We propose a generic latent variable approximation (GLVS) scheme for posterior inference in models with possibly high-dimensional spaces of latent variables. Direct sampling from the approximate posterior is possible. The new technique is applied to univariate and multivariate stochastic...

This article proposes the estimation of marginal cost of individual firms using semiparametric and nonparametric methods. These methods have a number of appealing features when applied to cost functions. The empirical analysis uses data from a unique sample of the California electricity industry...

The paper develops new indices of financial stability based on an explicit model of expected utility maximization by financial institutions subject to the classical technology restrictions of neoclassical production theory. The model can be estimated using standard econometric techniques, like...

By examining the impact of capital regulation on bank risk-taking using a local estimation technique, we are able to quantify the heterogeneous response of banks towards this type of regulation in banking sectors of western-type economies. Subsequently, using this information on the bank-level...

In this paper we reconsider the formal estimation of the risk of financial intermediaries. Risk is modeled as the variability of the profit function of a representative intermediary, here bank, as formally considered in finance theory. In turn, banking theory suggests that risk is determined...

In this paper we consider the ducial argument of Fisher from the point of view of constructing e cient approximations of (or importance distributions to) posterior distributions in econometric models with intractable likelihood functions. The importance or proposal distributions are used along...