The idea of identifying structural parameters via heteroskedasticity is explored in the context of binary choice models with an endogenous regressor. Sufficient conditions for parameter identification are derived for probit models without relying on instruments or additional restrictions. The...

This paper studies the decision made by a family to invest in student migration. We propose an empirical structural decision model which reflects the importance of both the return to the investment and the budgetary constraint in the choice of the family. We circumvent the problem of endogeneity...

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second-order moments are provided. The CLS, FGLS and QML estimators...

We propose serial correlation-robust asymptotic confidence bands for the receiver operating characteristic (ROC) curve and its functional, viz. the area under ROC curve (AUC), estimated by quasi-maximum likelihood in the binormal model. Our simulation experiments confirm that this new method...

In this paper, we explore the properties of a positive-part Stein-like estimator which is a stochastically weighted convex combination of a fully correlated parameter model estimator and uncorrelated parameter model estimator in the Random Parameters Logit (RPL) model. The results of our Monte...

We consider inference in regression discontinuity designs when the running variable only takes a moderate number of distinct values. In particular, we study the common practice of using confidence intervals (CIs) based on standard errors that are clustered by the running variable. We derive...

This paper revisits the non-Markovian regime switching model considered by Chib and Dueker (2004), who employ an autoregressive continuous latent variable in order to specify the dynamics of the latent regime-indicator variable. We show that, in spite of the non-Markovian nature of the regime...

Motivated by the promising performance of alternative estimation methods for mixed logit models, in this paper we derive, implement, and test expectation-maximization (EM) and minorization-maximization (MM) algorithms to estimate the semiparametric logit mixed logit (LML) and mixture-of-normals...

It is a common finding in empirical discrete choice studies that the estimated mean relative values of the coefficients (i.e. WTP's) from multinomial logit (MNL) estimations differ from those calculated using mixed logit estimations, where the mixed logit has the better statistical fit. It is,...

The paper investigates the degree to which the domestic equity mutual fund is diversified, and attempts to determine the extent to which any undiversified idiosyncratic risk, i.e. unsystematic or company specific risk is associated with the average fund returns. The sample consists of mutual...