Understanding and quantifying the determinants of the number of sectors or firms exporting in a given country is of relevance for the assessment of trade policies. Estimation of models for the number of sectors, however, poses a challenge because the dependent variable has both a lower and upper bound, implying that the partial effects of the explanatory variables on the conditional mean of the...

We consider a random utility model of strategic network formation, where we derive a tractable approximation to the distribution of network links using many-player asymptotics. Our framework assumes that agents have heterogeneous tastes over links, and allows for anonymous and non-anonymous interaction effects among links. The observed network is assumed to be pairwise stable, and we impose no ...

This paper focuses on nonparametric efficiency analysis based on robust estimation of partial frontiers in a complete multivariate setup (multiple inputs and multiple outputs). It introduces a-quantile efficiency scores. A nonparametric estimator is proposed achieving strong consistency and asymptotic normality. Then if a increases to one as a function of the sample size we recover the properti...

Individual data from a continuous distribution are often partitioned into a collection of intervals defined by either fixed interval limits or sample quantiles. In this study, we derive asymptotic distribution of interval statistics for both cases, allowing multiple sample statistics for each interval. Under fixed intervals, the covariance matrix is singular. We identify a computationally simpl...

We consider model identification for infinite variance autoregressive time series processes. It is shown that a consistent estimate of autoregressive model order can be obtained by minimizing Akaike’s information criterion, and we use all-pass models to identify noncausal autoregressive processes and estimate the order of noncausality (the number of roots of the autoregressive polynomial inside...

Standard banking theory suggests that there exists an optimal level of credit risk that yields maximum bank profit. We identify the optimal level of risk-weighted assets that maximizes banks’ returns in the full sample of US banks over the period 1996–2011. We find that this optimal level is cyclical for the average bank, being higher than the realized credit risk in relatively stable periods w...

New Insights on Unemployment Duration and Post Unemployment Earnings in Germany: Censored Box-Cox Quantile Regression at Work In light of nonstationary search theory (van den Berg, 1990), this paper estimates the effects of benefit entitlement periods and the size of unemployment benefits on unemployment durations and post-unemployment earnings in West Germany. For the unemployment duration, we...

In this paper a pairwise comparison estimation procedure is proposed for the regression coefficients in a censored transformation model. The main advantage of the new estimator is that it can accommodate covariate dependent censoring without the requirement of smoothing parameters, trimming procedures, or stringent tail behavior restrictions. We also modify the pairwise estimator for other vari...

Abstract Height is the result of a complex process of growth that begins at birth and reaches the end in early adulthood. This paper studies the determinants of height from birth to maturity. A height production function is specified whose structure allows height to be the result of the accumulation of inputs (i.e., nutrition and diseases) over time. The empirical specification allows the causa...

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and dividend growth rates. We also conf...