Stéphane Bonhomme
CEMFI
- Calle Casado del Alisal 5 - 28014 Madrid - Spain
Phone: +34 914 290 551
- Fax: +34 914 291 056 - E-mail: bonhomme@cemfi.es
NEWS
I was awarded a starting
grant from the European Research Council, for a duration
of five years, starting on January 2011.
BACKGROUND
I did my PhD at CREST and Université Paris I, under the supervision of Jean-Marc Robin.
You can see my CV HERE.
INTERESTS
Labour economics, Microeconometrics, and econometric theory.
With a special interest in
latent variable modelling and panel data.
TEACHING
I teach Econometrics at the
graduate level.
You can see some class
notes at the bottom of this page.
CURRENT
RESEARCH
Working papers
Grouped Patterns of
Heterogeneity in Panel Data (with Elena Manresa)
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.
Stata
code to replicate the results (regressions, trends and maps)
Stata
code to compute the grouped fixed-effects estimator on your data
The Cycle of
Earnings Inequality: Evidence from Spanish Social Security Data (with Laura Hospido).
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
sector.
Nonparametric
Estimation of Finite Mixtures (with Koen
Jochmans and Jean-Marc Robin)
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.
Job Characteristics and Labor Turnover: Assessing the Role of Preferences and
Opportunities in Teacher Mobility (with Grégory
Jolivet and Edwin
Leuven).
Keywords: Compensating wage differentials,
teacher labor market, job mobility, sample selection.
Summary: We propose a method to
estimate teachers' preferences for job amenities
using data on job
changes. We apply it to administrative data from the
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
selection, and 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
publications
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.
Identifying Distributional Characteristics in Random Coefficients
Panel Data Models (with Manuel Arellano).
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.
Penalized Least Squares Methods for Latent Variables 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.
Published papers
Nonlinear
Panel Data Analysis (with Manuel Arellano).
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.
Recovering
Distributions in Difference-in-Differences: A Comparison of Selective and
Comprehensive Schooling (with Ulrich Sauder).
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
Generalized
Nonparametric Deconvolution with an Application to
Earnings Dynamics”(with Jean-Marc Robin).
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.
The Pervasive Absence of Compensating Differentials” (with Grégory Jolivet).
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.
Consistent
Noisy Independent Component Analysis” (with
Jean-Marc Robin).
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.
Robust Priors in Nonlinear Panel Data Models (with Manuel Arellano).
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.
Assessing the Equalizing
Force of Mobility Using Short Panels: France, 1990-2000”(with
Jean-Marc Robin).
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.
Other
Standard Errors Estimation in
Mixtures of Partial Likelihood Models
Keywords: EM algorithm, standard errors.
Summary: A simple method to estimate
asymptotic standard errors of sequential EM estimators,
using the generalized information identity.
CLASS
NOTES
Statistical Methods in Econometrics
4.
Moments
5.
Sampling
7.
Estimation
9.
Regression
Econometrics
1.
Introduction
3.
Maximum
Likelihood and asymptotic tests
5.
Regression
with Dependent Data
6.
Endogeneity
7.
Generalized
Method of Moments
8.
Limited
Dependent Variables
A
gentle introduction to quantile regression