Estimation Of Threshold Distributions For Market Participation

Mattia Guerini, Patrick Musso and Lionel Nesta
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Patrick Musso: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique - UniCA - Université Côte d'Azur

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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.

Keywords: Parametric distributions of thresholds; Maximum likelihood estimation; Fixed costs; Export decision (search for similar items in EconPapers)
Date: 2020-05-04
New Economics Papers: this item is included in nep-cwa
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Related works:
Working Paper: Estimation of Threshold Distributions for Market Participation (2020)
Working Paper: Estimation of Threshold Distributions for Market Participation (2020)
Working Paper: Estimation Of Threshold Distributions For Market Participation (2020)
Working Paper: Estimation of threshold distributions for market participation (2020)
Working Paper: Estimation of threshold distributions for market participation (2020)
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