This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

The paper considers the task of selecting a flexible nonlinear model which can be used as a baseline model. The baseline model may be used as a testing ground for more structural models which are congruent with economic theory. From the limited empirical evidence obtained here it is tentatively...

We introduce two neural network models designed for application in statistical learning. The mean-variance neural network regression model allows us to simultaneously model the mean and the variance of a response variable. In case of a two-dimensional response vector, the...

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...