In this paper we discuss the usefulness, for models with heterogeneity, of simulation techniques in inference procedures, like maximum likelihood method, generalized moments method or pseudo maximum likelihood methods. These procedures are studied from the point of view of consistency,...

We introduce an ordering on the scoring functions used in credit and insurance problems; this ordering corresponds to the idea of a more precise selection of the customers. It is naturally based on the comparison of some curves, called performance, selection and discrimination curves. Various...

This paper introduces a concept of innovation for the analysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of such innovations. The residuals from nonlinear dynamic models axe used to construct various specification tests....