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The influence of peer behavior on an individual's choices has received renewed interest in recent years. However, accurate measures of this influence are difficult to obtain. Standard reduced-form methods lead to upwardly biased estimates due to simultaneity, common shocks, and nonrandom peer...
Persistent link: https://www.econbiz.de/10005407925
Persistent link: https://www.econbiz.de/10005556258
The discrete choice literature has evolved from the analysis of a choice of a single item from a fixed choice set to the incorporation of a vast array of more complex representations of preferences and choice set formation processes into choice models. Modern discrete choice models include rich...
Persistent link: https://www.econbiz.de/10011755346
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nonparametric identification of exogenous impact functions under quantile independence conditions. It is shown that, when valid …
Persistent link: https://www.econbiz.de/10005119107
This paper deals with identification in Markov dynamic discrete decision processes. It shows the nonparametric … identification of the behavioral responses to counterfactual policy interventions that modify the one- period utility function. …
Persistent link: https://www.econbiz.de/10005119130
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10011755267
Geostatistical spatial models are widely used in many applied fields to forecast data observed on continuous three-dimensional surfaces. We propose to extend their use to finance and, in particular, to forecasting yield curves. We present the results of an empirical application where we apply...
Persistent link: https://www.econbiz.de/10011755309
We consider the situation when there is a large number of series, $N$, each with $T$ observations, and each series has some predictive ability for the variable of interest, $y$. A methodology of growing interest is to first estimate common factors from the panel of data by the method of...
Persistent link: https://www.econbiz.de/10005407875
We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...
Persistent link: https://www.econbiz.de/10005407876