Details about Manuel Arellano

Homepage:	http://www.cemfi.es/~arellano/
Phone:	+34 914 290 551
Postal address:	CEMFI Casado del Alisal 5 28014 Madrid, Spain
Workplace:	Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC)

Access statistics for papers by Manuel Arellano.

Last updated 2023-06-07. Update your information in the RePEc Author Service.

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Working Papers

2024

1. Estimating Flexible Income Processes from Subjective Expectations Data: Evidence from India and Colombia
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Papers, CEMFI (2024)
2. Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
   Post-Print, HAL View citations (4)
   Also in Working Papers, CEMFI (2023) View citations (3)
   TSE Working Papers, Toulouse School of Economics (TSE) (2023) View citations (3)
   CeMMAP working papers, Institute for Fiscal Studies (2023) View citations (3)
   See also Journal Article Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence, Journal of Econometrics, Elsevier (2024) View citations (4) (2024)

2021

3. Income Risk Inequality: Evidence from Spanish Administrative Records
   Working Papers, Banco de España View citations (7)
   Also in IFS Working Papers, Institute for Fiscal Studies (2021) View citations (7)
   Working Papers, CEMFI (2021) View citations (7)
   See also Journal Article Income risk inequality: Evidence from Spanish administrative records, Quantitative Economics, Econometric Society (2022) View citations (5) (2022)

2020

4. Recovering Latent Variables by Matching
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
   Also in Working Papers, CEMFI (2019)
   Papers, arXiv.org (2019)
   See also Journal Article Recovering Latent Variables by Matching, Journal of the American Statistical Association, Taylor & Francis Journals (2023) (2023)

2017

5. Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
   Working Papers, CEMFI View citations (13)
   Also in CeMMAP working papers, Institute for Fiscal Studies (2016)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (1)
   Working Papers, CEMFI (2016) View citations (1)
   See also Journal Article Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models, Annual Review of Economics, Annual Reviews (2017) View citations (13) (2017)
6. Sample Selection in Quantile Regression: A Survey
   Working Papers, CEMFI View citations (5)

2016

7. Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
   Working Papers, CEMFI View citations (6)
   Also in Working Papers, CEMFI (2015) View citations (6)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (6)
   CeMMAP working papers, Institute for Fiscal Studies (2015)
   IZA Discussion Papers, Institute of Labor Economics (IZA) (2015) View citations (6)
   IFS Working Papers, Institute for Fiscal Studies (2015) View citations (6)
   See also Journal Article Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework, Econometrica, Econometric Society (2017) View citations (172) (2017)
8. Quantile Selection Models with an Application to Understanding Changes in Wage Inequality
   Working Papers, CEMFI
   Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (3)
   See also Journal Article Quantile Selection Models With an Application to Understanding Changes in Wage Inequality, Econometrica, Econometric Society (2017) View citations (71) (2017)

2015

9. Nonlinear Panel Data Estimation via Quantile Regression
   Working Papers, CEMFI View citations (7)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (7)
   CeMMAP working papers, Institute for Fiscal Studies (2015)
   See also Journal Article Nonlinear panel data estimation via quantile regressions, Econometrics Journal, Royal Economic Society (2016) View citations (55) (2016)

2009

10. Identifying Distributional Characteristics in Random Coefficients Panel Data Models
    Working Papers, CEMFI View citations (4)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (15)
    See also Journal Article Identifying Distributional Characteristics in Random Coefficients Panel Data Models, The Review of Economic Studies, Review of Economic Studies Ltd (2012) View citations (87) (2012)
11. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article Underidentification?, Journal of Econometrics, Elsevier (2012) (2012)
12. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2007

13. Robust priors in nonlinear panel data models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
    Also in Working Papers, CEMFI (2006) View citations (3)
    See also Journal Article Robust Priors in Nonlinear Panel Data Models, Econometrica, Econometric Society (2009) View citations (111) (2009)

2006

14. A Likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects
    Working Papers, CEMFI View citations (37)
    See also Journal Article A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects, Global Economic Review, Taylor & Francis Journals (2016) View citations (28) (2016)

2005

15. Understanding Bias in Nonlinear Panel Models: Some Recent Developments
    Working Papers, CEMFI View citations (23)

2004

16. Robust Likelihood Estimation of Dynamic Panel Data Models
    Working Papers, CEMFI View citations (70)
    See also Journal Article Robust likelihood estimation of dynamic panel data models, Journal of Econometrics, Elsevier (2022) View citations (8) (2022)

2003

17. Modelling Optimal Instrumental Variables for Dynamic Panel Data Models
    Working Papers, CEMFI View citations (41)
    See also Journal Article Modelling optimal instrumental variables for dynamic panel data models, Research in Economics, Elsevier (2016) View citations (19) (2016)

2001

18. Discrete Choices with Panel Data
    Working Papers, CEMFI View citations (2)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2001) View citations (2)
    See also Journal Article Discrete choices with panel data, Investigaciones Economicas, Fundación SEPI (2003) View citations (64) (2003)
19. Learning About Migration Decisions from the Migrants: Using Complementary Datasets to Model Intra-Regional Migrations in Spain
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Learning about migration decisions from the migrants: Using complementary datasets to model intra-regional migrations in Spain, Journal of Population Economics, Springer (2002) View citations (33) (2002)
20. Sargan's Instrumental Variable Estimation and GMM
    Working Papers, CEMFI
21. The Distribution of Earnings in Spain During the 1980s: The Effects of Skill, Unemployment and Union Power
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Working Papers, Banco de España (2000) View citations (4)

2000

22. Panel Data Models: Some Recent Developments
    Working Papers, CEMFI View citations (24)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (31)
    See also Chapter Panel data models: some recent developments, Handbook of Econometrics, Elsevier (2001) View citations (293) (2001)

1999

23. Learning about Migration Decisions from the Migrants. An Exercise in Endogenous Sampling and Complementary Datasets
    Working Papers, Banco de España

1998

24. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    Working Papers, CEMFI View citations (15)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1998) View citations (22)
    See also Journal Article The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators, Econometrica, Econometric Society (2003) View citations (400) (2003)
25. Unemployment Duration, Benefit Duration and the Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (5)
    See also Journal Article Unemployment Duration, Benefit Duration and the Business Cycle, Economic Journal, Royal Economic Society (2002) View citations (194) (2002)

1997

26. Authoregressive Models with Sample Selectivity for Panel Data
    Working Papers, CEMFI View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (23)
27. Estimating Dynamic Limited Dependent Variable Model from Panel Data
    Working Papers, CEMFI View citations (2)
28. Unemployment Duration, Benefit Duration, and the Business Cycle.Versión Revisada
    Working Papers, CEMFI

1996

29. Binary Choice Panel Data Models with Predetermined Variables
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (17)
    See also Journal Article Binary choice panel data models with predetermined variables, Journal of Econometrics, Elsevier (2003) View citations (93) (2003)
30. Binary Panel Data Models with Predetermined Variables Out of Print
    Working Papers, CEMFI View citations (5)
31. Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data
    Working Papers, CEMFI View citations (55)
    See also Journal Article Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (338) (1999)

1994

32. Female Labour Force Participation in the 1980's: The Case of Spain
    Working Papers, Banco de España View citations (1)
    See also Journal Article Female labour force participation in the 1980s: the case of Spain, Investigaciones Economicas, Fundación SEPI (1995) View citations (19) (1995)

1991

33. On the Testing of Correlated Effects with Panel Data
    Working Papers, CEMFI View citations (2)
    See also Journal Article On the testing of correlated effects with panel data, Journal of Econometrics, Elsevier (1993) View citations (154) (1993)

1990

34. Another Look at the Instrumental Variable Estimation of Error-Components Models
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (15)
    See also Journal Article Another look at the instrumental variable estimation of error-components models, Journal of Econometrics, Elsevier (1995) View citations (10140) (1995)
35. Female Labour Supply and On-the-Job Search: An Empirical Model Estimated using Complementary Data Sets
    CEP Discussion Papers, Centre for Economic Performance, LSE
    See also Journal Article Female Labour Supply and On-the-Job Search: An Empirical Model Estimated Using Complementary Data Sets, The Review of Economic Studies, Review of Economic Studies Ltd (1992) View citations (193) (1992)

1989

36. A NOTE ON THE ANDERSON-HSIAO ESTIMATOR FOR PANEL DATA
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (145)
    See also Journal Article A note on the Anderson-Hsiao estimator for panel data, Economics Letters, Elsevier (1989) View citations (151) (1989)

Journal Articles

2024

1. Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
   Journal of Econometrics, 2024, 240, (2) View citations (4)
   See also Working Paper Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence, Post-Print (2024) View citations (4) (2024)

2023

2. Recovering Latent Variables by Matching
   Journal of the American Statistical Association, 2023, 118, (541), 693-706
   See also Working Paper Recovering Latent Variables by Matching, CeMMAP working papers (2020) (2020)

2022

3. Income risk inequality: Evidence from Spanish administrative records
   Quantitative Economics, 2022, 13, (4), 1747-1801 View citations (5)
   See also Working Paper Income Risk Inequality: Evidence from Spanish Administrative Records, Working Papers (2021) View citations (7) (2021)
4. Robust likelihood estimation of dynamic panel data models
   Journal of Econometrics, 2022, 226, (1), 21-61 View citations (8)
   See also Working Paper Robust Likelihood Estimation of Dynamic Panel Data Models, Working Papers (2004) View citations (70) (2004)

2019

5. GMM Estimation from Incomplete and Rotating Panels
   Annals of Economics and Statistics, 2019, (134), 5-42 View citations (1)

2018

6. Nonlinear Persistence and Partial Insurance: Income and Consumption Dynamics in the PSID
   AEA Papers and Proceedings, 2018, 108, 281-86 View citations (9)

2017

7. Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
   Econometrica, 2017, 85, 693-734 View citations (172)
   See also Working Paper Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework, Working Papers (2016) View citations (6) (2016)
8. Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models
   Annual Review of Economics, 2017, 9, (1), 471-496 View citations (13)
   See also Working Paper Nonlinear Panel Data Methods for Dynamic Heterogeneous Agent Models, Working Papers (2017) View citations (13) (2017)
9. Quantile Selection Models With an Application to Understanding Changes in Wage Inequality
   Econometrica, 2017, 85, 1-28 View citations (71)
   See also Working Paper Quantile Selection Models with an Application to Understanding Changes in Wage Inequality, Working Papers (2016) (2016)

2016

10. A likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects
    Global Economic Review, 2016, 45, (3), 251-274 View citations (28)
    See also Working Paper A Likelihood-Based Approximate Solution to the Incidental Parameter Problem in Dynamic Nonlinear Models with Multiple Effects, Working Papers (2006) View citations (37) (2006)
11. Modelling optimal instrumental variables for dynamic panel data models
    Research in Economics, 2016, 70, (2), 238-261 View citations (19)
    See also Working Paper Modelling Optimal Instrumental Variables for Dynamic Panel Data Models, Working Papers (2003) View citations (41) (2003)
12. Nonlinear panel data estimation via quantile regressions
    Econometrics Journal, 2016, 19, (3), C61-C94 View citations (55)
    See also Working Paper Nonlinear Panel Data Estimation via Quantile Regression, Working Papers (2015) View citations (7) (2015)

2014

13. UNCERTAINTY, PERSISTENCE, AND HETEROGENEITY: A PANEL DATA PERSPECTIVE
    Journal of the European Economic Association, 2014, 12, (5), 1127-1153 View citations (15)

2012

14. Identifying Distributional Characteristics in Random Coefficients Panel Data Models
    The Review of Economic Studies, 2012, 79, (3), 987-1020 View citations (87)
    See also Working Paper Identifying Distributional Characteristics in Random Coefficients Panel Data Models, Working Papers (2009) View citations (4) (2009)
15. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper Underidentification?, CeMMAP working papers (2009) (2009)

2011

16. Nonlinear Panel Data Analysis
    Annual Review of Economics, 2011, 3, (1), 395-424 View citations (67)

2009

17. Robust Priors in Nonlinear Panel Data Models
    Econometrica, 2009, 77, (2), 489-536 View citations (111)
    See also Working Paper Robust priors in nonlinear panel data models, CeMMAP working papers (2007) View citations (2) (2007)

2007

18. Comments on: Panel data analysis—advantages and challenges
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (1), 23-27

2003

19. Binary choice panel data models with predetermined variables
    Journal of Econometrics, 2003, 115, (1), 125-157 View citations (93)
    See also Working Paper Binary Choice Panel Data Models with Predetermined Variables, Working Papers (1996) View citations (17) (1996)
20. Discrete choices with panel data
    Investigaciones Economicas, 2003, 27, (3), 423-458 View citations (64)
    See also Working Paper Discrete Choices with Panel Data, Working Papers (2001) View citations (2) (2001)
21. The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators
    Econometrica, 2003, 71, (4), 1121-1159 View citations (400)
    See also Working Paper The Time Series and Cross-Section Asymptotics of Dynamic Panel Data Estimators, Working Papers (1998) View citations (15) (1998)

2002

22. Learning about migration decisions from the migrants: Using complementary datasets to model intra-regional migrations in Spain
    Journal of Population Economics, 2002, 15, (2), 357-380 View citations (33)
    See also Working Paper Learning About Migration Decisions from the Migrants: Using Complementary Datasets to Model Intra-Regional Migrations in Spain, CEPR Discussion Papers (2001) View citations (3) (2001)
23. Sargan's Instrumental Variables Estimation and the Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 450-59 View citations (26)
24. Unemployment Duration, Benefit Duration and the Business Cycle
    Economic Journal, 2002, 112, (479), 223-265 View citations (194)
    See also Working Paper Unemployment Duration, Benefit Duration and the Business Cycle, CEPR Discussion Papers (1998) View citations (14) (1998)

1999

25. Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data
    Journal of Business & Economic Statistics, 1999, 17, (1), 36-49 View citations (338)
    See also Working Paper Symmetrically Normalized Instrumental-Variable Estimation Using Panel Data, Working Papers (1996) View citations (55) (1996)

1997

26. Editorial Announcement
    The Review of Economic Studies, 1997, 64, (4), 485
27. Estimating limited dependent variable models from panel data
    Investigaciones Economicas, 1997, 21, (2), 141-166 View citations (27)

1995

28. Another look at the instrumental variable estimation of error-components models
    Journal of Econometrics, 1995, 68, (1), 29-51 View citations (10140)
    See also Working Paper Another Look at the Instrumental Variable Estimation of Error-Components Models, CEP Discussion Papers (1990) View citations (15) (1990)
29. Female labour force participation in the 1980s: the case of Spain
    Investigaciones Economicas, 1995, 19, (2), 171-194 View citations (19)
    See also Working Paper Female Labour Force Participation in the 1980's: The Case of Spain, Working Papers (1994) View citations (1) (1994)

1994

30. Editorial Announcements
    The Review of Economic Studies, 1994, 61, (3), i

1993

31. On the testing of correlated effects with panel data
    Journal of Econometrics, 1993, 59, (1-2), 87-97 View citations (154)
    See also Working Paper On the Testing of Correlated Effects with Panel Data, Working Papers (1991) View citations (2) (1991)

1992

32. Female Labour Supply and On-the-Job Search: An Empirical Model Estimated Using Complementary Data Sets
    The Review of Economic Studies, 1992, 59, (3), 537-559 View citations (193)
    See also Working Paper Female Labour Supply and On-the-Job Search: An Empirical Model Estimated using Complementary Data Sets, CEP Discussion Papers (1990) (1990)
33. On exogeneity and identifiability
    Investigaciones Economicas, 1992, 16, (3), 401-409

1991

34. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
    The Review of Economic Studies, 1991, 58, (2), 277-297 View citations (16455)

1990

35. Imhof Approximations to Econometric Estimators
    The Review of Economic Studies, 1990, 57, (4), 627-646 View citations (1)
36. La econometría de datos de panel
    Investigaciones Economicas, 1990, 14, (1), 3-45 View citations (70)
37. Testing for Autocorrelation in Dynamic Random Effects Models
    The Review of Economic Studies, 1990, 57, (1), 127-134 View citations (16)

1989

38. A note on the Anderson-Hsiao estimator for panel data
    Economics Letters, 1989, 31, (4), 337-341 View citations (151)
    See also Working Paper A NOTE ON THE ANDERSON-HSIAO ESTIMATOR FOR PANEL DATA, Economics Series Working Papers (1989) View citations (145) (1989)
39. An efficient GLS estimator of triangular models with covariance restrictions
    Journal of Econometrics, 1989, 42, (2), 267-273 View citations (4)
40. On the efficient estimation of simultaneous equations with covariance restrictions
    Journal of Econometrics, 1989, 42, (2), 247-265 View citations (2)

1987

41. Computing Robust Standard Errors for Within-Groups Estimators
    Oxford Bulletin of Economics and Statistics, 1987, 49, (4), 431-34 View citations (693)

Books

2003

1. Panel Data Econometrics
   OUP Catalogue, Oxford University Press View citations (1063)

1996

2. Duración del desempleo, duración de las prestaciones y ciclo económico
   Estudios Económicos, Banco de España
   Also in Estudios Económicos, Banco de España (1996) View citations (12)

Edited books

2013

1. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
2. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (589)
3. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
4. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
5. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)
6. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (588)

Chapters

2001

1. Panel data models: some recent developments
   Chapter 53 in Handbook of Econometrics, 2001, vol. 5, pp 3229-3296 View citations (293)
   See also Working Paper Panel Data Models: Some Recent Developments, CEMFI (2000) View citations (24) (2000)