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Estimation Of Threshold Distributions For Market Participation

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.
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Preprints, Working Papers, ...
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Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Wednesday, October 20, 2021 - 10:59:10 PM
Last modification on : Thursday, August 4, 2022 - 4:56:39 PM
Long-term archiving on: : Friday, January 21, 2022 - 8:48:09 PM


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Mattia Guerini, Patrick Musso, Lionel Nesta. Estimation Of Threshold Distributions For Market Participation. {date}. ⟨hal-03389192⟩



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