Related papers: A Structural Approach to Growth-at-Risk

This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…

We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…

Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…

Recent years have seen many advances in methods for causal structure learning from data. The empirical assessment of such methods, however, is much less developed. Motivated by this gap, we pose the following question: how can one assess,…

Time-to-event analyses are often plagued by both -- possibly unmeasured -- confounding and competing risks. To deal with the former, the use of instrumental variables for effect estimation is rapidly gaining ground. We show how to make use…

The stability analysis of socioeconomic systems has been centered on answering whether small perturbations when a system is in a given quantitative state will push the system permanently to a different quantitative state. However, typically…

Structural change detection problems are often encountered in analytics and econometrics, where the performance of a model can be significantly affected by unforeseen changes in the underlying relationships. Although these problems have a…

We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash…

We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns…

Resiliency has garnered attention in the management of critical infrastructure as a metric of system performance, but there are significant roadblocks to its implementation in a realistic decision-making framework. Contrasted to risk and…

In strategic classification, an institution (e.g., a bank) anticipates adaptation from users who change their features to increase utility in a classification task (e.g., loan repayment). Since a key challenge is the distribution shift…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

This study introduces a data-driven, machine learning-based method to detect suitable control variables and instruments for assessing the causal effect of a treatment on an outcome in observational data. Our approach tests the joint…

Survey questions often ask respondents to select from ordered scales where the meanings of the categories are subjective, leaving each individual free to apply their own definitions in answering. This paper studies the use of these…

We show that structural smooth transition vector autoregressive models are statistically identified if the shocks are mutually independent and at most one of them is Gaussian. This extends a known identification result for linear structural…

In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…

As data from monitored structures become increasingly available, the demand grows for it to be used efficiently to add value to structural operation and management. One way in which this can be achieved is to use structural response…

The Great Recession highlighted the role of financial and uncertainty shocks as drivers of business cycle fluctuations. However, the fact that uncertainty shocks may affect economic activity by tightening financial conditions makes…

We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…

Most research questions in agricultural and applied economics are of a causal nature, i.e., how one or more variables (e.g., policies, prices, the weather) affect one or more other variables (e.g., income, crop yields, pollution). Only some…