Working Papers

From Center for Research in Economics and Statistics
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98-54: On the Transition from Local Regular to Global Irregular Fluctuations

Patrick Pintus, Ducan Sands and Robin De Vilder

98-53: The Decline in Demand for Unskilled Labor: An Empirical Analysis Method and its Application to France

Dominique Goux and Eric Maurin

98-52: Background Risk, Demand for Insurance and Choquet Expected Utility Preferences

Meglena Jeleva

98-51: Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates

Jean-Philippe Lesne, Jean-Luc Prigent and Olivier Scaillet

98-50: Nonlinear Panel Data Models with Dynamic Heterogeneity

Christian Gourieroux and Joann Jasiak

98-49: Evidence and Theory on Asymmetries in US Aggregate Job Flows

Fabrice Collard, Patrick Fève, Francois Langot and Corinne Perraudin

98-48: Measuring the Probability of a Business Cycle Turning Point by Using a Multivariate Qualitative Hidden Markov Model

Stéphane Gregoir and Fabrice Lenglart

98-47: Optimal Insurance Under Random Auditing

Marie-Cecile Fagart and Pierre Picard

98-46: Quarante années de mobilité sociale en France. L’évolution de la fluidité sociale à la lumière de modèles récents

Louis-André Vallet

98-45: Conditional Heteroskedasticity Driven by Hidden Markov Chains

Christian Francq, Michel Roussignol and Jean-Michel Zakoian

98-44: Riemann Sums for MCMC Estimation and Convergence Monitoring

Anne Philippe and Christian P, Robert

98-43: Formation continue et carrières salariales. Une évaluation sur données individuelles

Denis Fougere, Dominique Goux and Eric Maurin

98-42: Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP

Laurent Ferrara and Dominique Guegan

98-41: Nonlinear Autocorrelograms: An Application to Intra-Trade Durations

Christian Gourieroux and Joann Jasiak

98-40: Causality Between Returns and Trated Volumes

Eric Ghysels, Christian Gourieroux and Joann Jasiak

98-39: The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data

Dominique Guegan and Jean-Marc Nguyen

98-38: Random or Balanced Matching: An Equilibrium Search Model with Endogenous Capital and Two-Sided Search

Jean-Marc Robin and Sébastien Roux_

98-37: Structural Change Tests for Simulated Method of Moments

Eric Ghysels and Alain Guay

98-36: The Influence of the State Employment Service on the Search Effort and on the Probability of Leaving Unemployment

Denis Fougere, Jacqueline Pradel and Muriel Roger

98-35: One Perfect Simulation for some Mixture of Distributions

James P, Hobert, Christian P, Robert and David M, Titterington

98-34: The Econometrics of Efficient Frontiers

Christian Gourieroux and Alain Monfort

98-33: Research, Innovation and Productivity: An Econometric Analysis at the Firm Level

Bruno Crépon, Emmanuel Duguet and Jacques Mairesse

98-32: English -Language Dominance Literature and Welfare

Jacques Melitz

98-31: Efficient Trading Strategies in the Presence of Market Frictions

Elyès Jouini and Hédi Kallal

98-30: Contiuous Time Equilibrium Pricing of Nonredundant Assets

Elyès Jouini and Clotilde Napp

98-29: Arbitrage and Investment Opportunities

Elyès Jouini and Clotilde Napp

98-28: Arbitrage Pricing of Derivatives with Bounds on the Underlying Securities

Elyès Jouini, Hédi Kallal and Clotilde Napp

98-27: Social Capital in Everyday Life

Alain Degenne, Marie-Odile Lebeaux and Yannick Lemel

98-26: Occupational, Educational and Economic Position Status Consistency Trends in France, Germany and the USA

Michel Forse and Yannick Lemel

98-25: Truncated Maximum Likelihood and Nonparametric Tail Analysis

Christian Gourieroux and Joann Jasiak

98-24: Evidence of Adverse Selection in Automobile Insurance Markets

Georges Dionne, Christian Gourieroux and Charles Vanasse

98-23: Non-stationary Cox Regression

Odile Pons and Michael Visser

98-22: Transition Models with Measurement Errors

Thierry Magnac and Michael Visser

98-21: The Simulated Likelihood Ratio (SLR) Method

Monica Billio, Alain Monfort and Christian P, Robert

98-20: A New Method for Proving Weak Convergence Results Applied to Hjort’s Nonparametric Bayes Estimators

Jean-Yves Dauxois

98-19: The Adaptive Rate of Convergence in a Problem of Pointwise Density Estimation

Christina Butucea

98-18: Exact Adaptive Pointwise Estimation on Sobolev Classes of Densities

Christina Butucea

98-17: MCMC Specifics of Latent Variable Models

Christian P, Robert

98-16: MCMC Convergence Diagnostics: A « Reviewww »

Chantal Guihenneuc-Jouyaux, Kerrie L, Mengersen and Christian P, Robert

98-15: Matching Procedures and Market Characteristics

Christian Gourieroux and Gaelle Le Fol

98-14: Temps Aléatoire et Dynamique du Carnet d’ordres

Cécile Boyer and Gaelle Le Fol

98-13: Functional Law of the Iterated Logarithm for Kiefer Processes

Ludovic Menneteau

98-12: Should More Risk-Averse Agents Exert More Effort

Bruno Jullien, Bernard Salanié and François Salanié

98-11: Capital Income Taxation, Wealth Distribution and Borrowing Constraints

Christophe Chamley

98-10: Risk Aversion, Intertemporal Substitution, and Option Pricing

René Garcia and Eric Renault

98-09: Social Learning, Delays, and Multiple Equilibria

Christophe Chamley

98-08: MCMC Control Spreadsheets for Exponentiel Mixture Estimation

Marie-Anne Gruet, Anne Philippe and Christian P, Robert

98-07: Adaptive Estimation in an Autoregression and a Geometrical b -Mixing Regression Framework

Yannick Baraud, Fabienne Comte and Gabrielle Viennet

98-06: Optimal Rate for Nonparametric Estimation in Deterministic Dynamical Systems

Emmanuel Guerre and Jules Maes

98-05: Convergence Controls for MCMC Algorithms with Applications to Hidden Markov Chains

Christian P, Robert, Tobias Ryden and David M, Titterington