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Journal of Applied Statistics, (2022).

Several commercial banks in the United States disappeared during the last decades due to failure or acquisition by another entity. From a survival analysis perspective, however, the high censoring rate suggests that some institutions are likely to be immune to failure and/or acquisition. In this study, we use a competing risks proportional-hazards cure model in order to measure the impact of bank-specific and macroeconomic variables on the probabilities of being susceptible to these events (i.e. incidence) and on the survival time of susceptible banks (i.e. latency). Moreover, we propose to model the incidence distribution using Generalized Extreme Value regression and compare the results with the ones obtained by the usual logistic regression model. The proposed methodology is evaluated by means of a simulation study and then applied to a dataset of more than 4000 United States commercial banks spanning the period 1993–2018.

Keywords : bank failure, bank acquisition, cure-model, proportional-hazards, competing risks,

Journal of Economics & Management Strategy (2021), 30(2), 420-448.

We study a symmetric private value auction with signaling, in which the auction outcome is used by an outside observer to infer the bidders' types. We elicit conditions under which an essentially unique D1 equilibrium bidding function exists in the second-price and the English auctions. We establish there is no equivalence between these two auction designs, neither in bidding strategies nor in expected revenue.

Keywords : workingPaper,

International Journal of Microsimulation, Vol. 14, no.1, p. 43-72 (2021).

Belgium has implemented, following the example of other countries, in-work benefit policies since the early 2000’s, with the objective of increasing employment rates and fighting poverty. Belgian in-work benefits differ from most other in-work benefits as eligibility requires low hourly earnings. We study the effects extensions of those benefits would have both on labour supply and welfare, using a random-utility - random-opportunity model estimated on cross-sectional SILC datasets. Results show that further increasing the benefits would slightly increase labour supply and welfare of low-to-middle income deciles, but at very high net cost per job created. We compare our results with existing research and explain some mechanisms that possibly led to an underestimation of negative intensive margin labour supply responses in previous simulations.

Keywords : economic, publication,

The R Journal - Vol. 31, no.1, p. 116-129 (2021).

We describe the penPHcure R package, which implements the semiparametric proportionalhazards (PH) cure model of Sy and Taylor (2000) extended to time-varying covariates and the variable selection technique based on its SCAD-penalized likelihood proposed by Beretta and Heuchenne (2019a). In survival analysis, cure models are a useful tool when a fraction of the population is likely to be immune from the event of interest. They can separate the effects of certain factors on the probability of being susceptible and on the time until the occurrence of the event. Moreover, the penPHcure package allows the user to simulate data from a PH cure model, where the event-times are generated on a continuous scale from a piecewise exponential distribution conditional on time-varying covariates, with a method similar to Hendry (2014). We present the results of a simulation study to assess the finite sample performance of the methodology and illustrate the functionalities of the penPHcure package using criminal recidivism data.

Keywords : economic, publication,

Journal of Economics & Management Strategy (2021), 30(2), 420-448.

We study a symmetric private value auction with signaling, in which the auction outcome is used by an outside observer to infer the bidders' types. We elicit conditions under which an essentially unique D1 equilibrium bidding function exists in the second-price and the English auctions. We establish there is no equivalence between these two auction designs, neither in bidding strategies nor in expected revenue.

Keywords : economic, stastics, truth,

Revue économique - Vol. 72, no. 3, p. 443-458 (2021).

Nous étudions un modèle à valorisations privées indépendantes, où le classement de toutes les offres est révélé à un observateur extérieur, information qui lui permet d’estimer au mieux le type des participants. Alors l’équivalence du revenu est conservée pour les enchères sous plis scellés, l’enchère statique optimale nécessite un prix de réserve spécifique, et un droit d’entrée continu pour extraire tout le surplus des enchérisseurs avec les plus faibles valorisations. Une réponse illustrative, sur la taille optimale du classement des offres à révéler, est apportée. Enfin, la non-équivalence entre les enchères ascendante et au second prix est établie. Les applications sont aussi diverses que la vente d’œuvres d’art ou le financement d’œuvres caritatives.

Keywords : Publication,