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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...
Persistent link: https://www.econbiz.de/10011109965
logit model using simulation. The method is easy to implement, yet it can approximate essentially any mixture distribution …. We test it with good results in a simulation study and on real data. …
Persistent link: https://www.econbiz.de/10011113364
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...
Persistent link: https://www.econbiz.de/10008506919
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...
Persistent link: https://www.econbiz.de/10004980380
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...
Persistent link: https://www.econbiz.de/10004980414
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...
Persistent link: https://www.econbiz.de/10011107400
methods in our Monte Carlo studies. The simulation results indicate that the proposed estimator is, 1) easy-to-compute and …
Persistent link: https://www.econbiz.de/10011107416
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...
Persistent link: https://www.econbiz.de/10011107630
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...
Persistent link: https://www.econbiz.de/10011107733
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...
Persistent link: https://www.econbiz.de/10011107938