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Full-Text Articles in Physical Sciences and Mathematics
Informational Content Of Factor Structures In Simultaneous Discrete Response Models, Shakeeb Khan, Arnaud Maurel, Yichong Zhang
Informational Content Of Factor Structures In Simultaneous Discrete Response Models, Shakeeb Khan, Arnaud Maurel, Yichong Zhang
Research Collection School Of Economics
We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we attempt to formally quantify their informational content in a bivariate system often employed in the treatment effects literature. Our main findings are that under the factor structures often imposed in the literature, point identification of parameters of interest, such as both the treatment effect and the factor load, is attainable under weaker assumptions than usually required in these systems. For example, we show is that an …
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu
Research Collection School Of Economics
In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact ¯nite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on deviance information criterion …