Welcome to Victor Chernozhukov's Homepage

Appointments

Department of Economics and Operations Research Center, MIT
CEMMAP, University College of London

Education

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

Awards and Honors

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

Favorite Reads

Research in Econometrics

Themes	Papers
High-Dimensional Inference	1 2 3 4 5 6 7
Policy Analysis	8 9 10
Shape Restrictions	11 12 13
Set Inference	4 14 15 16 17 18 19
Laplacian and Bayesian Inference	1 3 20 21 22
Quantiles	2 5 9 12 23 24 25
Endogeneity	10 26 27 28 29 30 31 32
Extremes	21 33 34 35 36 37 38

Co-Authors
D. Acemoglu; J. Angrist; A. Belloni; S. Du; I. Fernandez-Val; A. Galichon; C. Hansen; H. Hong; G. Imbens; M. Jansson; W. Newey ; E. Tamer; L. Umantzev; M. Yildiz

Funding Acknowledgments

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.

High-Dimensional Inference

1. "Computational Complexity of MCMC-Based Estimators in Large Samples",2009, Annals of Statistics, forthcoming, with A. Belloni.
2. "L1-Penalized Quantile Regression in High-Dimensional Sparse Models" 2009, Submitted, with A. Belloni.
3. "Posterior Inference for Curved Exponential Families under Increasing Dimension", 2007, with A. Belloni.
4. "Interesection Bounds: Estimation and Inference," 2009, with S. Lee & A. Rosen
5. "Conditional Quantile Processes under Increasing Dimension," 2007, with A. Belloni.
6. "Conditional Quantile Processes Based on Series," 2007, with A. Belloni.
7. "Linearized Quantile Maps and Wasserstein Distance," 2009, with A. Galichon

Policy Analysis

8. "Inference on Counterfactual Distributions," 2009, Submitted, with I. Fernandez-Val & B. Melly
- Programs and files for the paper are available on request
9. "Inference on Quantile Regression Processes," 2005, Sankhya, with I. Fernadez-Val.
10. "The Impact of 401K on Savings: an IV-QR Analysis," 2004, Rev. Econ. Stat. with C. Hansen.

Shape Restrictions

11. "Improving Point and Interval Estimates of Monotone Functions by Rearrangement," 2006, Biometrika, forthcoming, with I. Fernadez-Val & A. Galichon.
12. "Quantile and Probability Curves without Crossing," 2006, with I. Fernadez-Val & A. Galichon; under revision for Econometrica, previous version.
13. "Rearranging Edgeworth-Cornish-Fisher Expansions," 2009, Economic Theory, forthcoming, with I. Fernadez-Val & A. Galichon.

Set Inference

14. "Estimation and Inference on Identified Parameter Sets," 2007, Econometrica, with H. Hong & E. Tamer.
15. "Fragility of Agreement under Bayesian Learning," 2008, under revision for Theoretical Economics, with D. Acemogly & M. Yildiz.
16. "Learning and Disagreement in an Uncertain World," 2006, with D. Acemoglu & M. Yildiz.
4. "Interesection Bounds: Estimation and Inference," 2009, with S. Lee & A. Rosen
18. "Identification and Estimation of Marginal Effects in Nonlinear Panel Data Models", 2009, Submitted, with I. Fernandez-Val & J. Hahn & W. Newey
17. "Set Identification with Tobin Regressors", 2009, with T. Stoker & R. Rigobon
19. "Infrence on Sets in Finance," 2008, with E. Kokatulum and K. Menzel.

Laplacian and Bayesian Inference

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

Quantiles

23. "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.
24. "3-step Censored Quantile Regression and Extramarital Affairs," J. Amer. Stat. Association, with H. Hong.
25. "Finite Sample Inference for Quantile Regression," 2008, J. Econometrics, with C. Hansen & M. Jansson.
9. "Inference on Quantile Regression Processes," 2005, Sankhya, with I. Fernadez-Val.
12. "Quantile and Probability Curves without Crossing," 2006, under revision for Econometrica, with I. Fernandez-Val & A. Galichon.
2. "l1-Penalized Quantile Regression in High-Dimensional Sparse Models" 2009, Submitted, with A. Belloni.
5. "Conditional Quantile and Probability Processes under Increasing Dimension," 2007, coming soon, with A. Belloni.
6. "Conditional Quantile Processes Based on Series," 2007, coming soon, with A. Belloni.

Endogeneity

26. "Instrumental Quantile Regression: A Robust Inference Approach "J. Econometrics, 2007, with C. Hansen.
- Programs and files for the paper are deposited here.
27. "An IV Model of Quantile Treatment Effects," 2005, Econometrica; with C. Hansen.
28. "Inference on Instrumental Quantile Regression Processes," 2003, J. Econometrics. with C. Hansen.
10. "The Impact of 401K on Savings: an IV-QR Analysis," 2004, Rev. Econ. Stat. with C. Hansen.
29. "Nonparametric Identification and Estimation of Non-separable Models,” 2007, J. Econometrics, with G. Imbens & W. Newey.
30. "Admissible Invariant Tests for Instrumental Regression," 2009, Econometric Theory, with M. Jansson & C. Hansen.
31. "Inference Approaches for IV Quantile Regression," Economics Letters, 2007, with M. Jansson & C. Hansen.
32. "The Reduced Form: A Simple Approach to Inference with Weak Instruments," Economics Letters, 2008, with C. Hansen.

Extremes

33. "Extremal Quantile Regression," 2005, Annals of Statistics.
34. "Inference for Extremal Conditional Quantile Models, with an Application to Birthweights," under revision for Review of Economic Studies, 2005.
- Programs and files for the paper are deposited here.
35. "Extremal Quantiles and Value-at-Risk," 2007, New Palgrave, with S. Du.
- Programs and files for the paper are deposited here.
21. "Likelihood Estimation and Inference in Non-regular Econometric Models," 2004, Econometrica, with H. Hong.
36. "Conditional Value-at-Risk: Aspects of Modeling and Estimation," 2001, Empirical Economics, with L. Umantzev.
37. "Conditional Extremes and Near-Extremes: Concepts, Estimation, and Economic Applications," 2000.
- Stanford Ph.D. Dissertation.
38. "Nonparametric Extreme Quantile Regression for Boundary Estimation," 1998, Stanford.