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The Empirical Likelihood MPEC Approach to Demand Estimation

Conlon, Christopher T. - 2013

has documented that finite-sample bias in the demand estimation problem of Berry, Levinsohn, and Pakes (1995) is often … to GMM, the GEL estimator performs substantially better, reducing the bias by as much as 90%. Furthermore, it is possible … to use analytic bias correction to reduce the bias even more and obtain accurate estimates with relatively small numbers …

Persistent link: https://www.econbiz.de/10013075514

Log-Normal Creaming and the Likelihood of Discovering Additional Giant Petroleum Fields

Lillestol, Jostein - 2016

This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some...

Persistent link: https://www.econbiz.de/10013000314

Breakthrough Technology to Resolve Problems in Annuities Hedging

Izmailov, Alexander - 2016

Hedging of illiquid financial instruments is carried out with liquid instruments that, as a rule, have simpler payoff functions. For example, hedging of Asian or long-dated put options is carried out with vanilla puts, hedging of Bermuda swaptions is done with vanilla swaptions, etc. This kind...

Persistent link: https://www.econbiz.de/10013000625

Statistical Inference

Zuev, Konstantin - 2018

What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...

Persistent link: https://www.econbiz.de/10012927199

Heteroscedastic Analysis in Nonlinear Modeling

Louangrath, Paul - 2013

In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...

Persistent link: https://www.econbiz.de/10013076070

Sufficient Dimension Reduction for Spatial Point Processes Directed by Gaussian Random Fields

Guan, Yongtao - 2009

We develop a sufficient dimension reduction paradigm for inhomogeneous spatial point processes driven by a Gaussian random fields. Specifically, we introduce the notion of the kth-order Central Intensity Subspace. We show that a Central Subspace (Cook, 1998) can be defined as the combination of...

Persistent link: https://www.econbiz.de/10013153404

Is the Ohlson (1995) Model an Example of the Simpson's Paradox?

Senthilnathan, Samithamby - 2009

The Ohlson (1995) equity valuation and returns models are consistent with mathematical formulation. Since value relevance models that relate Ohlson (1995) focus on information dynamics of accounting and other information for explaining equity value, an inconsistency between Ohlson's (1995)...

Persistent link: https://www.econbiz.de/10013159051

A Regularization Approach for Stable Estimation of Loss Development Factors

Jeong, Himchan - 2020

advantages of avoiding unnecessary model bias as well as allowing variable selection, which is linked to the choice of tail …

Persistent link: https://www.econbiz.de/10012837580

Quality of Weibull, Dagum and Burr XII in Estimating Wealth Distribution Across Countries and Over Time

Jacobi, Arie - 2020

The objectives of this study are to present a method of approximation of the parameters of Burr XII, Weibull, and Dagum distributions, given a small number of data points of the distribution, and to determine which distribution provides a better goodness-of-fit for the distribution of wealth...

Persistent link: https://www.econbiz.de/10012838766

Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps

Podolskij, Mark - 2008

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...

Persistent link: https://www.econbiz.de/10012726805