Microscopic simulation models are often evaluated based on visual inspection of the results.This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data.A related result is a methodology to compare different MS models with each other.For...

We introduce generalized Probability-Probability (P-P) plots in order to study the one-sample goodness-of-fit problem and the two-sample problem, for real valued data.These plots, that are constructed by indexing with the class of closed intervals, globally preserve the properties of classical...

Consider the extreme quantile region, induced by the halfspace depth function HD, of the form Q = fx 2 Rd : HD(x; P) g, such that PQ = p for a given, very small p 0. This region can hardly be estimated through a fully nonparametric procedure since the sample halfspace depth is 0 outside the...

We consider both a parametric and a semiparametric method to account for classification errors on the dependent variable in an ordered response model. The methods are applied to the analysis of self-reported speaking fluency of male immigrants in Germany. We find some substantial differences in...

The Expectation-Maximization (EM) algorithm is a well-established estimation procedure which is used in many domains of econometric analysis. Recent application in a discrete choice framework (Train, 2008) facilitated estimation of latent class models allowing for very exible treatment of...

An elliptical copula model is a distribution function whose copula is that of an elliptical distri- bution. The tail dependence function in such a bivariate model has a parametric representation with two parameters: a tail parameter and a correlation parameter. The correlation parameter can be...

In this paper we maximize the efficiency of a multivariate S-estimator under a constraint on the breakdown point. In the linear regression model, it is known that the highest possible efficiency of a maximum breakdown S-estimator is bounded above by 33% for Gaussian errors. We prove the...

Ridder (1990) provides an identification result for the Generalized Accelerated Failure-Time (GAFT) model. We point out that Ridder's proof of this result is incomplete, and provide an amended proof with an additional necessary and sufficient condition that requires that a function varies...

Most dimension reduction methods based on nonparametric smoothing are highly sensitive to outliers and to data coming from heavy-tailed distributions.We show that the recently proposed methods by Xia et al.(2002) can be made robust in such a way that preserves all advantages of the original...

AMS classifications: 60G70; 62G32;