Identification issues in models for underreported counts

In this note we study the conditions under which leading models for underreported counts are identified. In particular, we highlight a peculiar identification problem that afflicts two of the most popular models in this class.

Trading Partners and Trading Volumes: Implementing the Helpman-Melitz-Rubinstein Model Empirically

Helpman, Melitz, and Rubinstein (2008)-HMR-present a rich theoretical model to study the determinants of bilateral trade flows across countries. The model is then empirically implemented through a two-stage estimation procedure. This note seeks to clarify some econometric aspects of the estimation approach used by HMR and explore the consequences of possible departures from the maintained distributional assumptions.Gravity equation, Heteroskedasticity, Jensens inequality

Quantiles for Counts

This paper studies the estimation of conditional quantiles of counts. Given the discreteness of the data, some smoothness has to be artificially imposed on the problem. The methods currently available to estimate quantiles of count data either assume that the counts result from the discretization of a continuous process, or are based on a smoothed objective function. However, these methods have several drawbacks. We show that it is possible to smooth the data in a way that allows inference to be performed using standard quantile regression techniques. The performance and implementation of the estimator are illustrated by simulations and an application.Asymmetric maximum likelihood, Jittering, Maximum score estimator, Quantile regression, Smoothing.

Currency Unions in Prospect and Retrospect

We critically review the recent literature on currency unions, and discuss the methodological challenges posed by the empirical assessment of their costs and benefits. In the process, we provide evidence on the economic effects of the euro. In particular, and in contrast with estimates of the trade effect of other currency unions, we find that the impact of the euro on trade has been close to zero. After reviewing the costs and benefits, we conclude with some open questions on normative and positive aspects of the theory of currency unions, emphasizing the need for a unified welfare-based framework to weigh their costs and gains.Currency union, Integration, Exchange Rage, Trade

On the Existence of the Maximum Likelihood Estimates for Poisson Regression

We note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the practitioner may be surprised to find that in some applications estimation of the Poisson regression is unusually difficult or even impossible. More seriously, the estimation algorithm may lead to spurious maximum likelihood estimates. We identify the signs of the non-existence of the maximum likelihood estimates and propose a simple empirical strategy to single out the regressors causing this type of identification failure.Poisson estimation, gravity equation

Implications of the LHC two-photon signal for two-Higgs-doublet models

We study the implications for Two Higgs Doublet Models of the recent announcement at the LHC giving a tantalizing hint for a Higgs boson of mass 125 GeV decaying into two photons. We require that the experimental result be within a factor of two of the theoretical Standard Model prediction, and analyze the type I and type II models as well as the lepton-specific and flipped models, subject to this requirement. It is assumed that there is no new physics other than two Higgs doublets. In all of the models, we display the allowed region of parameter space taking the recent LHC announcement at face value, and we analyze the $W^+W^-$, $ZZ$, $\bar{b}b$ and $\tau^+\tau^-$ expectations in these allowed regions. Throughout the entire range of parameter space allowed by the $\gamma\gamma$ constraint, the number of events for Higgs decays into $WW$, $ZZ$ and $b \bar b$ are not changed from the Standard Model by more than a factor of two. In contrast, in the Lepton Specific model, decays to $\tau^+ \tau^-$ are very sensitive across the entire $\gamma \gamma$-allowed region.Comment: Latex, 6 pages, 4 figures; v2 - added 2 reference

Mass-degenerate Higgs bosons at 125 GeV in the Two-Higgs-Doublet Model

The analysis of the Higgs boson data by the ATLAS and CMS Collaborations appears to exhibit an excess of h --> gamma\gamma events above the Standard Model (SM) expectations; whereas no significant excess is observed in h --> ZZ* --> {four lepton} events, albeit with large statistical uncertainty due to the small data sample. These results (assuming they persist with further data) could be explained by a pair of nearly mass-degenerate scalars, one of which is a SM-like Higgs boson and the other is a scalar with suppressed couplings to W+W- and ZZ. In the two Higgs doublet model, the observed \gamma\gamma and ZZ* --> {four lepton} data can be reproduced by an approximately degenerate CP-even (h) and CP-odd (A) Higgs boson for values of \sin(\beta-\alpha) near unity and 0.7 < \tan\beta < 1. An enhanced \gamma\gamma signal can also arise in cases where m_h ~ m_H, m_H ~ m_A, or m_h ~ m_H ~ m_A. Since the ZZ* --> {four lepton} signal derives primarily from a SM-like Higgs boson whereas the \gamma\gamma signal receives contributions from two (or more) nearly mass-degenerate states, one would expect a slightly different invariant mass peak in the ZZ* --> {four lepton} and \gamma\gamma channels. The phenomenological consequences of such models can be tested with additional Higgs data that will be collected at the LHC in the near future.Comment: 18 pages, 19 pdf figures, v2: references added, v3&v4: added refs and explanation

Quantiles for Fractions and Other Mixed Data

This paper studies the estimation of quantile regression for fractional data, focusing on the case where there are mass-points at zero or/and one. More generally, we propose a simple strategy for the estimation of the conditional quantiles of data from mixed distributions, which combines standard results on the estimation of censored and Box-Cox quantile regressions. The implementation of the proposed method is illustrated using a well-known dataset.

Is it different for zeros? Discriminating between models for non-negative data with many zeros

In many economic applications, the variate of interest is non-negative and its distribution is characterized by a mass-point at zero and a long right-tail. Many regression strategies have been proposed to deal with data of this type. Although there has been a long debate in the literature on the appropriateness of different models, formal statistical tests to choose between the competing specifications, or to assess the validity of the preferred model, are not often used in practice. In this paper we propose a novel and simple regression-based specification test that can be used to test these models against each other.