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econ.EM2026
Maximum score and non-smooth M-estimators with multiway dependence
Harold D. Chiang, Ahnaf Rafi
Under i.i.d. sampling, the maximum score estimator of Manski (1975) converges at the cube-root rate to a non-Gaussian limit. We show that, under multiway dependence and low-level c…
econ.EM2026
Panel Quantile Regression with Common Shocks
Harold D. Chiang, Antonio F. Galvao, Chia-Min Wei
This paper develops an asymptotic and inferential theory for fixed-effects panel quantile regression (FEQR) that delivers inference robust to pervasive common shocks. Such shocks i…
econ.EM2026
Cross-Fitting-Free Debiased Machine Learning with Multiway Dependence
Kaicheng Chen, Harold D. Chiang
This paper develops an asymptotic theory for two-step debiased machine learning (DML) estimators in generalised method of moments (GMM) models with general multiway clustered depen…