioral
explanation for monthly negative serial correlation in stock returns. For the first time in the
literature, this work reports that only low momentum stocks experience monthly negative ...
AB Krueger, JS Pischke, VH Chang, JN Bhagwati… - dspace.mit.edu
VCCHM JANSSON - 2006 - faculty.chicagobooth.edu
Abstract. We consider asymptotic and finite-sample confidence bounds in instrumental
variables quantile regressions of wages on schooling with relatively weak instruments. We
find large and practically important differences between the asymptotic and finite-sample ...
B Holmstrom, V Chernozhukov, P Jia… - 2009 - dspace.mit.edu
Chapter 1 develops a non-parametric methodology for identifying contract optimality in the
presence of moral hazard. Following the first order approach, a standard method of
computing optimal contracts, the paper first proves two theoretical properties of the ...
V Chernozhukov - 83.145.66.219
This course will focus on several recent developments in econometrics. We will begin with
an introduction to empirical process methods, and then discuss the following three recent
research directions:(1) quantile regression,(2) quasi-Bayesian estimation of nonlinear ...
V CHERNOZHUKOV, I FERNÁNDEZ-VAL… - banque-france.fr
Abstract. Quantile estimation procedures such as Quantile Regression (QR) have become
widely used in quantitative finance over the last years, in large part because they are a basic
building tool for risk measures such as VaR estimation or TailVaR. A problem which has ...
C Hansen… - Econometric Society 2004 North …, 2004 - ideas.repec.org
Finite-sample inference methods are developed for quantile regression models. The
methods are conservative in that (i) they apply to arbitrary sample sizes without the liberal
assumption that sample sizes approach infinity,(ii) they apply when the quantiles are ...
R Rigobon, V Chernozhukov, EC Ruben - 2007 - dspace.mit.edu
This dissertation is composed of three chapters. The first demonstrates that natural gas
violates many of the simplifying assumptions frequently used in modeling its behavior.
Careful analysis of futures contracts written on gas suggests that gas prices are seasonal ...
J Hausman, V Chernozhukov, W Newey… - 2007 - 18.7.29.232
This dissertation develops new econometric procedures for the analysis of high-dimensional
datasets commonly encountered in finance, macroeconomics or industrial organization.
First, I show that traditional approaches to the estimation of latent factors in financial data ...
E Tamer, V Chernozhukov… - Econometric Society 2004 …, 2004 - ideas.repec.org
We provide new methods for inference in econometric models where the parameter of
interest is a set. These models arise in many situations where point identification requires
strong (and sometimes untestable) assumptions. Every parameter vector in the set of ...
[CITATION] FINITE SAMPLE INFERENCE FOR QUANTILE REGRESSION MODELS
VCCHM JANSSON
[CITATION] Symposium on Computation on Nash Equilibria in Finite Games
V Chernozhukov - 2010 - Springer
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 ...
V Chernozhukov, FA Ferrell - 2005 - dspace.mit.edu
In the first essay, we investigate which provisions, among a set of twenty-four governance
provisions followed by the Investor Responsibility Research Center (IRRC), are correlated
with firm value and stockholder returns. Based on this analysis, we put forward an ...
[CITATION] Specification Test Processes for Quantile Regression
Z Nejmeldeen… - 2003
JD Angrist, V Chernozhukov, WK Newey… - 2005 - dspace.mit.edu
This dissertation is a collection of three independent essays in theoretical and applied
econometrics, organized in the form of three chapters. In the first two chapters, I investigate
the properties of parametric and semiparametric fixed effects estimators for nonlinear ...
[CITATION] NONPARAMETRIC INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL QUANTILE EFFECTS
VCPGO SCAILLET - 2009
Abstract. In this paper we introduce various set inference problems as they appear in finance
and propose practical and powerful inferential tools. Our tools will be applicable to any
problem where the set of interest solves a system of smooth estimable inequalities, though ...
C Victor - 2009 - en.scientificcommons.org
V Chernozhukov, R Rigobon… - Quantitative …, 2010 - Wiley Online Library
We give semiparametric identification and estimation results for econometric models with a
regressor that is endogenous, bound censored, and selected; it is called a Tobin regressor.
First, we show that the true parameter value is set-identified and characterize the ...
[CITATION] Quantile IV Methods
CB Hansen,
V Chernozhukov - Annual …, 2012 - … Reviews 4139 El Camino Way, PO …
[CITATION] Topics in Applied Econometrics
V Chernozhukov… - Journal of Econometrics, 1988
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