We provide an alternative way to model sequential decision processes, which is consistent with the random utility maximization hypothesis and the existence of a representative agent. Our result is stated on terms of a direct utility representation, and it does not depend on parametric assumptions.

We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. Thereafter, we suggest consistent estimators for...

In this paper, we explore partial identification and inference for the quantile of treatment effects for randomized experiments. First, we propose nonparametric estimators of sharp bounds on the quantile of treatment effects and establish their asymptotic properties under general conditions....

This paper supplements Manski (1990) and Manski and Pepper (2000) and contributes to the literature by introducing the concept of weak IV for the partially identified mean counterfactual outcomes when an instrumental variable (IV) or a monotone instrumental variable (MIV) is available (IV or MIV...

This paper examines the approaches accounting researchers adopt to draw causal inferences using observational (or nonexperimental) data. The vast majority of accounting research papers draw causal inferences notwithstanding the well-known difficulties in doing so. While some recent papers seek...

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

This paper is concerned with the efficient allocation of a set of financial assets and its successful management. Efficient diversification of investments is achieved by inputing robust pair-copulas based estimates of the expected return and covariances in the mean-variance analysis of...

En este trabajo se analizan y comparan diferentes técnicas para el diseño de clusters no jerárquico. Este análisis resulta interesante pues entre las técnicas comparadas se incluyen la usada por un conocido paquete estadístico y una serie de técnicas novedosas. Entre éstas destacan...

Linear RE models typically possess a multiplicity of solutions. Consider, however, the requirement that the solution coefficients must not be infinitely discontinuous in the model's structural parameters. In particular, we require that the solutions should be continuous in the limit as those...

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.