This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …

We use a dynamic framework and panel methodology to investigate the determinants of a firms' time-varying capital …

propose a reverse stress test methodology based on a stochastic simulation optimization system. This methodology enables users …

a Monte Carlo simulation for 384 experimental constellations, which are obtained from four function types, four … disturbance levels. A statistical analysis of the simulation results shows that across a multi-period planning horizon the …

behavioural responses to pensions policy counterfactuals in Ireland. The model is based upon the life-cycle theory of behaviour …

. The two strategies are compared by means of a Monte-Carlo simulation study together with an empirical application to …

observable states of the system, to be determined optimally via stochastic control and filtering theory. Solution existence is …