Maximum likelihood estimation of structural models is regarded as computationally difficult by many who want to apply the Nested Fixed-Point approach. We present a direct optimization approach to the problem and show that it is significantly faster than the NFXP approach when applied to the...

This paper develops a general method for conducting exact small-sample inference in models which allow the estimator of the (scalar) parameter of interest to be expressed as the root of an estimating function, and which is particularly simple to implement for linear models with a covariance...

In this paper, we develop a modelling and computational framework that allows for the determination of optimal carbon taxes applied to electric power plants in the context of electric power supply chain (generation/distribution/consumption) networks. The adoption of carbon/pollution taxes both...

The lion’s share of hidden Markov models (HMMs) /Markov regime switching models considered in economic research incorporates a comparably small number of states. The popularity of models with mostly two or three states principally results from their good interpretability: often regime...

We present a multi-stage stochastic programming model for managing portfolios of stock and bond indices denominated in multiple currencies. The portfolios are exposed to market risks and currency risks. Uncertainty in asset returns and exchange rates is represented by means of discrete...

This paper deals with the sustainable management of a renewable resource based on individual and transferable quotas (ITQs). The aim of that paper is to determine the conditions under which a regulating agency can achieve both ecological and economic objectives when agents are heterogenous and...

In this paper we ask whether policies targeting a reduction in crime rates through changes in education outcomes can be considered an effective and cost-viable alternative to interventions based on harsher punishment alone. In particular we study the effect of subsidizing high school completion....

Since it burst onto the scene of mainstream monetary economics, the New Neo-Classical Phillips Curve has been the focus of two important empirical debates. First, to what extent properly measured marginal costs affect inflation dynamics. Second, to what extent purely forward looking inflation...

In this paper, we study the effect of education on economic growth. In particular, we want to show that education can cause some nonlinearities in the human capital accumulation process. These nonlinearities may affect the economic growth path. In the first part of this work, we will provide a...

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...