Manuel Arellano

Manuel Arellano

Professor of Econometrics

CEMFI - Casado del Alisal 5 - 28014 Madrid - Spain
Tel: +34 914290551 - e-mail: arellano [at] cemfi.es


Curriculum Vitae (pdf file)
Recent Papers

Course Materials

Book

DPD, Data sets

Recent Discussions

Some pictures

Other Writings

Short Biography:  English and Spanish Links
CEMFI's quad and Ph.D. area, circa 1900 Tweets




Links

Bedriska Trio

Econometric Society
Journal of Applied Econometrics

European Economic Association

Review of Economic Studies Asociación Española de Economía

Institute for Fiscal Studies, cemmap

COST Network, RTN Microdata

Economic Policy, CEPR

Nuffield College

SHARE, Barcelona GSE

Olympia Bover

EDIRC: Spain Continents, Top IDEAS

Banco de España (BDE Research)


Links to Conferences

EEA-ESEM, Toulouse, 25-29 August 2014, WebM
XXXIX Simposio de Análisis Económico, Palma de Mallorca, 11-13 Diciembre 2014
European Winter Meeting of the Econometric Society, Madrid, 15-16 December 2014





Recent Papers

"Underidentification?" (with Lars Peter Hansen and Enrique Sentana). Appeared in Journal of Econometrics, 170, 2012. Earlier material:  Presidential Address at SAE, Sevilla, December 11, 2003. July 1999 version.

"Identifying Distributional Characteristics in Random Coefficients Panel Data Models" (with Stéphane Bonhomme). Appeared in Review of Economic Studies, 79, 2012. Earlier version: CEMFI Working Paper no. 0904, July 2009. Supplementary Appendix. We are interested in the heterogeneous effect of x on y, when x is endogenously selected. We show how to nonparametrically identify and estimate the distribution of the effect from panel data, and apply our method to study the effect of smoking during pregnancy on weight at birth.

"Nonlinear Panel Data Analysis" (with Stéphane Bonhomme). Appeared in Annual Review of Economics, 3, 2011.

"Robust Priors in Nonlinear Panel Data Models" (with Stéphane Bonhomme), CEMFI, July 2006. Appeared in Econometrica, 77, 2009. Supplementary Appendix.

"A Likelihood-based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects" (with Jinyong Hahn), October 2006. Supplementary Appendix.

"Understanding Bias in Nonlinear Panel Models: Some Recent Developments" (with Jinyong Hahn), Invited Lecture, Econometric Society World Congress, London, August 2005. Slides. Revised version.

"Robust Likelihood Estimation of Dynamic Panel Data Models" (with Javier Alvarez), CEMFI Working Paper no. 0421, 2004.

"Paro y prestaciones: nuevos resultados para España" (with Samuel Bentolila and Olympia Bover), Banco de España, Documento Ocasional no. 0410. Appeared in: J.Pérez, C.Sebastián, and P.Tedde (eds.): Políticas, Mercados e Instituciones Económicas, Estudios en Homenaje a Luis Ángel Rojo, Volume 1, Editorial Complutense, Madrid, 2004.

"Modelling Optimal Instrumental Variables for Dynamic Panel Data Models", Econometrics Invited Lecture, European Meeting of the Econometric Society, Venice, August 2002. CEMFI Working Paper no. 0310.

"Sargan's Instrumental Variable Estimation and GMM", CEMFI Working Paper no. 0110, 2001. Appeared in Journal of Business & Economic Statistics, 20, 2002. This paper surveys the work of Denis Sargan on instrumental variable estimation and its connections with the generalized method of moments.

"Discrete Choices with Panel Data", Investigaciones Económicas Lecture, XXV Simposio de Análisis Económico, Bellaterra, December 2000. Appeared in Investigaciones Económicas, 27, 2003. Revised: July 2003. Addendum: "The Cox-Reid modified score: a comment".

"Panel Data Models: Some Recent Developments" (with Bo Honoré), prepared for J. Heckman and E. Leamer (eds.): Handbook of Econometrics, Volume 5, 2001. (CEMFI Working Paper no. 0016.)

"Learning About Migration Decisions From the Migrants" (with Olympia Bover), Banco de España, Servicio de Estudios, Working Paper no. 9908. Appeared in Journal of Population Economics, 15, 2002. Awarded the Kuznets Prize for the best article published in the Journal of Population Economics during the period 2001-2003. March 1999 version.

"The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators" (with Javier Alvarez) (Old version: CEMFI Working Paper no. 9808). Appeared in Econometrica, 71, 2003.

"The Distribution of Earnings in Spain During the 1980s: The Effects of Skill, Unemployment, and Union Power" (with Olympia Bover and Samuel Bentolila), Banco de España, Servicio de Estudios, Working Paper no. 0015. Appeared in D. Cohen, T. Piketty and G. Saint-Paul (eds.): The Economics of Rising Inequalities, Oxford University Press and CEPR,  2002.

"Binary Panel Data Models with Predetermined Variables" (with Raquel Carrasco), CEMFI Working Paper no. 9618. Appeared in Journal of Econometrics, 115, 2003.

"Unemployment Duration, Benefit Duration, and the Business Cycle" (with Olympia Bover and Samuel Bentolila). (Old versions: CEMFI Working Paper no. 9717 ; and CEPR Discussion Paper no. 1840.) Appeared in The Economic Journal, 112, 2002.

"Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data" (with César Alonso-Borrego). March 1998 Pre-publication version. Appeared in Journal of Business & Economic Statistics, 17, 1999.





Book

  Panel Data Econometrics, Oxford University Press: Advanced Texts in Econometrics, 2003.
  Table of Contents, Summaries of Chapters, Errata.

Data used in the book

Estimating and Testing VARs for Firm Employment and Wages (Section 6.7): DPD data files are in CAlonMA.zip.

Estimating the Effect of Fertility on Female Labour Participation (Section 8.6): DPD data files are in RCarrCh.zip.

Other data

(In "Modelling Optimal Instrumental Variables for Dynamic Panel Data Models", CEMFI WP 0310)

VAR for Firm Panel Data (longer panel, section 8.1): DPD data files are in BovWatSIV.zip.

Estimating Country Growth Convergence Rates (section 8.3): DPD data files are in GrowthSIV.zip.


St Dominic and the Albigenses: A 1480 painting by Pedro Berruguete of St Dominic checking for heresy by burning books (Museo del Prado).


Recent Discussions

Comments on "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates Approach" by Doppelhofer, Miller, and Sala-i-Martin, CREI/European Commission Workshop, UPF, Barcelona, June 5, 2000.

Comments on "Marginal Mean Models for Dynamic Regimes" by Murphy, van der Laan, Robins, and CPPRG, The Ninth International Conference on Panel Data, Geneva, June 22, 2000.

Endogeneity and Instruments in Nonparametric Models, Comments to papers by Darolles, Florens & Renault, and Blundell & Powell, Econometric Society 8th World Congress, Seattle, August 11, 2000. Revised: October 2001. Appeared in M. Dewatripont, L. P. Hansen, and S. J. Turnovsky (eds.): Advances in Economics and Econometrics, Eighth World Congress, Volume 2, Cambridge University Press, 2003.

Comments on "A Cross-Country Comparison of Labor Market Frictions" by G. Ridder and G. van den Berg, Banco de Portugal Conference on Labor Market Institutions and Economic Outcomes, Cascais, June 4, 2001.

Comments on "The Returns to Job Mobility during the Transition: Evidence from Czech Retrospective Data" by D. Münich, J. Svejnar, and K. Terrell, CREI Conference on Unemployment in Transition Economies, UPF, Barcelona, October 27, 2001.

Comments on "Wage Bargaining with On-the-job Search: A Structural Econometric Model" by P. Cahuc, F. Postel-Vinay, and J.-M. Robin, Banco de Portugal Conference on Labour Market Reform, Santa Maria do Bouro, June 1, 2003.

Comments on "Is Tomorrow Another Day? The Labor Supply of New York City Cab Drivers" by Henry S. Farber, 1st International Conference on Advances in Economic Research, Universidad de Navarra, Pamplona, October 24, 2003.

Comments on "Research, Innovation and Productivity in Four European Countries" by  R. Griffith, E. Huergo, J. Mairesse, and B. Peters, 5th Meeting of Group on Innovation and Employment in European Firms, Universidad Carlos III de Madrid, June 25, 2004.

Comments on "The Effect of College Curriculum on Earnings: Accounting for Non-Ignorable Non-Response Bias" by D. Hamermesh and S. Donald, Banco de Portugal Conference on European Labour Markets and Education, Quinta do Lago, May 21, 2005.

Comments on “Evaluation of Currency Regimes: The Unique Role of Sudden Stops” by Assaf Razin and Yona Rubinstein, 41st Economic Policy Panel Meeting, European Investment Bank, Luxembourg, April 16, 2005. Appeared in Economic Policy, 45, 2006.

Comments on “Has the Inflation Process Changed?” by Stephen Cecchetti and Guy Debelle, 42nd Economic Policy Panel Meeting, Bank of England, London, October 21, 2005. Appeared in Economic Policy, 46, 2006.

Comments on "New Evidence on the Causal Link between the Quantity and Quality of Children" by J. Angrist, V. Lavy, and A. Schlosser, and "Dynamic Models for Policy Evaluation" by Costas Meghir, CREST Conference on Econometric Evaluation of Public Policies: Methods and Applications, Paris, December 15, 2005.

Comments on “FDI and the Dark Side of Decentralization” by Sebastian Kessing, Kai Konrad, and Christos Kotsogiannis, 43rd Economic Policy Panel Meeting, Oesterreichische Nationalbank, Vienna, April 22, 2006. Appeared in Economic Policy, 49, 2007.

Comments on "Two Problems of Partial Identification with Panel Data" by C. Manski, 13th Conference on Panel Data, Cambridge, July 8, 2006.

Comments on “Should we have a WTO for International Migration” by Timothy J. Hatton, 44th Economic Policy Panel Meeting, Bank of Finland, Helsinki, October 21, 2006. Appeared in Economic Policy, 50, 2007.

Discussion: "Panel Data Analysis - Advantages and Challenges" by Cheng Hsiao, November 2006. Appeared in: Test, Journal of the Spanish Statistical Society, 16, 2007.

Comments on "Consumption and Investment Motives in Housing Wealth Accumulation of Spanish Households" by Arrondel, Badenes, and Spadaro, Banco de España Conference on Household Finances and Housing Wealth, Madrid, April 24, 2007.

Comments on "Quasi-Experimental Evidence on the Effects of Unemployment Insurance from New York State" by Bruce Meyer and Wallace Mok, Banco de Portugal Conference on Unemployment, Quinta do Lago, June 10, 2007.

Comments on “Micro and Macro Elasticities in a Life Cycle Model With Taxes” by Richard Rogerson and Johanna Wallenius, Conference on the Macroeconomics of Labor Markets in the US and Europe, Fundación Ramón Areces, Madrid, May 10, 2008.

Comments on "Compensating Wage Differentials for the Timing of Work: Continuous versus Split Work Shifts in Spain" by Catalina Amuedo-Dorantes and Sara de la Rica, COSME Workshop, Banco de España, Madrid, June 1, 2009.





Other Writings

Choosing to be a social scientist in Spain, COSME Newsletter, December 2013.

La renta de los hogares españoles en el preludio de la crisis (con O. Bover). Publicado en: M. Lucena y R. Repullo (eds.): Ensayos sobre Economía y Política Económica: Homenaje a Julio Segura, Antoni Bosch editor, Barcelona, 2013.

La burbuja inmobiliaria: causas y responsables (con S. Bentolila), La Crisis de la Economía Española: Lecciones y Propuestas, FEDEA, 2009. Artículo en El País, 22 de febrero de 2009.

The Euro Area Household Finance and Consumption Project: Discussion,  ECB-CFS Conference, Frankfurt, September 4, 2008.

Comments on Publishing in Economics, Women in Economics (WinE) Workshop on Successful Publishing, EEA-ESEM, Budapest, August 2007.

Empirical Evaluation of Public Policies: The Pursuit of Causality, HPE/REP Lecture, XII Encuentro de Economía Pública, Palma de Mallorca, 4 February  2005.

The origins of the Econometric Society in Spain, February 2005.

Instrumentos óptimos en el análisis de datos de panel con una aplicación a los determinantes del crecimiento económico, Conferencia inaugural, VI Encuentro de Economía Aplicada, Granada, 5 de junio de 2003.

Matching, Body Weight, and the Academic Success of CEMFI Students. A skit (in Spanish) on a Master's thesis project, Skit Show, CEMFI, 29 April 2003.

La Medición Empírica en el Análisis Económico y Social, Conferencia, Semana de la Ciencia Madrid 2002, Universidad de Alcalá, 6 de noviembre de 2002.

Lagrange Multiplier Test, Entry for An Eponymous Dictionary of Economics, J. Segura and C. Rodríguez Braun (eds.), Edward Elgar, 2004.

Nobel 2000, Artículo en El País, 12 de octubre de 2000.

Al filo del cese de un investigador (con S. Bentolila), Artículo en El País, 4 de julio de 1998.

Review of C. F. Manski, Analog Estimation Methods in Econometrics, The Economic Journal, 99, December 1989, p. 1244.





  DPD

DPD98 for Gauss

"Dynamic Panel Data Estimation Using DPD98 for Gauss" by Manuel Arellano and Stephen Bond, December 1998.

You can download two ZIP-files dpd98.zip and xdata.zip. This is not yet the final version but it is close to it.

The file dpd98.zip contains DPD98.RUN, DPD98.PRG and DPD98.FNS.

The file xdata.zip contains XDATA.DAT, XDATA.DHT, AUXDATA.DAT and AUXDATA.DHT, which are the example data files described in the manual.
 

DPD for Ox

"Panel Data Estimation Using DPD for Ox" by Jurgen A. Doornik, Manuel Arellano, and Stephen Bond, June 1999.




Course Materials
Microeconometrics

Program Evaluation Methods

Panel Data Econometrics

Nonlinear Panel Data Models


Class Notes

Generalized Method of Moments and Optimal Instruments

GMM with Nonsmooth Moments

Instrumental Variables in a Market Model

Cluster-robust standard errors

Static Panel Data Models

Dynamic Panel Data Models I: Covariance Structures and Autoregressions

Dynamic Panel Data Models II: Lags and Predetermined Variables

Estimating and Testing VARs for Firm Employment and Wages

Linear Panels and Random Coefficients

Nonlinear Panel Data Models

Binary Models with Endogenous Explanatory Variables

Duration Models

Quantile Methods

Tobit and Selection Models (Slides)

Econometric Methods of Program Evaluation

LATE in Binary Choice




Some Pictures

At UIMP, Sevilla, 1999

Burgazada, 2008
At CEMFI Xmas Party with Michael, 2000

First PhD defense CEMFI-UIMP, 2009

At CEMFI with Ph.D. Students, 2004 Talking econometrics with Stéphane, 2010
Doctoral lunch at UC3M, 2005 Getting a PhD, 2011



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