3 papers
econ.EM2026
Local Gaussian copula inference with structural breaks: testing dependence predictability
Alexander Mayer, Tatsushi Oka, Dominik Wied
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics i…
econ.EM2025
Estimation and inference in models with multiple behavioural equilibria
Alexander Mayer, Davide Raggi
We develop estimation and inference methods for a macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learnin…
econ.EM2024
Endogeneity Corrections in Binary Outcome Models with Nonlinear Transformations: Identification and Inference
Alexander Mayer, Dominik Wied
For binary outcome models, an endogeneity correction based on nonlinear rank-based transformations is proposed. Identification without external instruments is achieved under one of…