A Semiparametric spatial model is used as it allows nonlinear estimation of both mean and variance.<br /><br /> A Bayesian approach is used for inference via a Markov Chain Monte Carlo sampling scheme. A distinct advantage of using the Bayesian approach is the incorporation of prior information in the...

This paper presents Bayesian methodology for the estimation of a bivariate probit model with an endogenous effect and both parametric linear and flexible semiparametric exogenous effects. The model is prompted by an analysis of the utilisation of health services in Australia using data from the...

Economists often use matched samples, especially when dealing with earnings data where a number of missing observations need to be imputed. In this paper, we demonstrate that the ordinary least squares estimator of the linear regression model using matched samples is inconsistent and has a...

In this paper, we address the problem of convergence to Nash equilibria in games with rewards that are initially unknown and which must be estimated over time from noisy observations. These games arise in many real-world applications, whenever rewards for actions cannot be prespecified and must...

It is common for rewards to be given on the basis of a rank ordering, so that relative performance amongst a cohort is the criterion. In this paper we formulate an equilibrium model in which an agent makes successive decisions on whether or not to gamble and is rewarded on the basis of a rank...

This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies well-established scoring rules for qualitative response models in the...

The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with optimal weights obtained from solving an...

Intra-day sources of data have proven effective for dynamic volatility and tail risk estimation. Expected shortfall is a tail risk measure, that is now recommended by the Basel Committee, involving a conditional expectation that can be semi-parametrically estimated via an asymmetric sum of...

Supply function equilibria are used in the analysis of divisible good auctions with a large number of identical objects to be sold or bought. An important example occurs in wholesale electricity markets. Despite the substantial literature on supply function equilibria the existence of a pure...