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Business and Management x Econometric Modelling x clear all

Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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Efficient Estimation of Hedonic Inverse Input Demand Systems

Dadi Kristofersson and Kyrre Rickertsen.

in American Journal of Agricultural Economics

November 2004; p ublished online November 2004 .

Journal Article. Subjects: Renewable Resources and Conservation; Econometric Modelling; Market Structure, Firm Strategy, and Market Performance. 6300 words.

This article is concerned with efficient estimation of characteristics demand. We derive and estimate an inverse input demand system for quality characteristics by using 172,946...

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An Empirical Assessment of Endogeneity Issues in Demand Analysis for Differentiated Products

Tirtha Dhar, Jean-Paul Chavas and Brian W. Gould.

in American Journal of Agricultural Economics

August 2003; p ublished online August 2003 .

Journal Article. Subjects: Manufacturing; Household Behaviour and Family Economics; Econometric Modelling. 7162 words.

This article explores the issue of price and expenditure endogeneity in empirical demand analysis. The analysis focuses on the U.S. carbonated soft drink market. We test the null hypothesis...

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Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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Estimation of Demand Functions Using Cross-Sectional Household Data: The Problem Revisited

Diansheng Dong, J.S. Shonkwiler and Oral Capps.

in American Journal of Agricultural Economics

August 1998; p ublished online August 1998 .

Journal Article. Subjects: Manufacturing; Household Behaviour and Family Economics; Econometric Modelling; Agricultural Economics. 0 words.

A procedure that corrects for selectivity bias is proposed to estimate demand functions using cross-sectional data under the assumption that prices vary across households. This procedure,...

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Estimation of Dynamic Discrete Choice Models in Continuous Time with an Application to Retail Competition

Peter Arcidiacono, Patrick Bayer, Jason R. Blevins and Paul B. Ellickson.

in The Review of Economic Studies

July 2016; p ublished online March 2016 .

Journal Article. Subjects: Econometric Modelling; Multiple or Simultaneous Equation Models; Multiple Variables; Market Structure, Firm Strategy, and Market Performance; Services. 23342 words.

This article develops a dynamic model of retail competition and uses it to study the impact of the expansion of a new national competitor on the structure of urban markets. In order to...

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Financial Network Systemic Risk Contributions

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle.

in Review of Finance

March 2015; p ublished online March 2014 .

Journal Article. Subjects: Economics; Financial Regulation; Corporate Governance; Corporate Regulation; Single Equation Models; Single Variables; Econometric Modelling; Mathematical Methods; Programming Methods; Mathematical and Simulation Modelling. 15742 words.

We propose the realized systemic risk beta as a measure of financial companies’ contribution to systemic risk, given network interdependence between firms’ tail risk exposures. Conditional...

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Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

Steve Berry, Oliver B. Linton and Ariel Pakes.

in The Review of Economic Studies

July 2004; p ublished online July 2004 .

Journal Article. Subjects: Household Behaviour and Family Economics; Market Structure, Firm Strategy, and Market Performance; Econometric Modelling; Market Structure and Pricing. 17974 words.

We provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of differentiated product markets when the number of...

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MODELING THE DURATION OF MERGER REVIEWS IN NEW ZEALAND

Qing Gong Yang and Michael Pickford.

in Journal of Competition Law & Economics

March 2016; p ublished online January 2016 .

Journal Article. Subjects: Econometric Modelling; Analysis of Collective Decision-making; Mergers and Acquisitions; Antitrust Issues and Policies. 11324 words.

The limited evidence on the speed of processing merger reviews by competition agencies shows that the time taken varies widely between cases. In this article, we explore which factors...

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The Nested PIGLOG Model: An Application to U.S. Food Demand

Nicholas E. Piggott.

in American Journal of Agricultural Economics

February 2003; p ublished online February 2003 .

Journal Article. Subjects: Manufacturing; Household Behaviour and Family Economics; Econometric Modelling; Agricultural Economics. 7743 words.

A new demand system is introduced, the Nested PIGLOG model, nesting thirteen other demand systems including five that are also new. This new model and its nested special cases are applied...

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