Search Results - subject:"Structural Models"

Controlling for time-dependent confounding using marginal structural models

Fewell, Zoe; Wolfe, Frederick; Choi, Hyon; Hernán, … - In: Stata Journal 4 (2004) 4, pp. 402-420

marginal structural models to estimate the effect of methotrexate on mortality in persons suffering from rheumatoid arthritis … presence of time-dependent confounders affected by prior treatment. This article describes the use of marginal structural … models (described by Robins, Hernán, and Brumback [2000]) to estimate exposure or treatment effects in the presence of time …

Persistent link: https://www.econbiz.de/10005583299

Family job search and consumption: the added worker effect revisited

Garcia-Perez, J. Ignacio; Rendon, Silvio - Society for Economic Dynamics - SED - 2004

In this paper we find out the determinants of consumption variations depending on the employment transitions experienced by household members. We set up a utility-maximizing household search model in which consumption and job search decisions are made jointly. Families determine a level of...

Persistent link: https://www.econbiz.de/10005051438

Monopoly Practises and Competitive Behaviour in the French Satellite Pay-TV Market

Cincera, Michele; Noury, Abdul - C.E.P.R. Discussion Papers - 2004

This Paper uses monthly data from a differentiated market dominated by a duopoly to analyse the nature of interactions between competitor firms. The incumbent, Canal Satellite, and the entrant, TPS, have dominated the French satellite pay-TV market, characterized by a monopoly until the end of...

Persistent link: https://www.econbiz.de/10005123972

STRUCTURAL MODELS IN CONSUMER CREDIT

Andrade, Fabio de; Thomas, Lyn - EconWPA - 2004

We propose a structural credit risk model for consumer lending using option theory and the concept of the value of the consumer’s reputation. Using Brazilian empirical data and a credit bureau score as proxy for creditworthiness we compare a number of alternative models before suggesting one...

Persistent link: https://www.econbiz.de/10005126110

Dynamic Econometric Program Evaluation

Abbring, Jaap H. - Institute for the Study of Labor (IZA) - 2003

evaluation and non-parametric structural models. We then critically analyze the dynamic treatment-effects approach adopted from …

Persistent link: https://www.econbiz.de/10005763657

Firm Investment in Imperfect Capital Markets: A Structural Estimation

Pratap, Sangeeta; Rendon, Silvio - In: Review of Economic Dynamics 6 (2003) 3, pp. 513-545

In this paper we characterize and estimate the degree to which liquidity constraints affect real activity. We set up a dynamic model of firm investment and debt in which liquidity constraints enter explicitly into the firm's maximization problem, so that investment depends positively on the...

Persistent link: https://www.econbiz.de/10005085507

A Simple Model for Credit Migration and Spread Curves

Chen, Li; Filipovic, Damir - EconWPA - 2003

We propose and examine a simple model for credit migration and spread curves of a single firm both under the real-world and the risk-neutral measure. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgradings of the firm or an...

Persistent link: https://www.econbiz.de/10005561740

Valuing Corporate Liabilities

Ericsson, Jan; Reneby, Joel - Institute for Financial Research (SIFR) - 2003

We implement a structural bond pricing framework on a large panel of US industrial issues using an efficient maximum likelihood methodology. Although, like others before us, we underpredict yield spread levels when using only stock market data in the estimation, our errors are much less...

Persistent link: https://www.econbiz.de/10005190927

A convenient representation for structural vector autoregressions

Breitung, Jörg - In: Empirical Economics 26 (2001) 2, pp. 447-459

Latent variables are used to rewrite a wide class of structural vector autoregressive (SVAR) models. The framework is general enough to include as particular cases all just and over-identified models recently used in applied macroeconomics. The latent variables representation can conveniently be...

Persistent link: https://www.econbiz.de/10005613030

Asymmetric labor supply

Ribeiro, Eduardo Pontual - In: Empirical Economics 26 (2001) 1, pp. 183-197

The estimation of labor supply elasticities has been an important issue in the economic literature. Yet all works have estimated conditional mean labor supply functions only. The objective of this paper is to obtain more information on labor supply, estimating a conditional quantile labor supply...

Persistent link: https://www.econbiz.de/10005758337