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We introduce a general class of autoregressive models for studying the dynamic of multivariate binary time series with stationary exogenous covariates. Using a high-level set of assumptions, we show that existence of a stationary path for…
Economic and financial models -- such as vector autoregressions, local projections, and multivariate volatility models -- feature complex dynamic interactions and spillovers across many time series. These models can be integrated into a…
We introduce a generic class of dynamic nonlinear heterogeneous parameter models that incorporate individual and time fixed effects in both the intercept and slope. These models are subject to the incidental parameter problem, in that the…
Random-effects meta-analyses are very commonly used in medical statistics. Recent methodological developments include multivariate (multiple outcomes) and network (multiple treatments) meta-analysis. Here we provide a new model and…
In this paper, I develop an integrated approach to collective models and matching models of the marriage market. In the collective framework, both household formation and the intra-household allocation of bargaining power are taken as…
Many insurance products and pension plans provide benefits which are related to couples, and thus under influence of the survival status of two lives. Some studies show the future lifetime of couples is correlated. Three reasons are…
We develop a structural framework for modeling and inferring unobserved heterogeneity in dynamic panel-data models. Unlike methods treating clustering as a descriptive device, we model heterogeneity as arising from a latent clustering…
We present a structured additive regression approach to model conditional densities given scalar covariates, where only samples of the conditional distributions are observed. This links our approach to distributional regression models for…
This paper considers the evaluation of discretely distributed treatments when outcomes are only observed for a subpopulation due to sample selection or outcome attrition. For identification, we combine a selection-on-observables assumption…
Extended cure survival models enable to separate covariates that affect the probability of an event (or `long-term' survival) from those only affecting the event timing (or `short-term' survival). We propose to generalize the bounded…
This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…
Occupancy models involve both the probability a site is occupied and the probability occupancy is detected. The homogeneous occupancy model, where the occupancy and detection probabilities are the same at each site, admits an orthogonal…
Over the past decades, linear mixed models have attracted considerable attention in various fields of applied statistics. They are popular whenever clustered, hierarchical or longitudinal data are investigated. Nonetheless, statistical…
The assumption of group heterogeneity has become popular in panel data models. We develop a constrained Bayesian grouped estimator that exploits researchers' prior beliefs on groups in a form of pairwise constraints, indicating whether a…
An informative sampling design leads to the selection of units whose inclusion probabilities are correlated with the response variable of interest. Model inference performed on the resulting observed sample will be biased for the population…
Stopping times are used in applications to model random arrivals. A standard assumption in many models is that they are conditionally independent, given an underlying filtration. This is a widely useful assumption, but there are…
Economic interactions often occur in networks where heterogeneous agents (such as workers or firms) sort and produce. However, most existing estimation approaches either require the network to be dense, which is at odds with many empirical…
The study of international relations by definition deals with interdependencies among countries. One form of interdependence between countries is the diffusion of country-level features, such as policies, political regimes, or conflict. In…
The paper proposes a latent variable model for binary data coming from an unobserved heterogeneous population. The heterogeneity is taken into account by replacing the traditional assumption of Gaussian distributed factors by a finite…
We investigate a marriage divorces problem via agent - based modeling. Current value of socio-economic pressure p (main model parameter) drives the dynamic of first marriage, remarriage or spontaneously marriage breaks up. Model reflects…