Econometrics
The purpose of this article is to propose a new "theory," the Strategic Analysis of Financial Markets (SAFM) theory, that explains the operation of financial markets using the analytical perspective of an enlightened gambler. The gambler…
An intensive research sprang up for stochastic methods in insurance during the past years. To meet all future claims rising from policies, it is requisite to quantify the outstanding loss liabilities. Loss reserving methods based on…
We propose a new inferential methodology for dynamic economies that is robust to misspecification of the mechanism generating frictions. Economies with frictions are treated as perturbations of a frictionless economy that are consistent…
In this paper, a new and convenient $\chi^2$ wald test based on MCMC outputs is proposed for hypothesis testing. The new statistic can be explained as MCMC version of Wald test and has several important advantages that make it very…
This paper investigates the impacts of major natural resource discoveries since 1960 on life expectancy in the nations that they were resource poor prior to the discoveries. Previous literature explains the relation between nations wealth…
In accordance with "Democracy's Effect on Development: More Questions than Answers", we seek to carry out a study in following the description in the 'Questions for Further Study.' To that end, we studied 33 countries in the Sub-Saharan…
Some empirical results are more likely to be published than others. Such selective publication leads to biased estimates and distorted inference. This paper proposes two approaches for identifying the conditional probability of publication…
This paper presents the identification of heterogeneous elasticities in the Cobb-Douglas production function. The identification is constructive with closed-form formulas for the elasticity with respect to each input for each firm. We…
This study briefly introduces the development of Shantou Special Economic Zone under Reform and Opening-Up Policy from 1980 through 2016 with a focus on policy making issues and its influences on local economy. This paper is divided into…
We present a robust generalization of the synthetic control method for comparative case studies. Like the classical method, we present an algorithm to estimate the unobservable counterfactual of a treatment unit. A distinguishing feature of…
Testing for regime switching when the regime switching probabilities are specified either as constants (`mixture models') or are governed by a finite-state Markov chain (`Markov switching models') are long-standing problems that have also…
Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putnins (2013)…
Startups have become in less than 50 years a major component of innovation and economic growth. An important feature of the startup phenomenon has been the wealth created through equity in startups to all stakeholders. These include the…
Startups have become in less than 50 years a major component of innovation and economic growth. Silicon Valley has been the place where the startup phenomenon was the most obvious and Stanford University was a major component of that…
Peer-to-peer (P2P) lending is a fast growing financial technology (FinTech) trend that is displacing traditional retail banking. Studies on P2P lending have focused on predicting individual interest rates or default probabilities. However,…
We present the calibrated-projection MATLAB package implementing the method to construct confidence intervals proposed by Kaido, Molinari and Stoye (2017). This manual provides details on how to use the package for inference on projections…
Binary classification is highly used in credit scoring in the estimation of probability of default. The validation of such predictive models is based both on rank ability, and also on calibration (i.e. how accurately the probabilities…
This study proposes a simple technique for propensity score matching for multiple treatment levels under the strong unconfoundedness assumption with the help of the Aitchison distance proposed in the field of compositional data analysis…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
This paper characterizes the minimax linear estimator of the value of an unknown function at a boundary point of its domain in a Gaussian white noise model under the restriction that the first-order derivative of the unknown function is…