- Calle Casado del Alisal 5 - 28014 Madrid - Spain
Phone: +34 914 290 551 - Fax: +34 914 291 056 - E-mail: firstname.lastname@example.org
I will be a professor at the University of Chicago, starting November 2013.
I was awarded a starting grant from the European Research Council, for a duration of five years, starting on January 2011.
I did my PhD at CREST and Université Paris I, under the supervision of Jean-Marc Robin.
You can see my CV HERE.
Labour economics, Microeconometrics, and econometric theory.
With a special interest in latent variable modelling and panel data.
I teach Econometrics at the graduate level.
You can see some class notes at the bottom of this page.
Keywords: Discrete heterogeneity, panel data, fixed effects, democracy.
Summary: We propose an alternative to fixed-effects estimation in linear panel data regression
that allows for group-level time-varying unobservables. We use this approach to document
the evolution of income and democracy in the last part of the XXth century.
Keywords: Earnings Inequality, Social Security data, Unemployment, Business cycle.
Summary: We use Spanish Social Security data to document the evolution of earnings
inequality since the end of the 1980's. Male inequality is strongly countercyclical,
and partly reflects the effects of the housing boom and bust on the construction
A complement of the paper using tax data is:
Applied Economics, 45, 4212-4225.
Keywords: finite-mixture model, nonparametric estimation, series expansion.
Summary: We develop a practical procedure to nonparametrically estimate finite mixture
models from data on repeated measurements.
Keywords: labor turnover, compensating differentials, sample selection.
Summary: We propose a method to estimate workers' preferences for job amenities
using data on job changes. We apply it to administrative data on Dutch primary
Quantile Selection Models (with Manuel Arellano).
Keywords: Quantile regression, sample selection, gender wage gap, copula.
Summary: We propose a method to correct quantile regression estimates for sample
apply it to study wage and employment in the
Random-Effects Quantile Regression (with Manuel Arellano)
Keywords: Panel data, quantile regression, Expectation-Maximization.
Summary: We introduce a class of linear quantile regression estimators for panel data.
Our correlated random-effects approach relies on additional layers of quantile
regressions as a flexible tool to model conditional distributions.
Forthcoming in Econometrica (Final version: October 2011).
Keywords: Panel data, incidental parameters, inverse problems.
Summary: We propose a general method (a ``nonlinear within transformation'') to difference
out the individual fixed effects in likelihood-based panel data models.
Forthcoming in the Review of Economic Studies (Final version: June 2011).
Keywords: Panel data, random coefficients, multiple effects, nonparametric identification.
Summary: We provide identification results and construct estimators for variances, and
more generally densities, of individual fixed effects in linear panel data models.
Discussion of papers prepared for the World
Congress of the Econometric Society (
Keywords: Latent variables models, lasso, penalization.
Summary: A discussion of papers by Susanne Schennach and Victor Chernozhukov,
where we apply a penalized least squares (``lasso'') density estimator to a
simple measurement error model.
Annual Review of Economics, 3, 395-424.
Keywords: Panel data, incidental parameters, partial identification.
Summary: A survey of recent advances in panel data, including a discussion of the
computation of random-effects estimators, and partial identification.
Review of Economics and Statistics, 93(2), 479–494, May 2011.
Keywords: Selective education, difference-in-differences, treatment effects, quantiles.
Summary: We introduce a method to estimate distributions of potential outcomes in
difference-in-differences models, and study the effect of selective secondary
education in the
Review of Economic Studies, 77(2), 491-533, April 2010.
Keywords: Factor models, nonparametric deconvolution, earnings dynamics.
Summary: We propose a nonparametric estimator of factor distributions in linear factor
independent factor models. We use it to estimate the distribution of earnings
shocks in a simple permanent/transitory model, on PSID data.
Journal of Applied Econometrics, 24(5), 763-795, June 2009.
Keywords: Compensating wage differentials, job mobility, amenities.
Summary: We build and estimate a structural job search model of wages, non-wage
amenities, and job mobility on European data. We find strong preferences
for some amenities, which are not reflected in wage/amenity correlations.
Journal of Econometrics, 149(1), 12-25, April 2009.
Keywords: Factor analysis, Independent Component Analysis, higher-order moments.
Summary: We propose a method to estimate linear independent factor models using
higher-order moments, and apply it to schooling data on test scores, and to
the Fama-French data on stock returns.
Gauss codes for the ``quasi-JADE'' estimator.
Econometrica, 77(2), 489-536, March 2009.
Keywords: Panel data, integrated likelihood, bias reduction
Summary: We show under which condition integrated likelihood estimators reduce first-
order bias on common parameters and average marginal effects. Our framework
covers fixed-effects, random-effects, and Bayesian approaches as special cases.
Review of Economic Studies, 76(1), 63-92, January 2009.
Keywords: Inequality, mobility, earnings dynamics, copula.
Summary: We build a model of earnings dynamics that combines a flexible modelling of the
marginal distributions (inequality) with a tight parameterization of the dynamics (mobility),
and use it to compute inequality in Present Values. We estimate the model on the French
Labor Force Survey.
Keywords: EM algorithm, standard errors.
Summary: A simple method to estimate asymptotic standard errors of sequential EM estimators,
using the generalized information identity.
Statistical Methods in Econometrics
A gentle introduction to quantile regression