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Structural Models
This chapter discusses the past, present, and future of the structural approach in empirical microeconomics, starting with its inception in the 1970s...
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A threshold extension of spatial dynamic panel model with fixed effects
This paper proposes a threshold extension of the spatial dynamic panel data (SDPD) model with fixed effects. We introduce a threshold variable to...
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ARCH, GARCH, and Time-Varying Variance
Given that risk (unpredictable ups and downs) and return are fundamental to finance, it is natural that financial econometricians would begin trying...
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Measuring Interdependence of Inflation Uncertainty
The unprecedented policy responses during the Global Financial Crisis and European debt crisis may have increased uncertainty about inflation and...
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A Hierarchical Panel Data Model for the Estimation of Stochastic Metafrontiers: Computational Issues and an Empirical Application
In the metafrontier literature, firms are put into groups, generally defined by technology or geography. Each group has its own technological...
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Modelling Housing Using Multi-dimensional Panel Data
This chapter surveys housing models using multi-dimensional panels. While there is a vast literature on housing models using two-dimensional panel...
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Fair group decisions via non-deterministic proportional consensus
Are there group decision methods which (i) give everyone, including minorities, an equal share of effective decision power even when voters act...
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Typical States and Their Risks for Mortgage Loans
In this study, we construct a compartmental model that tracks the different states and their respective hazards for typical mortgage loans. We...
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Recovering income distribution in the presence of interval-censored data
We propose a method to analyze interval-censored data using a multiple imputation based on a Heteroskedastic Interval regression approach. The...
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The Strategic Allocation and Sustainability of Central Bank Investments
In recent years, the extensive recourse to unconventional monetary policy measures and the growing importance of the transition process towards a...
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An evaluation of the adequacy of Lévy and extreme value tail risk estimates
This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail...
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A Unit Root Test with Markov Switching Deterministic Components: A Special Emphasis on Nonlinear Optimization Algorithms
In this study, we investigate the performance of different optimization algorithms in estimating the Markov switching (MS) deterministic components...
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Estimation of future storm surge inundation and effects of the adaptation measures in Qingdao, China
The ADvanced CIRCulation (ADCIRC) model was applied to the sea area surrounding Qingdao, China, to estimate the impact of climate change on storm...
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Unconventional monetary policies in an agent-based model with mark-to-market standards
We employ an agent-based model to shed light on the macroeconomic effects of accounting principles, unconventional monetary policies, and of their...
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Of pride and prejudice: agent learning under sticky and persistent stereotype
Stereotypes matter for economic interaction if counterparty utility is informed by factors other than price. Stereotyped agents may engage in efforts...
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A machine learning-based price state prediction model for agricultural commodities using external factors
In recent times of noticeable climate change the consideration of external factors, such as weather and economic key figures, becomes even more...
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Precautionary Heuristic Management and Learning for Data-Poor Fisheries
Fisheries are subject to multiple forms of uncertainty. One of these, parameter uncertainty, has been largely ignored in the fisheries economics...
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The Econometrics of Gravity Models in International Trade
Over the last few decades, multi-indexed data on trade, multinational activity, and even migration have become available. The by far most prominent...
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Is it MOLS or COLS?
This paper assesses the terminology of modified and corrected ordinary least squares (MOLS/COLS) in efficiency analysis. These two approaches, while...