Estimation Of Threshold Distributions For Market Participation - Sciences Po Access content directly
Preprints, Working Papers, ... Year : 2020

Estimation Of Threshold Distributions For Market Participation

Abstract

We develop a new method to estimate the parameters of threshold distributions for market participation based upon an agent-specific attribute and its decision outcome. This method requires few behavioral assumptions, is not data demanding, and can adapt to various parametric distributions. Monte Carlo simulations show that the algorithm successfully recovers three different parametric distributions and is resilient to assumption violations. An application to export decisions by French firms shows that threshold distributions are generally right-skewed. We then reveal the asymmetric effects of past policies over different quantiles of the threshold distributions.
Fichier principal
Vignette du fichier
2020-guerini-estimation-of-threshold-distributions-for-market-participation.pdf (1.27 Mo) Télécharger le fichier
Origin : Publisher files allowed on an open archive

Dates and versions

hal-03389192 , version 1 (20-10-2021)

Identifiers

Cite

Mattia Guerini, Patrick Musso, Lionel Nesta. Estimation Of Threshold Distributions For Market Participation. 2020. ⟨hal-03389192⟩
17 View
54 Download

Share

Gmail Facebook X LinkedIn More