We consider panel parametric, semi-parametric and nonparametric methods of constructing counterfactuals. We show through extensive simulations that no method is able to dominate other methods in all circumstances. Since the true data generating process is typically unknown. We therefore also...

The estimation of causal effects is a primary goal of behavioral, social, economic and biomedical sciences. Under the unconfounded treatment assignment condition, adjustment for confounders requires estimating the nuisance functions relating outcome and/or treatment to confounders. The...

The estimation of causal effects is a primary goal of behavioral, social, economic and biomedical sciences. Under the unconfounded treatment assignment condition, adjustment for confounders requires estimating the nuisance functions relating outcome and/or treatment to confounders. The...

This article proposes different tests for treatment effect heterogeneity when the outcome of interest, typically a duration variable, may be right-censored. The proposed tests study whether a policy 1) has zero distributional (average) effect for all subpopulations defined by covariate values,...

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent...

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Simar and Wilson (J. Econometrics, 2007) provided a statistical model that can rationalize two-stage estimation of technical efficiency in nonparametric settings. Two-stage estimation has been widely used, but requires a strong assumption: the second-stage environmental variables cannot affect...

This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...

This paper proposes some improvements to advanced measurement approach (AMA) to modelling operational losses and applies this approach to US business losses. The AMA involves, among others, modelling a loss severity distribution and estimating its Expected Loss and the 99.9% operational...

When benchmarking production units by non-parametric methods like data envelopment analysis (DEA), an assumption has to be made about the returns to scale of the underlying technology. Moreover, it is often also relevant to compare the frontiers across samples of producers. Until now, no exact...