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Testing Additive Separability of Error Term in Nonparametric Structural Models
Additive Separability Hypotheses Testing Nonparametric Structural Equation Non- separable Models
2016/1/25
This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively.We...
Testing Additive Separability of Error Term in Nonparametric Structural Models
Additive Separability Hypotheses Testing Nonparametric Structural Equation
2016/1/20
This paper considers testing additive error structure in nonparametric structural models, against the alternative hypothesis that the random error term enters the nonparametric model non-additively.We...
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk
Credit Default Swaps StructuralModels Black Cox Model, Calibration
2010/11/3
In this paper we develop structural first passage models (AT1P and SBTV)with time-varying volatility and characterized by high tractability, moving from the original work of Brigo and Tarenghi (2004, ...
A martingale approach to continuous time marginal structural models
martingale approach continuous time marginal structural models
2010/3/17
Marginal structural models were introduced in order to provide
estimates of causal effects from interventions based on observational studies
in epidemiological research. We present a variant of the ...
Causal inference in longitudinal studies with history-restricted marginal structural models
causal inference counterfactual marginal structural model longitudinal study IPTW G-computation Double Robust
2009/9/16
A new class of Marginal Structural Models (MSMs), History-Restricted MSMs (HRMSMs), was recently introduced for longitudinal data for the purpose of defining causal parameters which may often be bette...
Causal inference in longitudinal studies with history-restricted marginal structural models
causal inference counterfactual marginal structuralmodel longitudinal study IPTW G-computation Double Robust
2010/4/29
A new class of Marginal Structural Models (MSMs), History-
Restricted MSMs (HRMSMs), was recently introduced for longitudinal data
for the purpose of defining causal parameters which may often be be...