Max H. Farrell

Associate Professor of Econometrics and Statistics
University of Chicago Booth School of Business

Curriculum Vitae in PDF
Google Scholar

Email: max.farrell@chicagobooth.edu
Phone: 773-834-0161
5807 South Woodlawn Avenue
Chicago, IL 60637

Teaching

• Applied Regression Analysis (BUS 41100) | Course page | Syllabus | Homework Zero | Old course website (pre-COVID)

Software

• binsreg: Binscatter regressions. Website | CRAN | Software Article | Implements paper 10
• lspartition: Partitioning-based least squares regression methods. Website | CRAN | Software Article | Implements papers 2 & 8
• nprobust: Kernel density and local polynomial regression methods. Website | CRAN | Software Article | Implements papers 4 & 11
• rdrobust: Inference in regression discontinuity designs. Website | CRAN | Software Article | Implements papers 5 & 7

Working Papers

12. Deep Learning for Individual Heterogeneity | PDF
    • with Tengyuan Liang and Sanjog Misra
11. Coverage Error Optimal Confidence Intervals for Local Polynomial Regression | PDF
    • with Sebastian Calonico and Matias Cattaneo
    • Implemented in R and Stata as part of nprobust
10. On Binscatter | PDF | Replication files
    • with Matias Cattaneo, Richard Crump, and Yingjie Feng
    • Implemented in R and Stata as binsreg

Publications

9. Deep Neural Networks for Estimation and Inference | PDF
   • with Tengyuan Liang and Sanjog Misra
   • Econometrica, forthcoming
8. Large Sample Properties of Partitioning-Based Series Estimators | PDF | Replication files
   • with Matias Cattaneo and Yingjie Feng
   • Annals of Statistics, 2020
   • Implemented in R as lspartition
7. Optimal Bandwidth Choice for Robust Bias Corrected Inference in Regression Discontinuity Designs | PDF
   • with Sebastian Calonico and Matias Cattaneo
   • Econometrics Journal, 2020
   • Implemented in R and Stata as part of rdrobust
6. Characteristic-Sorted Portfolios: Estimation and Inference | PDF | Replication files
   • with Matias Cattaneo, Richard Crump, and Ernst Schaumburg
   • Review of Economics and Statistics, 2020
5. Regression Discontinuity Designs Using Covariates | PDF | Supplement | Replication files
   • with Sebastian Calonico, Matias Cattaneo, and Rocio Titiunik
   • Review of Economics and Statistics, 2019
   • Implemented in R and Stata as part of rdrobust
4. On the Effect of Bias Estimation on Coverage Accuracy in Nonparametric Inference | PDF
   • with Sebastian Calonico and Matias Cattaneo
   • Journal of the American Statistical Association, 2018
   • Implemented in R and Stata as nprobust
3. Robust Inference on Average Treatment Effects with Possibly More Covariates than Observations | PDF | Replication files
   • Journal of Econometrics, 2015 (Corrigendum to JoE version)
2. Optimal Convergence Rates, Bahadur Representation, and Asymptotic Normality of Partitioning Estimators | PDF | Supplement
   • with Matias Cattaneo
   • Journal of Econometrics, 2013
   • Implemented in R as lspartition
1. Efficient Estimation of the Dose Response Function under Ignorability using Subclassification on the Covariates | PDF
   • with Matias Cattaneo
   • Advances in Econometrics, 2011