The problem of approximating a general regression function m(x) = E (Y IX = x) is addressed. As in the case of the c1assical L2-type projection pursuit regression considered by Hall (1989), we propose to approximate m(x) through a regression of Y given an index, that is a unidimensional...

This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most effcient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood...

Le inchieste nazionali sulla situazione del mercato del lavoro forniscono di solito osservazioni in tempo discreto. Gli individui vengono intervistati in corrispondenza di date distinte, per ognuna delle quali si conosce la loro posizione sul mercato (occupati, disoccupati), ma nulla è noto di...

We analyze the effects of two compound investment options, a shut down and a reopening option, on a Aoki's profit sharing firm organization. Whilst the introduction of a credible threat of shutting down weakens labour's position in the bargaining and favors the shareholders on profit sharing,...

In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the...

Indirect Inference (I-I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters Ø. The estimators of the instrumental parameters will encapsulate the...

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...