Estimation Of Threshold Distributions For Market Participation

Creators: Guerini, Mattia; Musso, Patrick; Nesta, Lionel

Others:: Scuola Universitaria Superiore Sant'Anna [Pisa] (SSSUP); Observatoire français des conjonctures économiques (Sciences Po) (OFCE) ; Sciences Po (Sciences Po); Groupe de Recherche en Droit, Economie et Gestion (GREDEG) ; Université Nice Sophia Antipolis (1965 - 2019) (UNS) ; COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-COMUE Université Côte d'Azur (2015-2019) (COMUE UCA)-Centre National de la Recherche Scientifique (CNRS)-Université Côte d'Azur (UCA); HCC

Description

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.

Estimation Of Threshold Distributions For Market Participation

Description

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