Appointments

• Professor, Department of Economics, MIT, USA
• Affiliated Professor, Operations Research Center, MIT, USA
• Professor by Courtesy, New Economic School, Russia

Education

• Ph.D. 2000 Stanford (Economics)
• M. S. 1997 University of Illinois at Urbana-Champaign (Statistics)

Awards and Honors

• Cowles Lecture, Inaugural Speaker, 2009
• Fellow of Econometric Society, 2009
• International Fellow, UCL Cemmap
• Castle-Krob Career Development Chair, 2004-2007
• Alfred P. Sloan Research Fellowship, 2005-2007
• Arnold Zellner Award, 2005
• Alfred P. Sloan Dissertation Fellowship, 1999-2000

CV

• Curriculum Vitae

Research in Econometrics

Themes

• High-Dimensional Sparse Models
• High-Dimensional Models
• Policy Analysis
• Shape Restrictions
• Partial Identification and Set Inference
• Laplacian and Bayesian Inference
• Quantiles
• Endogeneity
• Extremes and Nonregular Models

Acknowledgments of Research Funding

• The support via the Castle-Krob Career Development Chair for the term 2004-2007 is gratefully acknowledged.
• The Alfred P. Sloan Research Fellowship for the term 2005-2007 is gratefully acknowledged.
• The Alfred P. Sloan Dissertation Fellowship for the term 1999-2000 is gratefully acknowledged.
• The National Science Foundation Funding on nearly all papers is gratefully acknowledged. 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 and the cookie indicate recency. The two papers listed below without links are available via e-mail. Programming software for most papers is also available on request. For a simple ordered list of papers see Curriculum Vitae.

High-Dimensional Sparse Models

• 47. "Inference on Treatment Effects After Selection Amongst High-Dimensional Controls, with an Application to Abortion and Crime," 2011, with A. Belloni and C. Hansen
• 36. "Sparse Models and Methods for Instrumental Regression, with an Application to Eminent Domain", 2010, under revision for Econometrica, with A. Belloni, D. Chen, & C. Hansen
• 46. "Inference Methods for High-Dimensional Sparse Econometric Models", 2011, Advances in Economics and Econometrics, 10th World Congress, with A. Belloni & C. Hansen
• 27. "High-Dimensional Sparse Econometric Models, an Introduction", 2011, Springer Lecture Notes, with A. Belloni and C. Hansen
• 38. "LASSO Methods for Gaussian Instrumental Variables Models", 2010, under revision for Econometrics Journal , with A. Belloni & C. Hansen
• 26. "L1-Penalized Quantile Regression in High-Dimensional Sparse Models" 2011, Annals of Statistics, with A. Belloni
• 30. "Least Squares after Model Selection in High-Dimensional Sparse Models", 2011, accepted at Bernoulli, with A. Belloni
• 29. "Square-root Lasso: Pivotal Recovery of Sparse Signals via Conic Programming", 2011, Biometrika , with A. Belloni & L. Wang
  • Software for Square-root Lasso can be downloaded here.
• 44. "Pivotal Estimation of Nonparametric Functions via Square-root Lasso ", 2011, with A. Belloni & L. Wang
  • Software for Square-root Lasso can be downloaded here.

High-Dimensional Models

• 35. "Intersection Bounds: Estimation and Inference," 2009, under revision for Econometrica , with S. Lee & A. Rosen
  • Software for Intersection Bounds available on request
• 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. Fernandez-Val
  • Software for Uniform Inference on Quantile Processes available on request
• 41. "Computational Complexity of MCMC-Based Estimators in Large Samples", 2009, Annals of Statistics, with A. Belloni
• 45. "Anti-Concentration and Adaptive Honest Confidence Bands," 2011, with K. Kato

Policy Analysis

• 34. "Inference on Counterfactual Distributions," 2009, revised for Econometrica , with I. Fernandez-Val & B. Melly
  • Software for Counterfactual Analysis can be downloaded here
• 11. "Subsampling Inference on Quantile Regression Processes (with an Application to Reemployment Experiment)," 2005, Sankhya, with I. Fernandez-Val
  • Software for Subsampling Inference can be downloaded here
• 6. "The Impact of 401K on Savings: an IV-QR Analysis," 2004, Rev. Econ. Stat., with C. Hansen

Shape Restrictions

• 23. "Quantile and Probability Curves without Crossing," 2010, with I. Fernandez-Val & A. Galichon; Econometrica, previous version
  • Software for Monotonization of Quantiles can be downloaded here
• 21. "Improving Point and Interval Estimates of Monotone Functions by Rearrangement," 2009, Biometrika, with I. Fernandez-Val & A. Galichon.
  • Software for Rearrangement can be downloaded here
• 22. "Rearranging Edgeworth-Cornish-Fisher Expansions," 2010, Economic Theory, with I. Fernandez-Val & A. Galichon.

Partial Identificaton and Set Inference

• 16. "Estimation and Inference on Identified Parameter Sets," 2007, Econometrica, with H. Hong & E. Tamer
• 35. "Intersection Bounds: Estimation and Inference," 2009, under revision for Econometrica , with S. Lee & A. Rosen
  • Software for Intersection Bounds available on request
• 17.  "Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics, 2007, with C. Hansen
  • Programs and files for the paper are deposited here.
• 18. "Finite Sample Inference for Conditional Quantile Models," 2008, J. Econometrics, with C. Hansen & M. Jansson
  • Programs and files for the paper are deposited 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
• 31. "Average and Quantile Effects in Non separable Panel Data Models," 2010, revised for Econometrica , with I. Fernandez-Val & J. Hahn & W. Newey
• 24. "Sensitivity Analysis and Set Identification with Tobin Regressors", 2010, Quantitative Economics, with T. Stoker & R. Rigobon
• 42. "Inference on Sets in Finance," 2008, with E. Kocatulum and K. Menzel
• 43. "Best Linear Approximations to Set-Identified Functions", 2010, with A. Chandraksekhar, F. Molinari, and P. Schrimpf

Laplacian and Bayesian Inference

• 4. "An MCMC Approach to Classical Estimation," 2003, J. Econometrics, with H. Hong
  • Received Zellner Award in 2005.
• 5. "Likelihood Estimation and Inference in Non-regular Econometric Models," 2004,  Econometrica, with H. Hong
• 20. "Computational Complexity of MCMC-Based Estimators in Large Samples", 2009, Annals of Statistics, with A. Belloni
• 28. "Posterior Inference for Curved Exponential Families under Increasing Dimension", 2007, with A. Belloni
• 14. "Bayesian Econometrics", International Encyclopedia of Social Sciences, 2008

• 10. "Quantile Regression under Misspecification and the U.S. Wage Structure,"2006, Econometrica, with J. Angrist & I. Fernandez-Val
  • Programs and files for the paper are deposited here
• 3. "3-step Censored Quantile Regression and Extramarital Affairs," J. Amer. Stat. Association, with H. Hong
  • Software for 3-step CQR can be downloaded here
• 11. "Subsampling Inference on Quantile Regression Processes (with an Application to Reemployment Experiment)," 2005, Sankhya, with I. Fernandez-Val
  • Software for Subsampling Inference can be downloaded here
• 23. "Quantile and Probability Curves without Crossing," 2010, Econometrica, with I. Fernandez-Val & A. Galichon
  • Software for Monotonization of Quantiles can be downloaded here
• 26. "l1-Penalized Quantile Regression in High-Dimensional Sparse Models" 2010, Annals of Statistics , with A. Belloni
• 39. "Conditional Quantile Processes Based on Series and Many Regressors (with an Application to Gasoline Demand)," 2011, under revision for Econometrica, with A. Belloni and I. Fernandez-Val
  • Software for Uniform Inference on Quantile Processes available on request

Endogeneity

• 7.  "An IV Model of Quantile Treatment Effects," 2005, Econometrica; with C. Hansen
• 37. "Local Identification for Semi-Parametric and Non-parametric Models", 2010, under revision for Econometrica, with X. Chen, S. Lee, W. Newey
• 17.  "Instrumental Quantile Regression: A Robust Inference Approach " J. Econometrics, 2007, with C. Hansen
  • Programs and files for the paper are deposited here
  9. "Inference on Instrumental Quantile Regression Processes,"  2003, J. Econometrics, with C. Hansen
• 6. "The Impact of 401K on Savings: an IV-QR Analysis," 2004, Rev. Econ. Stat., with C. Hansen
• 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
• 40. "Quantile Regression with Censoring and Endogeneity ", 2010, submitted, with A. Kowalski & I. Fernandez-Val
  • Software for CQIV can be downloaded here

Extremes and Non-Regular Models

• 25. "Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks," The Review of Economic Studies, 2011, with I. Fernandez-Val  
  • Programs and files for the paper are deposited here     
• 5. "Likelihood Estimation and Inference in Non-regular Econometric Models," 2004, Econometrica, with H. Hong
• 8. " Extremal Quantile Regression," 2005, Annals of Statistics
• 12. "Extremal Quantiles and Value-at-Risk," 2007, New Palgrave, with S. Du
  • Programs and files for the paper are deposited here. 
• 2. "Conditional Value-at-Risk: Aspects of Modeling and Estimation," 2001, Empirical Economics, with L. Umantzev
• 1. "Conditional Extremes and Near-Extremes: Concepts, Estimation, and Economic Applications," 2000
  • Stanford Ph.D. Dissertation.