Type
Working paper
Titre
Estimation Of Threshold Distributions For Market Participation
Dans
OFCE working paper
Auteur(s)
GUERINI Mattia - Scuola Superiore Sant'Anna (Auteur)
MUSSO Patrick - Groupe de Recherche en Droit, Economie et Gestion (Auteur)
NESTA Lionel - Observatoire français des conjonctures économiques (Auteur)
Éditeur
Paris : OFCE
Collection
OFCE working paper : 15/2020
Mots clés
Parametric distributions of thresholds, Maximum likelihood estimation, Fixed costs, Export decision
Résumé
EN
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.

CITATION BIBLIOGRAPHIQUE
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