We propose new concepts of statistical depth, multivariate quantiles,ranks and signs, based on canonical transportation maps between a distributionof interest on IRd and a reference distribution on the d-dimensionalunit ball. The new depth concept, called Monge-Kantorovich depth, specializesto...

In this paper we develop procedures to make inference in regression models about how potential policy interventions affect the entire distribution of an outcome variable of interest. These policy interventions consist of counterfactual changes in the distribution of covariates related to the...

This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in part to marginal effects not being identified. We derive bounds for marginal effects and show that they can tighten...

<p>In this paper we develop procedures for performing inference in regression models about how potential policy interventions affect the entire marginal distribution of an outcome of interest. These policy interventions consist of either changes in the distribution of covariates related to the...</p>

We consider median regression and, more generally, quantile regression in high-dimensional sparse models. In these models the overall number of regressors p is very large, possibly larger than the sample size n, but only s of these regressors have non-zero impact on the conditional quantile of...

We give semiparametric identification and estimation results for econometric models with a regressor that is endogenous, bound censored and selected,called a Tobin regressor. First, we show that true parameter value is set identified and characterize the identification sets. Second, we propose...