I demonstrate that Ai and Norton's (2003) point about cross differences is not relevant for the estimation of the treatment effect in nonlinear difference-in-differences models such as probit, logit or tobit, because the cross difference is not equal to the treatment effect, which is the...

The object of research: The object of research is modeling and forecasting nonlinear nonstationary processes presented in the form of time-series data.Investigated problem: There are several popular approaches to solving the problems of adequate model constructing and forecasting nonlinear...

A multiple-regime threshold generalized autoregressive conditionally heteroskedastic capital asset pricing model is introduced. The model captures asymmetric risk through allowing market beta to change discretely between regimes that are driven by market information. Asymmetric volatility and...

Effectiveness, cost-efficiency and distribution issues are crucial for any form of future regulation. This results in the need for reliable instruments to assess regulations ex ante. Elasticities are key parameters for such instruments. We consistently estimate substitution elasticities for a...

The aim of the present paper is to develop an iterative method to solve nonlinear equations. The underlying idea of the proposed method is based on well known Newton-Raphson method and Fixed Point Iteration method. The convergence of the new modified method is discussed in the present work. The...