This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ^n, its...

This paper examines the asymptotic behavior of the posterior distribution of a possibly nondifferentiable function g(θ), where θ is a finite-dimensional parameter of either a parametric or semiparametric model. The main assumption is that the distribution of a suitable estimator θ^n, its...

This paper uses an Empirical Bayes approach to estimate the conditional mean function of a Poisson regression model, evaluated at counterfactual values of time-invariant unobserved covariates. The application that motivates and illustrates the methods developed herein is the use of deadly force...

Wie könnte die Alterssicherung im Jahr 2030 aussehen? Diese Arbeit verbindet die privaten Haushalte, den Produktionssektor, die Rentenversicherung und die Bevölkerungsentwicklung in einem allgemeinen Gleichgewichtsmodell und analysiert die makroökonomischen Auswirkungen des demographischen...

We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression. First, we propose a higher-order analytical framework for comparing competing estimators in small samples and assessing the accuracy of common inference procedures. Our framework...

I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price index. I extend the model which was previously suggested as a model for inflation forecasting in the USA to take into account a possible difference in model parameters and...

We present a signalling theory of Quantitative Easing (QE) at the zero lower bound on the short term nominal interest rate. QE is effective because it generates a credible signal of low future real interest rates in a time consistent equilibrium. We show these results in two models. One has...

We find that, for sufficiently risk-averse agents, strict dominance by pure or mixed actions coincides with dominance by pure actions in the sense of Börgers (1993), which, in turn, coincides with the classical notion of strict dominance by pure actions when preferences are asymmetric. Since...

We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression. First, we propose a higher-order analytical framework for comparing competing estimators in small samples and assessing the accuracy of common inference procedures. Our framework...