We investigate the estimation of models of dynamic discrete-choice games of incomplete information, formulating the maximum-likelihood estimation exercise as a constrained optimization problem that can be solved using state-of-the-art constrained optimization solvers. Under the assumption that...

We consider some asymptotic distribution theory for M-estimators of the parameters of a linear model whose errors are non-negative; these estimators are the solutions of constrained optimization problems and their asymptotic theory is non-standard. Under weak conditions on the distribution of the...

Estimating structural models is often viewed as computationally difficult, an impression partly due to a focus on the nested fixed-point (NFXP) approach. We propose a new constrained optimization approach for structural estimation. We show that our approach and the NFXP algorithm solve the same...

Since the beginnings of modern economics, economists sought to emulate the revolution in physics initiated by Newton's 'Principia' (1687). Concepts from mechanics have influenced economic models both in terms of methodology and content. The aim of this theoretical paper is to put forward a novel...

Point allocation experiments are widely used in the social sciences. In these experiments, survey respondents distribute a fixed total number of points across a fixed number of alternatives. This paper reviews the different perspectives in the literature about what respondents do when they...

Insurance companies and banks regularly have to face stress tests performed by regulatory instances. To model their investment decision problems that includes stress scenarios, we propose the worst-case portfolio approach. Thus, the resulting optimal portfolios are already stress test prone by...

This paper addresses the robust spanning tree problem with interval data, i.e. the case of classical minimum spanning tree problem when edge weights are not fixed but take their values from some intervals associated with edges. The problem consists in finding a spanning tree that minimizes...

This paper addresses the robust shortest path problem with interval data, i.e. the case of classical shortest path problem with given source and sink when arc weights are not fixed but take their values from some intervals associated with arcs. The problem consists in finding a shortest path...

This paper presents a model aimed at finding an efficient allocation of infrastructure investments in a region. The problem's complexity is due, not only to its combinatorial nature, but also due to the intrinsic multidimensional spatio-temporal relationships of its variables. Furthermore, there...