Tim Christensen

Assistant Professor
Department of Economics
New York University

Curriculum Vitae

Working Papers

‚ÄčMCMC Confidence Sets for Identified Sets
(w/ X. Chen, K. O'Hara, and E. Tamer)
revise and resubmit at Econometrica
Abstract: It is often hard to determine whether or not parameters in nonlinear econometric models are point identified. We provide computationally attractive procedures to construct confidence sets for identified sets of parameters by Monte Carlo simulations from a quasi posterior. To justify our procedures, we establish new Bernstein-von Mises theorems for the posterior distribution of the QLR and profile QLR under partial identification.

Published or Forthcoming Papers

Nonparametric Stochastic Discount Factor Decomposition
accepted for publication in Econometrica
replication files

Optimal Sup-norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
(w/ X. Chen)
accepted for publication in Quantitative Economics
replication files

Nonparametric Identification of Positive Eigenfunctions
Econometric Theory, 2015, Vol. 31(6), 1310-1330

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions
(w/ X. Chen)
Journal of Econometrics, 2015, Vol. 188(2), 447-465

Forecasting Spikes in Electricity Prices
(w/ S. Hurn and K. Lindsay)
International Journal of Forecasting, 2012, Vol. 28(2), 400-411

Detecting Common Dynamics in Transitory Components
(w/ S. Hurn and A. Pagan)
Journal of Time Series Econometrics, 2011, Vol. 3(1), Article 3