Research Interests
Econometric Theory, Microeconometrics
Biography
- ERC Starting Grant: Inference in Microeconometric Models, 2017-2021
- J.M. Keynes Fellowship, 2017-2021
- Denis Sargan Prize, 2013
- Associate Editor for Journal of Econometrics, 2017-2019
- Associate Editor for Journal of Business & Economic Statistics, 2017-present
- Associate Editor for Journal of Applied Econometrics, 2019-present
Selected Publications
Published Papers
Jochmans, K. A Portmanteau Test for Serial Correlation in Short Panels, Econometric Theory, forthcoming (2020)Jochmans, K. and Verardi, V. twexp and twgravity: Fitting Exponential Regression Models with Two-way Fixed Effects, Stata Journal vol 20(2) (2020) pp. 468-480
Jochmans, K. and Verardi, V. xtserialpm: A Portmanteau Test for Serial Correlation in a Linear Panel Model, Stata Journal vol 20(1) (2020) pp. 149-161
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with many Covariates, Journal of the American Statistical Association (2020)
Jochmans, K. Testing for Correlation in Error‐Component Models, Journal of Applied Econometrics (2020)
Jochmans, K. and Otsu, T. Likelihood Corrections for Two-way Models, Annals of Economics and Statistics no. 134 (2019) pp. 227-242
Jochmans, K. and Weidner, M. Fixed-Effect Regressions on Network Data, Econometrica vol 87(5) (2019) pp. 1543-1560
Jochmans, K. Semiparametric Analysis of Network Formation, Journal of Business and Economic Statistics vol 36(4) (2018) pp. 705-713
Jochmans, K. and Magnac, T. A Note on Sufficiency in Binary Panel Models, Econometrics Journal vol 20(2) (2017) pp. 259-269
Cambridge Working Papers in Economics
Jochmans, K. Heteroskedasticity-Robust Inference in Linear Regression Models with Many Covariates, (2020) CWPE2033Jochmans, K. Testing Random Assignment to Peer Groups, (2020) CWPE2024
Jochmans, K., Verardi, V. Instrumental-Variable Estimation of Gravity Equations, (2019) CWPE1994
Jochmans, K. Testing for Correlation in Error-Component Models, (2019) CWPE1993
Dhaene, G., Jochmans, K. Profile-Score Adjustments for Incidental-Parameter Problems, (2019) CWPE1959
Recent Activities
Econometric Methods for Modern Data Structures
This is an European Research Council (ERC) event co-sponsored by Cambridge-INET and Centre for Microdata Methods and Practice (Cemmap). The event is taking place at Trinity Hall Cambridge.
Event Date - Thursday 28th May 2020
Research Grants
Inference in Microeconometric Models (MiMo) (European Research Council (ERC), Starting Grant)
Teaching
MPhil R300 - Advanced Econometric Methods
PhD Students
Supervisor
Cheuk Fai Ng
PhD Title:
Research: Relevance of High Dimensional Methods in Fixed-Effect Model: A Meta Analysis
PhD Title:
Research: Relevance of High Dimensional Methods in Fixed-Effect Model: A Meta Analysis
Advisor
Shuyi Ge
PhD Title: Financial networks and risk spillovers
Research: Financial Econometrics, Asset Pricing, Network, and Machine Learning
PhD Title: Financial networks and risk spillovers
Research: Financial Econometrics, Asset Pricing, Network, and Machine Learning
