Research in Econometrics
I would like to gratefully acknowledge the generous research support via the National Science Foundation for the term 2001present, the CastleKrob Career Development Chair for the term 20042007, the Alfred P. Sloan Research Fellowship for the term 20052007, and the Alfred P. Sloan Dissertation Fellowship for the term 19992000. Any opinions, findings and conclusions or recommendations expressed in these materials are those of the authors and do not necessarily reflect the views of the National Science Foundation.
List of Papers by Themes
Most papers appear in a single theme, while several appear in at most two themes, as the numbering indicates; a higher number indicates a more recent paper. For a simple ordered list of papers see Curriculum Vitae.
Big Data: Confidence Bands and Causal Inference
 36. "Sparse Models and Methods for Instrumental Regression, with an Application to Eminent Domain", Arxiv 2010, Econometrica 2012, with A. Belloni, D. Chen, & C. Hansen
 Matlab programs are available via Econometrica
 38. "LASSO Methods for Gaussian Instrumental Variables Models", ArXiv 2010, with A. Belloni & C. Hansen
 Matlab programs are available on request.
 46. "Inference Methods for HighDimensional Sparse Econometric Models", Advances in Economics & Econometrics, ES World Congress 2010, ArXiv 2011, with A. Belloni & C. Hansen
 47. "Inference on Treatment Effects After Selection Amongst HighDimensional Controls (with an Application to Abortion and Crime)," ArXiv 2011, The Review of Economic Studies, 2014, with A. Belloni & C. Hansen
 Stata and Matlab programs are here.
 44. "Pivotal Estimation of Nonparametric Functions via Squareroot Lasso," ArXiv 2010, Annals of Statistics 2014, with A. Belloni & L. Wang
 Matlab programs are available here.
 54. "HighDimensional Methods and Inference on Treatment and Structural Effects in Economics, " 2014, J. Economic Perspectives,
with A. Belloni & C. Hansen
 Stata and Matlab programs are here; and Stata replication code is here
 52. "HighDimensional Sparse Econometrics," 2013, NBER lectures,
 65. "Program Evaluation with HighDimensional Data," ArXiv 2013,
with A. Belloni, C. Hansen, & I. FernandezVal
 Matlab code available on request.
 56. "Uniform Post Selection Inference for LAD regression and Other Zestimation Problems", 2012, forthcoming, Biometrika, with A. Belloni & K. Kato
 Matlab code available on request.
 60. "Robust Inference in Approximately Sparse Quantile Regression Models (with an Application to Malnutrition)" , ArXiv 2014, with A. Belloni & K. Kato
 Matlab programs are available on request.
 55. "Honest Confidence Regions for Logistic Regression with a Large Number of Controls", ArXiv 2013, with A. Belloni & Y. Wei
 Matlab code available on request.
 50. "Central Limit Theorems and Multiplier Bootstrap when p is Much Larger Than n", ArXiv 2012, Annals of Statistics 2013, with D. Chetverikov & K. Kato
 57. "Comparison and AntiConcentration Bounds for Maxima of Gaussian Random Vectors", ArXiv 2013, Prob. Theory Rel. Fields 2015, with D Chetverikov & K. Kato
 53. "Testing (Very) Many Moment Inequalities", ArXiv 2013, with D. Chetverikov & K. Kato
Big Data: Prediction Methods
 27. "HighDimensional Sparse Econometric Models, an Introduction", 2009, Springer Lecture Notes, with A. Belloni
 Matlab programs are available on request
 26. "L1Penalized Quantile Regression in HighDimensional Sparse Models" Arxiv 2009, Annals of Statistics 2011, with A. Belloni
 R program is here and Matlab program is here
 30. "Least Squares after Model Selection in HighDimensional Sparse Models", ArXiv 2009, Bernoulli 2013, with A. Belloni
 29. "Squareroot Lasso: Pivotal Recovery of Sparse Signals via Conic Programming", 2010, Biometrika 2011, with A. Belloni & L. Wang
 Matlab programs are available here
HighDimensional Models
 35. "Intersection Bounds: Estimation and Inference," 2013, Econometrica , with S. Lee & A. Rosen
 39. "Conditional Quantile Processes Based on Series and Many Regressors (with an Application to Gasoline Demand)," 2009, under revision for Econometrica, with A. Belloni and I. FernandezVal
 R programs available on request
 41. "Computational
Complexity of MCMCBased Estimators in Large Samples", 2009, Annals of Statistics, with A. Belloni
 49. "Gaussian Approximation to Suprema of Empirical Processes", 2014, Annals of Statistics, with D. Chetverikov and K. Kato
 45. "AntiConcentration and Adaptive Honest Confidence Bands," 2014, Annals of Statistics, with D. Chetverikov and K. Kato
 59. "(Some) New Asymptotics for Least Squares Series Estimators", 2013, revised for Journal of Econometrics, with A. Belloni, D. Chetverikov, and K. Kato
Policy Analysis
 65. "Program Evaluation with HighDimensional Data" 2013,
with A. Belloni, C. Hansen, and I. FernandezVal
 Matlab codes available on request
 47. "Inference on Treatment Effects After Selection Amongst HighDimensional Controls (with an Application to Abortion and Crime)," 2011, The Review of Economic Studies, with A. Belloni and C. Hansen
 Stata and Matlab programs are available here
 54. "HighDimensional Methods and Inference on Treatment and Structural Effects in Economics " 2014, J. Economic Perspectives,
with A. Belloni and C. Hansen
 Stata and Matlab programs are here, and Stata replication code at JEP is here
 34. "Inference on Counterfactual Distributions,"2013, Econometrica , with I. FernandezVal & B. Melly
 Stata programs are available here
 11. "Subsampling Inference
on Quantile Regression Processes (with an Application to Reemployment Experiment)," 2005, Sankhya, with I. FernandezVal
 R programs are available here
 6. "The Impact of 401K on Savings: an IVQR Analysis," 2004, Rev. Econ. Stat., with C. Hansen
Shape Restrictions
Partial Identification and Inference on Sets
 16. "Estimation and Inference on
Identified Parameter Sets," 2007, Econometrica, with H. Hong & E. Tamer
 42. "Inference on Sets in Finance," 2012, with E. Kocatulum and K. Menzel
 Matlab programs are available on request
 43. "Best Linear Approximations to SetIdentified Functions (with an Application to Gender Wage Gap)", 2012, with A. Chandraksekhar, F. Molinari, and P. Schrimpf
 Matlab programs are available here
 53. "Testing (Very) Many Moment Inequalities", 2013,with D. Chetverikov and K. Kato
 35. "Intersection Bounds: Estimation and Inference," 2013, Econometrica , with S. Lee & A. Rosen
 58. "Implementing Intersection Bounds in Stata", 2013, with W. Kim, S. Lee & A. Rosen
 31. "Average and Quantile Effects in Non separable Panel Data Models," 2013, Econometrica , with I. FernandezVal & J. Hahn & W. Newey
 R programs are available via Econometrica
 17.
"Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics, 2007, with C. Hansen
 Matlab programs are available here
 18. "Finite
Sample Inference for Quantile Regression Models," 2008, J. Econometrics, with C. Hansen & M. Jansson
 Matlab programs are available here
 33. "Fragility of Agreement under Bayesian Learning," 2008, under revision for Theoretical Economics, with D. Acemoglu & M. Yildiz
 32. "Learning and Disagreement in an Uncertain World," 2006,with D. Acemoglu & M. Yildiz
 24. "Sensitivity Analysis and Set Identification with Tobin Regressors", 2010, Quantitative Economics, with T. Stoker & R. Rigobon
Laplacian and Bayesian Inference
 4.
"An MCMC Approach to Classical Estimation," 2003, J. Econometrics,
with H. Hong
 5.
"Likelihood Estimation and Inference in Nonregular Econometric Models," 2004, Econometrica, with H. Hong
 20. "Computational
Complexity of MCMCBased Estimators in Large Samples", 2009, Annals of Statistics, with A. Belloni
 28. "Posterior Inference for Curved Exponential Families under Increasing Dimension", 2014, Econometrics J., with A. Belloni
 14. "Bayesian Econometrics", International Encyclopedia of Social Sciences, 2008
Quantiles and Multivariate Quantiles
 10. "Quantile
Regression under Misspecification and the U.S. Wage
Structure,"2006, Econometrica, with J. Angrist & I. FernandezVal
 R programs are available here
 3. "3step Censored Quantile Regression and Extramarital
Affairs," J. Amer. Stat. Association, with H. Hong
 Stata programs are available here
 11. "Subsampling Inference
on Quantile Regression Processes (with an Application to Reemployment Experiment)," 2005, Sankhya, with I. FernandezVal
 R programs are available here
 23. "Quantile and Probability Curves without Crossing," 2010, Econometrica, with I. FernandezVal & A. Galichon
 R programs are available here
 26. "l1Penalized Quantile Regression in HighDimensional Sparse Models" 2010, Annals of Statistics , with A. Belloni
 R and Matlab programs are available on request.
 39. "Conditional Quantile Processes Based on Series and Many Regressors (with an Application to Gasoline Demand)," 2011, revised for Econometrica, with A. Belloni and I. FernandezVal
 R programs are available on request
 61. "Nonparametric Identification in Panels Using Quantiles", revised for J. Econometrics, with I. Fernandezval, W. Newey, H. Holzmann, S. Hoderlein
 62. "Vector/Multivariate Quantile Regression", 2013, with G. Carlier and A. Galichon
 63. "Identifying MultiAttributed Hedonic Models", 2014, with A. Galichon and M. Henry
 64. "Empirical Vector/Multivariate Quantiles", 2010, with A. Galichon
Endogeneity
 7. "An IV
Model of Quantile Treatment Effects," 2005, Econometrica; with C. Hansen
 Matlab and Stata programs are available here
 51. "Quantile Models with Endogeneity", 2013, Annual Review of Economics, with C. Hansen
 Matlab and Stata programs are available here
 6.
"The Impact of 401K on Savings: an IVQR Analysis," 2004, Rev. Econ. Stat., with C. Hansen
 Matlab and Stata programs are available here
 37. "Local Identification for SemiParametric and Nonparametric Models", 2014, Econometrica, with X. Chen, S. Lee, W. Newey
 17.
"Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics, 2007, with C. Hansen
 Matlab and Stata programs are available here
9. "Inference on the Instrumental Quantile Regression Process for Structural and Treatment Effect Models," 2003, J.
Econometrics, with C. Hansen
 Matlab and Stata programs are available here
 19. "Admissible Invariant Tests for Instrumental Regression," 2009, Econometric Theory, with M. Jansson & C. Hansen
 13. "Inference Approaches for IV Quantile Regression," Economics Letters, 2007, with M. Jansson & C. Hansen
 15. "The Reduced Form: A Simple Approach to Inference with Weak Instruments," Economics Letters, 2008, with C. Hansen
 Stata programs are available here<
 40. "Quantile Regression with Censoring and Endogeneity ", 2010, revised for J. Econometrics , with A. Kowalski & I. FernandezVal
 Stata programs are available here
Extremes and NonRegular Models

25. "Inference for Extremal Conditional Quantile Models, with an Application to
Market and Birthweight Risks," The Review of Economic Studies, 2011, with I. FernandezVal
 R programs are available here
 5. "Likelihood Estimation and Inference in Nonregular Econometric Models," 2004, Econometrica, with H. Hong
 8. " Extremal
Quantile Regression," 2005, Annals of Statistics
 R programs are available here
 12. "Extremal Quantiles and ValueatRisk," 2007, New Palgrave,
with S. Du
 R programs are available here
 2. "Conditional
ValueatRisk: Aspects of Modeling and Estimation," 2001, Empirical Economics, with L. Umantzev
 1. "Conditional Extremes and
NearExtremes: Concepts, Estimation, and Economic Applications," 2000, Stanford Ph.D. Dissertation