This paper presents an extension to the Oaxaca–Blinder decomposition with continuous groups using a semiparametric approach known as varying coefficients model. To account for potential self-selection into the continuum of groups, the use of inverse mills ratios is expanded upon following the...

This paper describes the application of a semiparametric approach, known as a varying coefficients model (Hastie and Tibshirani 1993), to implement a Oaxaca-Blinder type of decomposition in the presence of self-selection into treatment groups for a continuum of comparison groups. The flexibility...

INTRODUCTION: The number of patients with chronic renal disease (CRD) has grown in the world as a whole. Beyond the increase in public expenditure, this disease has brought other economic implications. The objective this paper is to estimate wage discrimination between two groups: individuals...

This chapter provides a comprehensive overview of decomposition methods that have been developed since the seminal work of Oaxaca and Blinder in the early 1970s. These methods are used to decompose the difference in a distributional statistic between two groups, or its change over time, into...

Using big financial data for the price dynamics of U.S. equities, we investigate the impact that market microstructure noise has on modeling volatility of the returns. Based on wavelet transforms (DWT and MODWT) for decomposing the systematic pattern and noise, we propose a new wavelet-based...

This paper describes a methodology extension for decomposing non-linear portfolio risk by fund manager which we refer to as "Manager Component Value-at-Risk." The approach is well suited to funds holding any asset class or instrument type including derivatives. This decomposition approach is...

This tutorial explores the class of non-parametric time series basis decomposition methods particularly suited for non-stationary time series known as Empirical Mode Decomposition (EMD). A detailed review of the state of the art statistical approaches that combine finite basis signal...

Many complex systems display fluctuations between alternative states in correspondence to tipping points. These critical shifts are usually associated with generic empirical phenomena such as strengthening correlations between entities composing the system. In finance, for instance, market...

Probit and logit models typically require a normalization on the error variance for model identification. This paper shows that in the context of sample mean probability decompositions, error variance normalizations preclude estimation of the effects of group differences in the latent variable...