Biography

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

• K. Sonin's livejournal
• ArXiv

Research in Econometrics

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.

Rearrangements

• 1. "Improving Estimates of Monotone Functions by Rearrangement," 2006, with I. Fernadez-Val & A. Galichon.
• 2. "Quantile and Probability Curves without Crossing," 2006, with I. Fernadez-Val & A. Galichon; previous version.
• 3. "Rearranging Edgeworth-Cornish-Fisher Expansions," 2007, with I. Fernadez-Val & A. Galichon.

Setestimation

• 4. "Estimation and Inference on Identified Parameter Sets," 2007, Econometrica, with H. Hong & E. Tamer.
• 5. "Learning and Disagreement in an Uncertain World," 2006, with D. Acemoglu & M. Yildiz.

Laplacian, Bayesian, Mcmc

• 6. "An MCMC Approach to Classical Estimation," 2003, J. Econometrics,  preprint, with H. Hong.
  • Received Zellner Award in 2005.
• 7. "Likelihood Estimation and Inference in Non-regular Econometric Models," 2004,  Econometrica, with H. Hong.
• 8. "Computational Complexity of MCMC-Based Estimators in Large Samples", 2005, with A. Belloni.
• 9. "Posterior Inference for Curved Exponential Families under Increasing Dimension", 2007, with A. Belloni.

• 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.
• 11. "3-step Censored Quantile Regression and Extramarital Affairs," JASA, with H. Hong.
• 12. "Inference on Quantile Regression Processes," 2005, Sankhya, with I. Fernadez-Val.
• 13. "Finite Sample Inference for Quantile Regression," 2008, J. Econometrics, with C. Hansen & M. Jansson.
• 2 . "Quantile and Probability Curves without Crossing," 2006, with I. Fernandez-Val & A. Galichon.
• 14. "Conditional Quantile and Probability Processes under Increasing Dimension," 2007, coming soon, with A. Belloni.
• 15. "Conditional Quantile Processes Based on Series," 2007, coming soon, with A. Belloni.

Endogeneity

• 16.   "Instrumental Quantile Regression: A Robust Inference Approach "J. Econometrics, 2007, with C. Hansen.
  • Programs and files for the paper are deposited here.
• 17.   "An IV Model of Quantile Treatment Effects," 2005, Econometrica; with C. Hansen.
• 18. "Inference on Instrumental Quantile Regression Processes,"  2003, J. Econometrics. with C. Hansen.
• 19. "The Impact of 401K on Savings: an IV-QR Analysis," 2004, Rev. Econ. Stat. with C. Hansen.
• 20. "Nonparametric Identification and Estimation of Non-separable Models,” 2007,  J. Econometrics, with G. Imbens & W. Newey.
• 21. "Admissible Invariant Tests for Instrumental Regression," 2006, with M. Jansson & C. Hansen.
• 22. "Inference Approaches for IV Quantile Regression," Economics Letters, 2007, with M. Jansson & C. Hansen.
• 23. "The Reduced Form: A Simple Approach to Inference with Weak Instruments," with C. Hansen.

Extremes

• 24. "Extremal Quantile Regression," 2005, Annals of Statistics.
• 25. "Inference for Extremal Conditional Quantile Models, with an Application to Birthweights," 2005. 
  • Programs and files for the paper are deposited here.     
• 26. "Extremal Quantiles and Value-at-Risk," 2007, New Palgrave, with S. Du.
  • Programs and files for the paper are deposited here. 
• 7 .  "Likelihood Estimation and Inference in Non-regular Econometric Models," 2004, Econometrica, with H. Hong.
• 27. "Conditional Value-at-Risk: Aspects of Modeling and Estimation," 2001, Empirical Economics, with L. Umantzev.
• 28. "Conditional Extremes and Near-Extremes: Concepts, Estimation, and Economic Applications," 2000.
  • Stanford Ph.D. Dissertation.
• 29. "Nonparametric Extreme Quantile Regression for Boundary Estimation," 1998, Stanford.