Related papers: Note on tax enforcement and transfer pricing manip…
We study settings where gradient penalties are used alongside risk minimization with the goal of obtaining predictors satisfying different notions of monotonicity. Specifically, we present two sets of contributions. In the first part of the…
Under conditions of market equilibrium, the distribution of capital income follows a Pareto power law, with an exponent that characterizes the given equilibrium. Here, a simple taxation scheme is proposed such that the post-tax capital…
This paper investigates the relationship between private and public investment in R&D, while taking into account the effect of several instruments policies such as subsidies and taxes. We design a new look of knowledge spillovers and R&D…
We develop a new approach to estimating flexible demand models with exogenous supply-side shocks. Our approach avoids conventional assumptions of exogenous product characteristics, putting no restrictions on product entry, despite using…
Penalization of the likelihood by Jeffreys' invariant prior, or by a positive power thereof, is shown to produce finite-valued maximum penalized likelihood estimates in a broad class of binomial generalized linear models. The class of…
Some practical results are derived for population inference based on a sample, under the two qualitative conditions of 'ignorability' and exchangeability. These are the 'Histogram Theorem', for predicting the outcome of a non-sampled member…
Distributional effects, captured by quantile frameworks, are well-received for characterizing heterogeneous impacts of economic factors across the unobserved relative ranks. Censored outcome, endogenous regressor and heteroskedastic error…
Conditional mutual information is important in the selection and interpretation of graphical models. Its empirical version is well known as a generalised likelihood ratio test and that it may be represented as a difference in entropy. We…
Estimating network formation models with degree heterogeneity raises two problems in empirical networks. First, agents that send no links, receive no links, or link to all remaining agents can make the fixed-effects MLE fail to exist.…
In this work, we study the task of distributed optimization over a network of learners in which each learner possesses a convex cost function, a set of affine equality constraints, and a set of convex inequality constraints. We propose a…
In the multiple changepoint setting, various search methods have been proposed which involve optimising either a constrained or penalised cost function over possible numbers and locations of changepoints using dynamic programming. Such…
We introduce penalty-function-based admission control policies to approximately maximize the expected reward rate in a loss network. These control policies are easy to implement and perform well both in the transient period as well as in…
This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
We propose and axiomatize preferences on a product state space in light of uncertainty regarding the dependency of different payoff-relevant factors. Dependence structures allow to decompose probabilities and allow to pin down behavior…
In this work, a strategy to estimate the information transfer between the elements of a complex system, from the time series associated to the evolution of this elements, is presented. By using the nearest neighbors of each state, the local…
A new statistical procedure, based on a modified spline basis, is proposed to identify the linear components in the panel data model with fixed effects. Under some mild assumptions, the proposed procedure is shown to consistently estimate…
When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent breaks that cause IRFs to change across volatility regimes, even strong, exogenous external instruments yield inconsistent estimates of the…