In recent years, major advances have taken place in three areas of random utility modeling: (1) semiparametric estimation, (2) computational methods for multinomial probit models, and (3) computational methods for Bayesian stimation. This paper summarizes these developments and discusses their...

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or...

We propose a nonparametric approach for estimating single-index, binary-choice models when parametric models such as Probit and Logit are potentially misspecified. The new approach involves two steps: first, we estimate index coefficients using sliced inverse regression without specifying a...

The Pearsonian coefficient of correlation as a measure of association between two variates is highly prone to the deleterious effects of outlier observations (in data). Statisticians have proposed a number of formulas to obtain robust measures of correlation that are considered to be less...

Granger (1966) describes how the spectral shape of an economic variable concentrates spectral mass at low frequencies, declining smoothly as frequency increases. Despite a discussion about how to assess robustness of his results, the empirical exercise focused on the evidence obtained from a...

The impact of trade liberalization on productivity and economic growth has received considerable attention in recent policy debate. Besides the theory, there is also a large body of empirical literature on the impact of trade policy reforms on productivity growth. We contribute to this...

The generalised autocovariance function is defined for a stationary stochastic process as the inverse Fourier transform of the power transformation of the spectral density function. Depending on the value of the transformation parameter, this function nests the inverse and the traditional...

We prove the uniqueness of linear i.i.d. representations of heavy-tailed processes whose distribution belongs to the domain of attraction of an $\alpha$-stable law, with $\alpha2$. This shows the possibility to identify nonparametrically both the sequence of two-sided moving average coefficients...