This paper establishes conditions for nonparametric identification of dynamic optimization models in which agents make both discrete and continuous choices. We consider identification of both the payoff function and the distribution of unobservables. Models of this kind are prevalent in applied...

Given a set of baseline assumptions, a breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value...

This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...

Item non-response occurs when respondents fail to provide answers to some or all of the questions posed during survey interviews. The standard procedure is to exclude such responses from the econometric analysis. This may be appropriate if the sample included does not differ significantly from...

The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and...

Strategic interaction parameters characterize the impact of actions of one economic agent on the payoff of another economic agent, and are of great interest in both theoretical and empirical work. In this paper, by considering econometric models involving simultaneous discrete systems of...

The focus of this paper is an information theoretic-symbolic logic approach to extract information from complex economic systems and unlock its dynamic content. Permutation Entropy (PE) is used to capture the permutation patterns-ordinal relations among the individual values of a given time...

Sample selection models attempt to correct for non-randomly selected data in a two-model hierarchy where, on the first level, a binary selection equation determines whether a particular observation will be available for the second level (outcome equation). If the non-random selection mechanism...

It is commonplace that the data needed for econometric inference are not contained in a single source. In this paper we analyze the problem of parametric inference from combined individual-level data when data combination is based on personal and demographic identifiers such as name, age, or...