In this paper, I show that the "Bayesian inversion" of demand, which is defined as the posterior distribution of random utilities given realized choices, can replace Berry, Levinsohn, and Pakes (1995)’ "mean utility inversion" and radically simplify the estimation of discrete choice models...

This paper studies the dynamic responses of the conditional quantiles and their applications in macroeconomics and finance. We build a multi-equation autoregressive conditional quantile model and propose a new construction of quantile impulse response functions (QIRFs). The tool set of QIRFs...

The standard Zipf regression involves a linear relation between the natural logs of the rank and the natural logs of a score on a certain variable. If there are measurement errors in the scores, then the regressor is endogenous and renders Ordinary Least Squares inappropriate. Instrumental...

In this paper, we consider robust estimation of claim severity models in insurance, when data are affected by truncation (due to deductibles), censoring (due to policy limits), and scaling (due to coinsurance). In particular, robust estimators based on the methods of trimmed moments...

The solutions to robust optimization problems are sometimes too conservative because of the focus on worst-case performance. For the least-squares (LS) problem, we describe a way to overcome this by combining the classical formulation with its robust counterpart. We focus on the issue of...

Abstract in Russian:В настоящем исследовании для определения ненаблюдаемых переменных разработаны полуструктурные макроэкономические модели для каждой страны региона...

We provide a new theory for nodewise regression when the residuals from a tted factor model areused. We apply our results to the analysis of the consistency of Sharpe Ratio estimators when there are many assets in a portfolio. We allow for an increasing number of assets as well as time...

The implementation of any State’s economic policy involves first developing short-term, mid-term and long-term forecasts, as well as socio-economic development programs. Their quality is largely dependent on credible assessments of the current economic setting, whose findings will then inform...

We propose System Projections with Instrumental Variables (SP-IV) to estimate dynamic structural relationships. SP-IV replaces lag sequences of instruments in traditional IV with lead sequences of endogenous variables. SP-IV allows the inclusion of controls to weaken exogeneity requirements, can...