Human mortality has been improving faster than expected over the past few decades. This unprecedented improvement has caused significant financial stress to pension plan sponsors and annuity providers. The widely recognized Lee-Carter model often assumes linearity in its period effect as an...

Most studies on the effects of debt on growth, particularly following the global financial crisis, have focused mainly on the advanced and emerging countries. Our focus on sub-Saharan Africa (SSA) derives from the recent experience of slow growth at a time of rising debt in the sub-region. This...

This paper investigates the inflation-hedging ability of gold in Vietnam from 2011 to 2022. In order to assess how government management has affected the domestic gold market, two local gold prices (SJC and 9999) were employed. The non-linear autoregressive distributed lags (NARDL) approach is...

We consider penalized extremum estimation of a high-dimensional, possibly nonlinear model that is sparse in the sense that most of its parameters are zero but some are not. We use the SCAD penalty function, which provides model selection consistent and oracle efficient estimates under suitable...

In this paper we use the enhanced consumption data in the Panel Survey of Income Dynamics (PSID) from 2005-2017 to explore the transmission of income shocks to consumption. We build on the nonlinear quantile framework introduced in Arellano, Blundell and Bonhomme (2017). Our focus is on the...

Methodologies such as situational importance and Shapley Additive explanations (SHAP) are increasingly used to explain machine learning (black-box) models predictions. Based on parametric inference, we develop a methodological framework that uses Shapley values to generalize the data-generating...