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Birg{\'e} and Massart proposed in 2001 the slope heuristics as a way to choose optimally from data an unknown multiplicative constant in front of a penalty. It is built upon the notion of minimal penalty, and it has been generalized since…
Endogeneity poses significant challenges in causal inference across various research domains. This paper proposes a novel approach to identify and estimate causal effects in the presence of endogeneity. We consider a structural equation…
We extend the correspondence between two-stage coding procedures in data compression and penalized likelihood procedures in statistical estimation. Traditionally, this had required restriction to countable parameter spaces. We show how to…
We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$…
We introduce a penalty term-based splitting algorithm with inertial effects designed for solving monotone inclusion problems involving the sum of maximally monotone operators and the convex normal cone to the (nonempty) set of zeros of a…
Cooperation is fundamental to human societies, and indirect reciprocity, where individuals cooperate to build a positive reputation for future benefits, plays a key role in promoting it. Previous theoretical and experimental studies have…
We consider mixed-integer optimal control problems with combinatorial constraints that couple over time such as minimum dwell times. We analyze a lifting and decomposition approach into a mixed-integer optimal control problem without…
We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
We introduce a general framework for de Finetti reduction results, applicable to various notions of partially exchangeable probability distributions. Explicit statements are derived for the cases of exchangeability, Markov exchangeability,…
Charge prediction, determining charges for criminal cases by analyzing the textual fact descriptions, is a promising technology in legal assistant systems. In practice, the fact descriptions could exhibit a significant intra-class variation…
This paper studies the identification and estimation of heterogeneous effects of an endogenous treatment under interference and spillovers in a large single-network setting. We model endogenous treatment selection as an equilibrium outcome…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
We introduce an interactive market setup with sequential auctions where agents receive variegated signals with a known deadline. The effects of differential information and mutual learning on the allocation of overall profit \& loss (P\&L)…
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when…
This article considers the pricing and hedging of a call option when liquidity matters, that is, either for a large nominal or for an illiquid underlying asset. In practice, as opposed to the classical assumptions of a price-taking agent in…
The skew-normal and the skew-$t$ distributions are parametric families which are currently under intense investigation since they provide a more flexible formulation compared to the classical normal and $t$ distributions by introducing a…
Maximum likelihood estimation in logistic regression with mixed effects is known to often result in estimates on the boundary of the parameter space. Such estimates, which include infinite values for fixed effects and singular or infinite…
Unambiguous identification of the rewards driving behaviours of entities operating in complex open-ended real-world environments is difficult, partly because goals and associated behaviours emerge endogenously and are dynamically updated as…
In this paper I derive a set of testable implications for econometric models defined by three assumptions: (i) the existence of strictly exogenous discrete instruments, (ii) restrictions on how the instruments affect adoption of a finite…
We investigate how to learn treatment effects away from the cutoff in multiple-cutoff regression discontinuity designs. Using a microeconomic model, we demonstrate that the parallel-trend type assumption proposed in the literature is…