We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

The credibility of standard instrumental variables assumptions is often under dispute. This paper imposes weak monotonicity in order to gain information on counterfactual outcomes, but avoids independence or exclusion restrictions. The outcome process is assumed to be sequentially ordered,...

This paper deals with the identification of treatment effects when the outcome variable is ordered. If outcomes are measured ordinally, previously developed methods to investigate the impact of an endogenous binary regressor on average outcomes cannot be applied as the expectation of an ordered...

This paper explores semi-monotonicity constraints in the distribution of potential outcomes, first, conditional on an instrument, and second, in terms of the response function. The imposed assumptions are strictly weaker than traditional instrumental variables assumptions and can be gainfully...

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under...

Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper...

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

In this paper we analyze empirically different specifications of a sample selection model. We are interested in how the estimates vary across alternative assumptions concerning the joint conditional distribution of the sample selection equation errors, such us the specification of error...

Businesses routinely rely on econometric models to analyze and predict consumer behavior. Estimation of such models may require combining a firm's internal data with external datasets to take into account sample selection, missing observations, omitted variables and errors in measurement within...

Kann es nach einer Herabstufung der Bonität eines Staates zu einer Dynamik von steigenden Zinsen auf Staatsanleihen und weiter fallenden Ratings kommen, die unausweichlich in einem Staatsbankrott endet? Die hohe Persistenz von Ratings sowie die Beobachtung, dass Zinsen häufig negativ auf eine...