Contact Information

Walsh, C.   and Jentsch, C. (2023+), Nearest neighbor matching: M-out-of-N bootstrapping without bias correction vs. the naive bootstrap,  Econometrics and Statistics. Accepted for publication, online version 

Walsh, C.  and Vogt, M. (2023),  Locally Stationary Multiplicative Volatility Modeling, Journal of Business & Economic Statistics, 41 (2), 497 - 508, paper,  code 

Vogt, M.  and  Walsh, C. P. (2019) , Estimating Nonlinear Additive Models with Nonstationarities and Correlated Errors, Scandinavian Journal of Statistics, 46 (1), 160 - 199, paper

CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, with O. Linton, M. Rücker and M. Vogt, revise and re-submit at Quantitative Economics, working paper,  R package

Structural models for policy-making, with P. Eisenhauer, L. Janys and J. Gabler, 2nd round revise and re-submit at International Economic Review, paper

 Weighted bootstrap consistency for matching estimators: the role of bias-correction'', with C. Jentsch and S.T. Hossain,  SFB 823 Discussion Paper 08/2021

Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain the Size Effect?, with G. Cebiroglu and N. Hautsch, working paper 

Resampling based bias-correction for nearest neighbor matching  with C. Jentsch

Inference for High-Dimensional CCE estimator with O. Linton, M. Rücker and M. Vogt

Selecting Relevant Outcomes in Multiple Outcome Treatment Effect Models by Sparse Group LASSO, with L. Janys

R package implementing smooth backfitting algorithm.