The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The...

We develop the case of two-stage least squares estimation (2SLS) in the general framework of Athey et al. (Generalized Random Forests, Annals of Statistics, Vol. 47, 2019) and provide a software implementation for R and C++. We use the method to revisit the classic application of instrumental...

The least-squares Monte Carlo method has proved to be a suitable approximation technique for the calculation of a life insurer's solvency capital requirements. We suggest to enhance it by the use of a neural network based approach to construct the proxy function that models the insurer's loss...

Individuals may be poor even if their household is not poor, because the intra-household distribution of resources may be unequal. Dunbar, Lewbel and Pendakur (2013) develop a model wherein the resource share of each person in a collective household - defined as their share of total household...