In the recent years, di usion models for interest rates became very pop- ular. In this paper, we try to do a selection of a suitable di usion model for the Italian interest rates. Our data set is given by the yields on three-month BOT, from 1981 to 2001, for a total of 470 observations. We...

We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator's relation to a Bayesian estimator.

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...

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

We adopt a moment based approach to investigate how individual producers' optimize input usage, in particular irrigation water, taking into account their risk preferences. We rely on a panel data of 122,800 Italian farms, spread over 1981 to 2003. We capture both variation over farms and over...

We present a control problem for an electrical vehicle. Its motor can be operated in two discrete modes, leading either to acceleration and energy consumption, or to a recharging of the battery. Mathematically, this leads to a mixed-integer optimal control problem (MIOCP) with a discrete...

This paper introduces a general method to convert a model defined by moment conditions involving both observed and unobserved variables into equivalent moment conditions involving only observable variables. This task can be accomplished without introducing infinite-dimensional nuisance...

We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator’s relation to a Bayesian estimator.

A dynamic linear rational equilibrium model in the tradition of Alonso, Rosen and Roback is consistent with many outstanding stylized facts of housing markets. These include: (a) that the markets are local in nature; (b) that construction persistence is fully compatible with mean reversion in...

The generalized gamma distribution (GGD) is a very popular distribution since it includes many well known distributions. Estimation of the parameters of the GGD is quite problematic because of the complicated structure of its density function. We introduce two new estimation methods called...