Search Results - subject:"Structural Models"

Information reduction via level crossings in a credit risk model

Jarrow, Robert; Protter, Philip; Sezer, A. - In: Finance and Stochastics 11 (2007) 2, pp. 195-212

Persistent link: https://www.econbiz.de/10005613441

Expected Default Probabilities in Structural Models: Empirical Evidence

Patel, Kanak; Pereira, Ricardo - In: The Journal of Real Estate Finance and Economics 34 (2007) 1, pp. 107-133

We apply a set of structural models (Black and Cox 1976; Collin-Dufresne and Goldstein 2001; Ericsson and Reneby 1998 … the total sample in contrast to 8% misclassification by structural models. Further analysis of EDPs based on logistic … regressions suggests the observed misclassification of the companies by structural models is due to special company management and …

Persistent link: https://www.econbiz.de/10005716708

Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling

Campi, Luciano; Çetin, Umut - In: Finance and Stochastics 11 (2007) 4, pp. 591-602

Persistent link: https://www.econbiz.de/10005184368

Chapter 70 Econometric Evaluation of Social Programs, Part I: Causal Models, Structural Models and Econometric Policy Evaluation

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4779-4874). 2007

This chapter relates the literature on the econometric evaluation of social programs to the literature in statistics on “causal inference”. In it, we develop a general evaluation framework that addresses well-posed economic questions and analyzes agent choice rules and subjective evaluations...

Persistent link: https://www.econbiz.de/10014024945

Continuously updated extremum estimators

PATILEA, Valentin; RENAULT, Eric - Center for Operations Research and Econometrics (CORE), … - 1997

An important class of structural econometric models (nonlinear rational expectations, option pricing, auction models, ...) characterize observable variables as highly nonlinear transforma- tions of some latent variables. These transformations are one-to-one, but they depend on the unknown...

Persistent link: https://www.econbiz.de/10005008426

Firm investment in imperfect capital markets: A structural estimation

Pratap, Sangeeta; Rendón, Silvio - Department of Economics and Business, Universitat … - 1996

We set up a dynamic model of firm investment in which liquidity constraints enter explicity into the firm's maximization problem. The optimal policy rules are incorporated into a maximum likelihood procedure which estimates the structural parameters of the model. Investment is positively related...

Persistent link: https://www.econbiz.de/10005772548

In praise of structural macroeconometrics/En defensa de la macroeconometría estructural.

LORÍA, EDUARDO - In: Estudios de Economía Aplicada 24 (2006) Abril, pp. 277-297

Since the mid seventies a wave of critics against structural econometrics (Cowles Commission approach) arose, severely damaging its reputation and its use in common econometric practice. Despite some of those critics apply, this approach has being restored and therefore continues to be the work...

Persistent link: https://www.econbiz.de/10005814436

A new framework for firm value using copulas

Giuli, Elena Maria De; Maggi, Mario; Fantazzini, Dean - Society for Computational Economics - SCE - 2006

non-observability of the assetsâ€™ value in structural models can be overcome using the bivariate contingent claim …

Persistent link: https://www.econbiz.de/10005170550

Guàrdia, Joan; Freixa, Montserrat; Peró, Maribel; … - In: Quality & Quantity: International Journal of Methodology 40 (2006) 4, pp. 661-674

Persistent link: https://www.econbiz.de/10009391288

An Empirical Model of Optimal Dynamic Product Launch and Exit Under Demand Uncertainty

Hitsch, Günter J. - In: Marketing Science 25 (2006) 1, pp. 25-50

This paper considers the decision problem of a firm that is uncertain about the demand, and hence profitability, of a new product. We develop a model of a decision maker who sequentially learns about the true product profitability from observed product sales. Based on the current information,...

Persistent link: https://www.econbiz.de/10008787870