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Monotonicity-Preserving Bootstrapped Kriging Metamodels for Expensive Simulations

Kleijnen, Jack P. C.; Beers, Wim C. M. van - 2009

metamodel that preserves this known shape, this article uses bootstrapping (or resampling). Parametric bootstrapping assuming …-event simulation) using distribution-free bootstrapping. In stochastic simulation, the analysts should simulate each input combination … variation, so the Kriging metamodel does not need to interpolate the average outputs. Bootstrapping provides a simple method for …

Persistent link: https://www.econbiz.de/10014203752

Testing for Collusion in Asymmetric First-Price Auctions

Aryal, Gaurab; Gabrielli, M. Florencia - 2014

This paper proposes a two step procedure to detect collusion in asymmetric first-price procurement (auctions). First, we use a reduced form test to short-list bidders whose bidding behavior is at-odds with competitive bidding; and Second, we estimate the (latent) cost for these bidders under...

Persistent link: https://www.econbiz.de/10014168325

Identification and estimation of distributional impacts of interventions using changes in inequality measures

Firpo, Sérgio Pinheiro - 2010

This paper presents semiparametric estimators of distributional impacts of interventions (treatment) when selection to the program is based on observable characteristics. Distributional impacts of a treatment are calculated as differences in inequality measures of the potential outcomes of...

Persistent link: https://www.econbiz.de/10003944723

Semiparametric selection models with binary outcomes

Klein, Roger W.; Shen, Chan; Vella, Francis - 2014

This paper addresses the estimation of a semiparametric sample selection index model where both the selection rule and the outcome variable are binary. Since the marginal effects are often of primary interest and are difficult to recover in a semiparametric setting, we develop estimators for...

Persistent link: https://www.econbiz.de/10010361491

A graphical approximation to generalization : definitions and diagrams

Martel García, Fernando; Wantchekon, Leonard - 2013

The fundamental problem of external validity is not to generalize from one experiment, so much as to experimentally test generalizable theories. That is, theories that explain the systematic variation of causal effects across contexts. Here we show how the graphical language of causal diagrams...

Persistent link: https://www.econbiz.de/10009789052

On nonparametric identification of treatment effects in duration models

Johansson, Per-Olov; Lee, Myoung-jae - 2016

We show that the main nonparametric identification finding of Abbring and Van den Berg (2003b, Econometrica) for the effect of a timing-chosen treatment on an event duration of interest does not hold. The main problem is that the identification is based on the competing-risks identification...

Persistent link: https://www.econbiz.de/10011543606

Simulation and estimation of hedonic models

Heckman, James J. - 2003

Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...

Persistent link: https://www.econbiz.de/10011509388

Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.

López Cabrera, Brenda; Schulz, Franziska - 2016

The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...

Persistent link: https://www.econbiz.de/10011538153

Nonparametric tests for common values at first-price sealed bid auctions

Haile, Philip A.; Hong, Han; Shum, Matthew - 2003

Persistent link: https://www.econbiz.de/10001833591

Pricing and Inference with Mixtures of Conditionally Normal Processes

Bertholon, Henri - 2010

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

Persistent link: https://www.econbiz.de/10013137349

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