2 papers
econ.EM2025
Cautions on Tail Index Regressions and a Comparative Study with Extremal Quantile Regression
Thomas T. Yang
We re-visit tail the index regressions framework. For linear specifications, we find that the usual full rank condition can fail because conditioning on extreme outcomes causes reg…
econ.EM2024
Semiparametric Discrete Choice Models for Bundles
Fu Ouyang, Thomas Tao Yang
We propose two approaches to estimate semiparametric discrete choice models for bundles. Our first approach is a kernel-weighted rank estimator based on a matching-based identifica…