Survival data often include an “immune” or cured fraction of units that will never experience an event and conversely, an “at risk” fraction that can fail or die. It is also plausible that spatial clustering (i.e., spatial autocorrelation) in latent or unmeasured risk factors among...

Testing for Granger non-causality over varying quantile levels could be used to measure and infer dynamic linkages, enabling the identification of quantiles for which causality is relevant, or not. However, dynamic quantiles in financial application settings are clearly affected by...

Standard income inequality indices can be interpreted as a measure of welfare loss entailed in departures from equality of outcomes, for egalitarian social welfare functions defined on the distribution of outcomes. But such a welfare interpretation has been criticized for a long time on the...

To their credit, empirical legal scholars try to live up to the highest methodological standards from the social sciences. But these standards do not always match the legal research question. This paper focuses on normative legal argument based on empirical evidence. Whether there is a normative...

Standard income inequality indices can be interpreted as a measure of welfare loss entailed in departures from equality of outcomes, for egalitarian social welfare functions defined on the distribution of outcomes. But such a welfare interpretation has been criticized for a long time on the...

Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...

In this essay, I argue about the relevance and the ultimate unity of the Bayesian approach in a neutral and agnostic manner. My main theme is that Bayesian data analysis is an effective tool for handling complex models, as proven by the increasing proportion of Bayesian studies in the applied...

Bayesian empirical approaches appear frequently in fields such as engineering, computer science, political science and medicine, but almost never in law. This article illustrates how such approaches might be very useful in empirical legal studies. In particular, Bayesian approaches enable a much...

We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies and portfolios. We document that the SDF is dense...

Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....