Testing for and measuring habitual brand loyalty (HBL) is one of the classic questions in quantitative marketing. We propose a nonparametric test for HBL using a ``dynamic potential outcomes'' model that resolves the classic identification challenge of decoupling state dependence and unobserved...

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. We proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the...

The intention of this study was to document how closely households follow normative descriptions of financial behavior in relation to their financial planning horizon. Modern Portfolio Theory predicts that households, in general, exhibit risk aversion. Aversion to wealth volatility should...

In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs (2009). We consider the associated partial differential equation (PDE)...

Although typically overlooked, many purchase datasets exhibit a high incidence of products with zero sales. We propose a new estimator for the Random-Coefficients Logit demand system for purchase datasets with zero-valued market shares. The identification of the demand parameters is based on a...

Collective models identifying resource shares are promising tools to analyse intra-household welfare and poverty. However, their empirical application has proven difficult in practice as authors contend with large standard errors and unstable estimates. This paper uses a prominent framework to...

Spanish Abstract: Este artículo presenta la metodología y los resultados más relevantes de un estudio sobre la estimación de escalas de equivalencia en consumo. En ese estudio se destaca el uso de un método novedoso, propuesto por Lewbel y utilizado por Perali, para obtener los precios que...

This paper takes a revealed preference approach for set identifying the discount factor in the exponential discounting model. My methodology allows for measurement error in prices and full heterogeneity in preferences. Using longitudinal data from checkout scanners, I obtain bounds on the...

As in many developing countries, mobile money was justified as a significant tool of financial inclusion in Sub-Saharan Africa. This study attempts to identify the factors motivating Rwandans to use the mobile money using the FinScope 2016 survey data collected from a random sample of 12,480...

We develop a method for distributional regression of joint multidimensional choice on nonlinear prices departing from a household model of labor supply that focuses on tax policy effects. Our distribution functions are derived under minimal theoretical assumptions and have a simple structure. We...