1 citations · 1 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
Quantile Granger Causality in the Presence of Instability
Alexander Mayer, Dominik Wied, Victor Troster
We propose a new framework for assessing Granger causality in quantiles in unstable environments, for a fixed quantile or over a continuum of quantile levels. Our proposed test sta…
Least squares estimation in nonstationary nonlinear cohort panels with learning from experience
Alexander Mayer, Michael Massmann
We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic norma…