December 2018 - 7 articles
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the lo...
Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sourc...
In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is ba...
In this paper, we investigate several variable selection procedures to give an overview of the existing literature for practitioners. “Let the data speak for themselves” has become the motto of many applied researchers since the number of...
A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are der...
This paper provides a new statistical model for repeated voluntary contribution mechanism games. In a repeated public goods experiment, contributions in the first round are cross-sectionally independent simply because subjects are randomly selected....
It is well-known that, after decades of non-interest in the theme, economics has experienced a proper surge in inequality research in recent years. [...]
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