This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by a fixed point constraint, such as structural dynamic discrete choice models or models of dynamic games. We analyze the conditions under which the nested pseudo-likelihood (NPL)...

Seven bootstrap algorithms coded in SAS® are compared. The fastest (“OPDY”), which uses no modules beyond Base SAS®, achieves speed increases almost two orders of magnitude faster (over 80x faster) than the relevant "built-in” SAS® procedure (Proc SurveySelect). It is even much faster...

We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of the studies in the literature that use an indirect approach, i.e. first estimating the physical and risk-neutral densities and obtaining the pricing kernel in a second step, we...

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...

Matching is an R package which provides functions for multivariate and propensity score matching and for finding optimal covariate balance based on a genetic search algorithm. A variety of univariate and multivariate metrics to determine if balance actually has been obtained are provided. The...

Incurred but not reported (IBNR) loss reserving is of great importance for Property & Casualty (P&C) insurers. However, the temporal dependence exhibited in the claim arrival process is not reflected in many current loss reserving models, which might affect the accuracy of the IBNR reserve...